行业贷款组合构成对货币政策传导有影响吗?

IF 0.7 Q3 ECONOMICS
V. Dang, H. Nguyen
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引用次数: 0

摘要

目的─本文实证探讨贷款组合多元化对货币政策通过银行贷款和风险承担渠道传递的调节作用。方法─利用2007-2019年越南商业银行数据,采用动态面板模型的两步系统广义矩法进行回归。为了保持稳健性,我们采用了不同的货币政策指标选择,从基于利率的工具到基于定量的政策,并考虑了一系列丰富的行业风险敞口措施,以实现代理贷款组合多样化。研究发现─货币扩张期间较低的利率或较大的流动性注入可能会增加银行贷款和银行风险,从而证实了银行贷款和风险承担渠道在货币政策传导中的作用。值得注意的是,由于银行将贷款组合更多地分散到各个经济部门,这些银行渠道的效力可能会减弱。启示─研究结果呼吁货币当局在制定货币政策时,应根据银行的贷款组合将重点放在某些类型的银行上。在管理银行监管时,银行监管机构还应承认,在应对货币冲击时,银行贷款与银行风险之间存在权衡。独创性─本文首次探讨了贷款组合构成的条件作用,从而进一步支持了最近涌现的强调商业模式在货币政策传递中的作用的实证研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Does sectoral loan portfolio composition matter for the monetary policy transmission?
Purpose ─ The paper empirically explores the conditioning role of loan portfolio diversification in the monetary policy pass-through via the bank lending and risk-taking channels. Methods ─ Data of Vietnamese commercial banks during 2007–2019 is employed to perform regression using the two-step system generalized method of moments in dynamic panel models. For robustness, we approach different choices of monetary policy indicators, ranging from interest-based tools to quantitative-based policy, and consider a rich set of sectoral exposure measures to proxy loan portfolio diversification. Findings ─ Lower interest rates or greater liquidity injection during monetary expansion may increase bank lending and bank risk, thus confirming the working of the bank lending and risk-taking channels of monetary policy transmission. Notably, the potency of these banking channels may be weakened for banks diversifying loan portfolios more into various economic sectors. Implication ─ The findings call for monetary authorities to concentrate on certain types of banks, depending on their loan portfolios when setting monetary policy. When managing banking supervision, banking supervisors should also acknowledge the tradeoff between bank lending and bank risk in response to monetary shocks. Originality ─ For the first time, this paper explores the conditional role of loan portfolio composition and thus further supports the recent upsurge in empirical studies highlighting the role of business models in monetary policy pass-through.
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来源期刊
自引率
20.00%
发文量
21
审稿时长
12 weeks
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