货币政策、市场约束与银行风险承担行为的实证分析
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上海财经大学学报 2011 年 第 13 卷第 05 期, 页码：59 - 67
摘要
参考文献
摘要
本文采用面板数据回归方法分析货币政策、市场约束与银行风险之间的相关关系。实证研究发现:宽松的货币政策会降低银行的破产风险,且短期比长期更有效;另外,银行股价的异质化波动和银行的破产风险之间存在显著的负相关关系,即市场约束越有效,越有助于降低银行的破产风险;进一步发现,不同货币政策下,市场约束机制对银行破产风险的影响存在差异,即在从紧的货币政策下,市场约束机制对我国商业银行的影响变得更显著,但是其对不同所有权属性的银行破产风险的影响并没有显著差异。
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[2]Altunbas,Y.,Gambacorta,L.and Marques-lbanez,D.Does monetary policy affect bank risk-taking?[D].BIS Working Papers,No.298,2010.
[3]Blasko,M.and Sinkey Jr.,J.F.Bank Asset Structure,Real-estate Lending,and Risk-taking[J].TheQuarterly Review of Economics and Finance,2008.46,53-81.
[4]De Nicol’o,G.,Dell’Ariccia,G.,Laeven,L.and Valencia,F.Monetary policy and bank risk taking[D].IMF Working Paper,SPN/10/09,2010.
[5]Dell’Ariccia,G.and Marquez,R.Lending Booms and Lending Standards[J].Journal of Finance,2006,61(5),2511-2546.
[6]Ferreira,M.A.and Laux,P.A.Corporate Governance,Idiosyncratic Risk,and Information Flow[J].Journal of Finance,2007,62,951-989.
[7]Jimenez,G.,Ongena,S.,Peydr’o,J.L.and Saurina,J.Hazardous times for monetary policy:What dotwenty-three million bank loans say about the effects of monetary policy on credit risk?[D].CEPR Discu-sion Paper,No.DP6514,2008.
[8]Maddaloni,A.,Peydr’o,J.L.and Scopel,S.Does monetary policy affect bank credit standards?Evidencefrom the Euro Area Bank Lending Survey[D].ECB Working Paper Series,forthcoming,2009.
[9]孔爱国,卢嘉圆.市场约束、商业银行治理与风险的实证研究[J].金融研究,2010,(5):102-115.
[10]曹廷求,张光利.市场约束、政府干预与商业银行风险承担[D〗.2010年12月,中国金融学年会论文(广州).
引用本文
谭中, 粟芳. 货币政策、市场约束与银行风险承担行为的实证分析[J]. 上海财经大学学报, 2011, 13(5): 59–67.
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