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THE IMPACT OF MONETARY POLICY ON BANK RISK TAKING BASED ON DSGE MODEL—— How Monetary Policy Responses

GUO Tianyong1,YANG Fan1,LI Dan2   

  1. 1. School of Finance, Central University of Finance and Economics;
    2. School of Accounting, Central University of Finance and Economics
  • Online:2018-09-19 Published:2018-09-16

基于DSGE模型的货币政策对银行风险承担影响研究*——兼论货币政策的应对

郭田勇1,杨帆1,李丹2   

  1. 1    中央财经大学金融学院;    2    中央财经大学会计学院。
  • 基金资助:
    本文得到国家社会科学基金重大项目“改革并完善适应现代金融市场发展的金融监管框架研究”（15ZDC019）的资助。

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Abstract:

This paper aims to study the influence mechanism of the monetary policy on banks risktaking, and analyze how the monetary policy should be addressed. Based on a DSGE model to analyze the conduction mechanism of banks risktaking behavior, the results show that under the conditions of asymmetric information and limited debt, there exists moral hazard in banks behavior, which means banks will not choose to take optimal risk, instead will choose to take excess risk. For response to the low efficiency caused by bank excess risk taking, the “optimal” monetary policy designed by this paper should focus on stabilizing the trend of real interest rates, and tolerate the explosive volatility of inflation, in order to reduce the loss of social welfare caused by bank excess risktaking behavior.

Key words: monetary policy , DSGE model , welfare loss function , bank risk taking

摘要：

本文着力研究货币政策对商业银行风险承担的影响机制，并在此基础上分析货币政策应当如何应对。为此，本文构建了DSGE模型对比分析银行风险承担行为的传导机制，结果显示在信息不对称和有限债务的条件下，银行存在着道德风险，会过度地主动承担风险。为应对银行风险承担行为造成的低效率，本文设计了“最优”货币政策规则：货币政策应适当容忍通货膨胀的波动，优先关注实际利率，以降低由银行风险承担行为所导致的社会福利损失。

关键词: 货币政策 , DSGE模型 , 福利损失函数 , 银行风险承担