金融学院知识库

本文从商业银行这一微观主体角度出发，以银行风险承担为研究对象，以 2010—2021 年我国 298 家商业银行非平衡面板数据为基础，研究双支柱调控框 架对银行风险承担水平的影响，并据此对商业银行的风险管理提出建议。全文共 分为四章：第一章为绪论。阐述本文的研究背景及研究意义，并对相关文献进行 回顾和梳理；提出本文的主要研究方法和研究内容，并对本文的可能创新点与不 足作出总结。第二章为双支柱调控框架对商业银行风险承担影响的理论分析。主 要对货币政策、宏观审慎政策以及商业银行风险承担水平相关概念进行界定，对 相关理论、影响机理进行阐述。第三章为双支柱调控框架对商业银行风险承担影 响的实证设计、实证分析及异质性检验。第四章为研究结论与启示。对实证结果 进行总结，厘清不同政策配合下，商业银行风险承担水平，并根据实证结果提出 简要建议。 本文主要研究结论如下：（1）银行风险呈现出明显的黏性，前一期风险水 平会显著影响到当期风险承担，即商业银行风险具有跨期传递性。（2）货币政 策、宏观审慎政策与商业银行风险承担的偏好有着显著的负相关系，紧缩的政策 实施时，商业银行风险容忍程度降低，风险承担水平下降；（3）商业银行风险 受到双支柱调控之影响，双柱均对其产生负向影响，且同方向的双柱政策实施时， 有一定的抵消作用；（4）货币政策、宏观审慎政策、双支柱调控对商业银行风 险承担水平之影响存在异质性，具体表现为非国有银行风险承担意愿要强于国有 银行，一般性银行风险承担水平要强于系统重要性银行。

From the perspective of commercial banks, which is a micro-subject, this paper takes bank risk taking as the research object, and based on the unbalanced panel data of 298 Chinese commercial banks from 2010 to 2021, studies the influence of the two-pillar regulation framework on the level of bank risk taking, and puts forward suggestions on risk management of commercial banks. The full text is divided into four chapters: the first chapter is the introduction. The research background and significance of this paper are described, and the relevant literature is reviewed and sorted out. The main research methods and contents of this paper are put forward, and the possible innovations and shortcomings of this paper are summarized. The second chapter is the theoretical analysis of the influence of the two-pillar regulatory framework on the risk taking of commercial banks. It mainly defines the concepts related to monetary policy, macro-prudential policy and risk bearing level of commercial banks, and expounds the relevant theories and influence mechanisms. The third chapter is the empirical design, empirical analysis and heterogeneity test of the impact of the two-pillar regulatory framework on the risk taking of commercial banks. Chapter four is the research conclusion and enlightenment. This paper summarizes the empirical results, clarifies the risk bearing level of commercial banks under different policy cooperation,and puts forward brief suggestions according to the empirical results. The main conclusions of this paper are as follows: (1) Bank risks show obvious stickiness, and the risk level of the previous period will significantly affect the risk taking of the current period, that is, the risk of commercial banks has intertemporal transmission. (2) Monetary policy and macro-prudential policy have a significant negative relationship with the risk taking preference of commercial banks. When the tightening policy is implemented, the risk tolerance of commercial banks decreases and the risk taking level decreases; (3) The risk of commercial banks is affected by the two-pillar regulation, and both columns have a negative impact on it, and when the two-pillar policy is implemented in the same direction, there is a certain counteracting effect; (4) The impact of monetary policy, macro-prudential policy and two-pillar regulation on the risk bearing level of commercial banks is heterogeneous, which is manifested in that the risk bearing willingness of non-state-owned banks is stronger than that of state-owned banks, and the risk bearing level of general banks is stronger than that of systemically important banks.