Monetary Policy,Macro-prudential Management And Banking Systemic Risk

The financial crisis in 2008 made the regulatory authorities of various countries realize the defects of traditional monetary policy objectives and micro-prudential management.They began to pay attention to adjust the monetary policy and strengthen macro-prudential management in Basel Ⅲ to control the systemic risk better.In China,the stability of the financial system also faces serious challenges,such as banking money shortage in 2013 and the stock market crash in 2015,revealing the fragility of the financial system.So far,the financial system in China is still dominated by bank,connecting the lifeblood of serving entity economy,China has recognized the great harm of systemic risk and has begun to pay attention to unblock the risk transmission of monetary policy by bank and promote the pricing monetary policy instruments.As for macro-prudential management,regulators have issued capital and liquidity requirements and have constructed the macro-prudential assessment system MPA.Therefore,how to play a role of the dual pillar regulatory between monetary policy and macro-prudential management to prevent and resolve banking systemic risk better is important.The scholars have made abundant achievements in researching the monetary policy and macro-prudential and systemic risk,based on the existing literature,this paper summarizes the definition of monetary policy and macro-prudential management,clarifies the risk transmission of monetary policy by bank,combs out the macro-prudential tools and framework in systemic risk supervision,and summarizes the evolution and practice of monetary policy and macro-prudential management in China.In addition,based on the analysis of the characteristics and generation mechanism of the banking systemic risk,the paper calculates the banking systemic risk in China by using DCC-GARCH-CoVaR model,and analyzes the banking systemic risk from individual and time dimensions.Finally,the empirical models are constructed based on the data of 14 listing banks in China from 2008 to 2017,the paper discusses the impact of monetary policy variables on banking systemic risk by using the systematic GMM method,the difference in the sensitivity of bank heterogeneity to monetary policy is tested,and the correlation between monetary policy and macro-prudential is investigated.The results are as follows.First,the banking systemic risk exposure gap is small in China,external shocks to the economy will expand the systemic risk exposure,but timely monetary policy and macro-prudential management will improve this situation.Second,loose monetary policy will make banking industry produce greater systemic risk exposure,the quantitative instrument money supply and price instrument central bank’s base rates have more possibility and far-reaching influence to banking systemic risk.As for macro-prudential management,the improvement of capital adequacy ratio and net stable funding ratio help to curb the spillover of the banking systemic risk.Third,the risk transmission of monetary policy by bank has distinct heterogeneity,which mainly comes from the differences in profitability,asset size and management efficiency of the bank.Last,under certain conditions,macro-prudential management can effectively adjust the relationship between monetary policy and banking systemic risk,there is a highly complementary combination of monetary policy and macro-prudential instruments.Therefore,China should actively promote to combine the interest rates,make the price instrument of monetary policy change better,pay attention to use the combination between interest rate of monetary policy instruments and net stable funding ratio of liquidity management,the consistency and coordination of different policy instruments among different regulatory authorities should be strengthened.At the same time,banks should focus on their own transformation and optimization,only by taking these measures can the whole banking industry achieve the pareto-optimal states in systemic risk regulation.