宏观审慎政策与银行风险承担研究
Research on the Macroprudential Policy and Banks' Risk Taking

针对宏观审慎政策中的逆周期政策工具对银行风险承担产生的影响进行了分析。在理论上研究了逆周期政策工具所带来的宏观和微观效应，并运用动态面板数据广义矩估计方法进行了实证分析。研究发现，在信贷扩张期杠杆率、贷款损失准备金率的上升会使银行的当期风险承担水平增加，资本充足率的提高使风险承担降低。而滞后六个月的资本充足率、杠杆率、贷款损失准备金率的上升可以显著降低当期的风险承担水平，宏观审慎政策工具的宏观效应和微观效应一致。
This paper analyzes the impact of countercyclical policy instruments on banks' risk taking in the framework of macroprudential policy. It studies the macro and micro effects of counter cyclical policy instruments theoretically and uses dynamic panel data GMM estimation empirically. The study finds that there is a positive relationship between leverage ratio, loan loss reserve ratio and banks' risk taking, and a negative relationship between capital adequacy ratio and banks' risk taking. The increase of capital adequacy ratio, leverage ratio, loan loss reserve ratio which are lag of six months can reduce current banks' risk taking significantly. The macro and micro effects of macroprudential policy instruments are consistent.