Monetary Policy Expectation,Non-interest Income And Individual Risk Of Banks

Since the 2008 financial crisis,it is considered by the academic community that financial intermediaries are not neutral in the transmission of monetary policy.The academic community has proposed a risk-taking channel for monetary policy.This paper believes that the changes and implementation of monetary policy can be expected,and the expected monetary policy and the unexpected monetary policy should have different implementation effects.Therefore,based on the previous studies,this paper decomposes the total change of monetary policy into the expected monetary policy and the unexpected monetary policy,and studies their own impact on the individual risks of commercial banks.With the continuous advancement of interest rate marketization in China,non-interest income has developed rapidly,and has become an important source of income for commercial banks,playing an important role in the management of commercial banks.At present,many scholars at home and abroad have proved through empirical research that there is a significant relationship between non-interest income and bank liquidity risk and banking system risk.Therefore,this paper believes that non-interest income plays an important role in the mechanism of the impact of monetary policy expectations on individual bank risks.In view of this,this paper analyzes the quarterly data of 54 commercial banks in the past seven years,constructs a two-stage system GMM model for regression analysis,and combines the empirical research results with the theoretical analysis conclusions.The conclusions show that:1.Different monetary policy expectations have risk-taking channels for commercial banks too.The expected monetary policy has a significant negative correlation with the individual risks of commercial banks,while the unexpected monetary policies has a significant positive correlation with the individual risks of commercial banks.2.Non-interest income is one of the channels that monetary policy expectation affects the individual risks of commercial banks.And non-interest income plays a different role in the relationships between different monetary policy expectations and individual risks of commercial banks.Finally,proposes relevant policy recommendations for the implementation and supervision of monetary policy and the management of commercial banks.