A Study Of The Influence On The Statutory Deposit Reserve Ratio To Risk-taking Of Commercial Banks

The bank risk-taking channel of monetary policy begins to attract attention in recent years, this channel shows that monetary policy will have an impact on banks’ risk-taking. Excessive risk taking may bring a threat to the stability of the entire financial system. To study the specific impact of monetary policy tools on the bank risk-taking can provide reference for the prevention of excessive risk taking. But most of the study on this problem is very general. Therefore, this paper constructs indexes both in assets business and liability business, to analyze the influence of the commonly used quantitative monetary policy tool——the statutory deposit reserve ratio to the commercial banks’risk-taking in their on-balance sheet activities, which has important significance both in theory and practical.Based on the summaries of the theoretical research and the formation mechanism that the influence of the statutory deposit reserve ratio on commercial bank’ risk-taking in their on-balance sheet activities, this paper conducts the empirical study in three levels. First of all, take the listed Chinese 16 commercial banks as samples, estimated by GMM, to test the existence of the bank risk-taking channel of monetary policy. Secondly, divide the 16 listed commercial banks into large commercial banks and small and medium commercial banks, to explore whether bank heterogeneity lead to different conclusions. Finally, by using the impulse response analysis of VAR model, to study the time-delay of the influence. The research results show that:the influence of the statutory deposit reserve rate to large commercial banks is mainly reflected in its liabilities business, and for the small and medium sized commercial banks, is mainly embodied in the asset business. According to the theoretical analysis and empirical results, this paper puts some advice for prevention of banks’excessive risk taking respectively. Specific policies listed as follows: monetary authorities should improve the monetary policy reaction function, and strengthen the cooperation with the prudential supervision policies; commercial banks should face up to their own ability to bear the risk, and strengthen the risk management of asset and liability.