Research on monetary policy uncertainty and commercial banks' risk-taking

被引：0

作者：

Li L. ^{[1
]}

Huang X. ^{[1
,2
]}

机构：

[1] International School of Business & Finance, Sun Yat-sen University, Zhuhai

[2] Advanced Institute of Finance, Sun Yat-sen University, Guangzhou

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2022年 / 42卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Commercial banks' risk-taking; DSGE model; Financial stability; Monetary policy uncertainty;

D O I：

10.12011/SETP2021-0198

中图分类号：

学科分类号：

摘要：

This paper constructs an DSGE model with bank run mechanism and monetary policy uncertainty (MPU) shock, and measures China's MPU based on the monetary policy rule with stochastic volatility. We further explore the impacts of MPU shock on commercial banks' risk-taking and loan activities, and its impacts on macro-level credit risk and real activities by SVAR model. We find that that: The increase of MPU will exacerbate banks' non-performing loan ratio, which will push up the risk-taking level of banks. And the rise of MPU will compress the loan activities of banks. MPU shock can negatively affect the real economic activities through raising banks' credit risks. This paper provides some policy implications for our central bankers to optimize monetary policy operation to prevent financial risk and advance the economic works such as "stabilizing finance" and "stabilizing expectation". © 2022, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.

引用

页码：847 / 864

页数：17

共 41 条

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