Research On The China's Bank Risk-taking Channel Under The Monetary Policy Shock

After the global financial crisis,the impact of bank risk-taking on financial stability and macro-economy has attracted much attention.Many researchers believe that the accumulation of risk by bank risk-taking at low interest rates is a potential cause of the U.S.financial crisis.And the bank risk-taking channel impacts on macroeconomic fluctuations through liquidity creation.The bank risk-taking channel proposed by Borio and Zhu(2012)and Adrian and Shin(2011)is a new research direction after the crisis,which enriches and expands the traditional monetary policy transmission theory.In the context of the current China's economy entering the "new normal",the People's Bank of China maintaining a "steady and neutral monetary policy" and the interest rate marketization process basically completed,the effect of the bank risk-taking channel is prominent in the changing economic system.Banks are objectively affected by the economic slowdown and the change of the risk environment,subjectively affected by the marketization of interest rates,with their profitability gradually weakening.And their internal mechanism and characteristics are more complex under the influence of multiple policy and institutional factors.The People's Bank of China is facing a major challenge that how to play the role of the banking system as the main transmission channel of monetary policy and ensure the effectiveness of monetary policy regulation under the condition of the change of bank objective risk environment and bank subjective risk-taking characteristics.By combing and summing up the existing literatures,the paper introduces the bank risk-taking factor into the traditional credit channel of monetary policy,and then analyzes the driving factors,the mechanism and the effects of the bank risk-taking channel.On the basis of this,combined with the characteristic fact of Chinese bank risk-taking,the system generalized method of moments(SYS-GMM),time-varying parameter vector autoregression(TVP-VAR),Markov regime-switching vector autoregression(MS-VAR)and globa vector autoregression(GVAR),are used to evaluate the overall and asymmetric effects of risk-taking channels in China's banks.According to the results of empirical analysis,the corresponding suggestions are put forward.The research shows that,under the impact of monetary policy,China's bank risk-taking channel exists.In the short term,monetary policy shocks have a positive impact on the output gap through the bank risk-taking channel,and negative effects in the long run.From the perspective of time latitude,the influence of the bank risk-taking channel on output gap has a pro-cyclical effect.From the perspective of spatial latitude,there is a regional effect of monetary policy on the regional output gap through the bank risk-taking channel.According to the conclusion of the research,we should establish the framework of monetary policy and macro-prudential policy to supervise the bank risk-taking,use a "leaning against the wind" monetary policy respond to the bank risk-taking,use macro-prudential policy to make adjustment function of bank risk-taking,deepen the reform of the financial system at the same time,explore the structural policy tools to deal with the bank risk-taking factors.