金融学院知识库

    我国经济已经进入新常态，为适应新的发展形势，金融业也不断进行深化改革。但随着规模的增长、金融工具的创新、业务结构的转型，也带来了不同以往的金融风险。因此，党的二十大报告中提出，要实施稳健的货币政策，平稳化解中小金融机构风险，确保大型金融机构健康发展，金融体系稳健运行。商业银行作为我国间接融资体系的核心，其稳健的发展对整个金融体系和金融业稳定具有举足轻重的影响。一方面，商业银行的资产负债结构变化直接影响了其风险承担水平；另一方面，在不同的货币政策调控下，这种影响也存在着差异。因此，将货币政策、商业银行资产负债结构和风险承担水平放在同一框架下研究，具有一定的现实与理论意义。

   基于上述研究背景和意义，本文对现有文献进行梳理和归纳总结后，梳理了货币政策、商业银行资产负债管理及银行风险承担的相关理论基础，分析了货币政策、资产负债结构及商业银行风险承担之间的作用机制。之后，构建了商业银行资产负债期限结构指标、同业业务期限结构指标和银行风险承担水平指标，选取合适的货币政策变量，利用双向固定效应模型实证分析商业银行资产负债结构对其风险承担的影响，并加入货币政策与商业银行资产负债期限结构的交乘项，实证分析货币政策对商业银行资产负债结构影响其风险承担的调节作用。最后，对硅谷银行破产案例进行分析。

    本文通过理论分析与实证研究发现，商业银行总资产增速越快，其风险承担水平越低；商业银行的资产负债和同业业务期限错配越严重，其风险承担水平高；数量型货币政策和新型货币政策能够发挥逆调节作用，即数量型货币政策和新型货币政策会削弱资产负债期限错配效果，抑制商业银行的风险承担水平，而价格型货币政策能够发挥正调节效用。最后，针对以上研究结果，为商业银行的经营管理和监管提出针对性的政策建议。

     China's economy has entered a new normal, in order to adapt to the new development situation, the financial industry has continued to deepen reform. However, with the growth of scale, the innovation of financial instruments, and the transformation of business structure, it also brings different financial risks. Therefore, the report of the Party's 20th National Congress proposed that we should implement a prudent monetary policy, smoothly resolve the risks of small and medium-sized financial institutions, ensure the healthy development of large financial institutions, and the steady operation of the financial system. As the core of China's indirect financing system, the steady development of commercial banks has great influence on the whole financial system and the stability of the financial industry. On the one hand, the change of the balance sheet structure of commercial banks directly affects the level of risk taking. On the other hand, under different monetary policies, the impact is also different. Therefore, it is of practical and theoretical significance to study monetary policy, asset liability structure and risk bearing level of commercial banks under the same framework.

   Based on the above research background and significance, this paper combs and summarizes the existing literature, combs the relevant theoretical basis of monetary policy, asset liability management of commercial banks and bank risk taking, and analyzes the mechanism of action among monetary policy, asset liability structure and risk taking of commercial banks. After that, the term structure index of commercial banks' assets and liabilities, the term structure index of inter-bank business and the risk bearing level index of banks are constructed. The appropriate monetary policy variables are selected, and the two-way fixed effect model is used to empirically analyze the influence of commercial banks' asset and liability structure on their risk bearing. The intersection term between monetary policy and commercial banks' asset and liability term structure is added. This paper empirically analyzes the regulatory effect of monetary policy on the balance sheet structure of commercial banks. Finally, the case of Silicon Valley bank bankruptcy is analyzed.

   Through theoretical analysis and empirical research, this paper finds that the faster the total assets of commercial banks increase, the lower their risk taking level; The more serious the mismatch between commercial banks' assets and liabilities and inter-bank business term, the higher their risk bearing level; Quantitative monetary policy and new monetary policy can play a negative regulating role, that is, quantitative monetary policy and new monetary policy can weaken the effect of maturity mismatch of assets and liabilities and restrain the level of risk taking of commercial banks, while price monetary policy can play a positive regulating role. Finally, based on the above research results, the paper puts forward targeted policy suggestions for the operation management and supervision of commercial banks.