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河南大学 Jan Klingelhöfer:审慎宏观政策、金融稳定性和银行盈利性:来自中国的证据

([西财新闻] 发布于 :2019-09-27 )

光华讲坛——社会名流与企业家论坛第 5528 期

 

Macroprudential Policy, Financial Stability and Bank Profitability: Evidence from China(审慎宏观政策、金融稳定性和银行盈利性:来自中国的证据)

主讲人河南大学 Jan Klingelhöfer     

主持人ag亚游官网登录经济与管理研究院  肖伟副教授

时间2019108日(周二)上午10:00—11:30

地点:ag亚游官网登录柳林校区格致楼1211

主办单位:经济与管理研究院  科研处

 

主讲人简介:

Jan Klingelhöfer教授为瑞典斯德哥尔摩大学经济学博士,主要研究领域为应用博弈论,应用宏观经济学,政治经济学。 论文发表于Journal of Economic Behavior and Organization Journal of International Money and Finance Bulletin of Economic Research Economic Modelling等期刊

内容提要

This paper examines the effects of the central banks macroprudential measures on bank risks and profitability, using bank-level data from China throughout 2005-2018 and the Klingelhöfer-Sun narrative macroprudential policy indices. Standard financial theories predict that macroprudential policy tightening would lead to substantial declines in credit growth and measures of financial market risk. However, few studies have examined the potential impact of macroprudential policy on bank profitability on the other hand. For more than 300 banks in China, we build dynamic panel models to test the impact of macroprudential policy on both bank stability and profitability measures, with monetary policy controlled for. In particular, we focus on three kinds of bank-level measures: 1. Increase in new bank loans; 2. Various measures of bank risks, including the banks share of non-performing loans, the loss provisioning ratio, the capital adequacy ratio, the foreign exchange exposure, the loan-deposit ratio as well as the leverage ratio; 3.Indicators to measure bank profitability, such as the return on assets, the profit-assets ratio, the cost-income ratio and the net profit margin. We find that following a macroprudential policy tightening, new bank loans dropped; bank risks declined; bank profitability weakened, while monetary policy is found to have no significant impact on bank risks and profitability. We highlight that a macroprudential policy tightening improved financial market stability conditions, but at the cost of worsening bank profitability. In return, this worsening profitability can make banks more vulnerable to adverse shocks in the long run. We argue for taking a holistic view of macroprudential policy design that recognizes both costs and benefits of financial regulation and supervision.

通过使用中国2005-2018年银行层面的数据及Klingelhöfer-Sun宏观审慎政策指数,本文分析了央行审慎宏观政策对银行风险和盈利能力的影响。根据标准的金融理论,审慎型宏观政策会减少信贷增量,降低金融市场风险。但是,ag亚游官网平台宏观审慎政策如何影响银行的盈利能力的研究仍然较少。本文构建了超过300家银行的面板,在控制了货币政策后,用动态面板模型检验了审慎型宏观政策对银行稳定与盈利指标的影响。我们特别关注了三类银行层面的指标:1. 银行贷款的增加;2. 银行风险的各种度量,包括不良贷款比重、损失准备金率、资本充足率、外汇风险敞口、存贷比和杠杆率;3. 衡量银行盈利性的指标,包括资产回报率、利润资产比、成本收入比和净利润。我们发现,随着宏观审慎政策收紧,银行新增贷款降低,银行风险降低,银行盈利性变弱。但货币政策对银行风险和盈利能力并没有显著影响。我们强调,审慎型宏观政策收紧虽然提高了金融市场的稳定性,但是其代价是银行盈利能力的降低。长期来看,这种盈利能力的降低是的银行应对冲击的能力更为脆弱。我们认为,应该更全面地看待审慎性宏观经济政策,认识到金融市场监管的成本与收益。

 


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