世界经济 ›› 2019, Vol. 42 ›› Issue (2): 3-25.

• •    下一篇

经济波动、银行风险承担与中国金融周期

方意1, 陈敏1,2   

  1. 1. 中央财经大学金融学院 北京市海淀区学院南路39号 100081;
    2. 山东理工大学经济学院
  • 出版日期:2019-02-10 发布日期:2019-02-25
  • 通讯作者: 陈敏:电子信箱:sdlgchenmin@163.com E-mail:sdlgchenmin@163.com
  • 作者简介:方意:电子信箱:fangyi@cufe.edu.cn

Economic Fluctuation, Bank Risk-Taking and China's Financial Cycle

Fang Yi1, Chen Min1,2   

  • Online:2019-02-10 Published:2019-02-25

摘要: 本文基于理论和经验分析,考察在经济波动冲击下以银行风险承担为核心的金融周期形成机理,并以银行风险承担来测度中国金融周期。文章梳理了经济波动影响风险资产市场的波动率水平,进而影响银行资产负债表能力并最终影响银行风险承担的传导渠道,提出以市场型资产变动率作为银行风险承担的衡量指标,并证实该指标具有前瞻性。通过考察经济扩张与收缩对银行风险承担的差异性影响,验证明斯基的"金融不稳定假设",并证实中国金融周期具有中期频率,周期长度约为11年。监管当局应关注低波动率带来银行过度风险承担、加剧系统性风险积聚的顺周期现象,加强宏观审慎政策与货币政策的协调配合。

关键词: 经济波动, 资产负债表能力, 银行风险承担, 金融周期

Abstract: Based on theoretical and empirical evidence, this paper investigates the micro-mechanism of the financial cycle by proving that bank risk-taking oscillates with macroeconomic fluctuation and then measures China's financial cycle by using the cyclical fluctuation of bank risk-taking.As a result, the key conclusions obtained are as follows:(i) the transmission channel is presented as an element through which economic fluctuation affects the ability of the bank balance sheet and ultimately bank risk-taking by influencing the market volatility; (ii) the market-based asset change rate indicator is proposed as a measure of bank risk-taking, which is proved to be forward-looking; (iii) by examining the differential effects of economic expansion and contraction of bank risk-taking, Minsky's financial instability hypothesis is verified, and China's financial cycle is proved to have a medium-term frequency with a cycle duration of about 11 years; (iv) finally, it is suggested that regulatory authorities should pay particular attention to the bank risk-taking caused by low volatility, which further aggravates the pro-cyclical phenomenon of systemic risk accumulation, and at the same time strengthens the reconciliation of macro-prudential and monetary policies.

Key words: economic fluctuation, balance sheet ability, bank risk-taking, financial cycle

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