货币政策对银行杠杆的顺周期影响建模：一种随机宏观审慎方法

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2025-05-23 DOI:10.1016/j.jfs.2025.101421

Juan F. Rendón , Lina M. Cortés , Javier Perote

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引用次数: 0

摘要

本研究提出了一种分析由联合货币和审慎政策决策引起的顺周期系统性风险的方法。本文分析了不同情景下货币政策利率对美国商业银行杠杆率的影响。采用动态条件相关-半非参数模型和二元谱分析方法对各变量间的动态进行了建模。结果表明，高利率和低利率会增加杠杆率，而中利率会降低杠杆率。在评估金融稳定性时，强调了考虑压力测试中概率分布的不对称性和重尾的重要性以及变量之间相关性的动态。

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Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach

This study presents a methodology for analyzing procyclical systemic risk arising from joint monetary and prudential policy decisions. We analyze the impact of different scenarios of the monetary policy interest rate on the leverage ratio of US commercial banks. The Dynamic Conditional Correlation - Semi-nonparametric model and bivariate spectral analysis are applied to model the dynamics among the variables. The results indicate that high and low interest rates increase leverage while medium rates reduce it. The importance of considering asymmetries and heavy tails of probability distributions in stress tests and the dynamics of the correlation between variables is highlighted when assessing financial stability.

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.