Has Macroprudential Policy Reduced Banking Systemic Risk?——An Empirical Evidence Based on Chinese A-share Listed Commercial Banks
The understanding of the implementation impact of macroprudential policies on banking stability and their underlying mechanisms holds significant importance in enhancing China's macroprudential policy framework and systemic risk prevention system.We empirically examine the causal relationship between macroprudential policies and banking systemic risk us-ing balanced panel data from 2010-2022 of 16 Chinese A-share listed commercial banks,while also analyzing the influencing mechanism.The empirical findings demonstrate that:(1)China's macroprudential policies effectively reduce banking systemic risk,with this conclusion remain-ing valid after conducting endogeneity and robustness tests.(2)Liquidity policy instruments exhibit the strongest impact in reducing banking systemic risk,followed by asset policy instru-ments,with capital policy instruments having a comparatively weaker effect.(3)Smaller-sized banks with less diversified asset management portfolios and weaker earning capacities experi-ence a stronger reduction in banking systemic risk through macroprudential policies.(4)Mech-anism testing results indicate that macroprudential policies mitigate banking systemic risk by reducing their propensity for taking risks and weakening the interconnectedness among banks.Finally,relevant suggestions were put forward from the aspects of enriching and optimizing pol-icy tools,differentiated supervision based on bank characteristics,and streamlining policy action paths.
NETL
NSTL
万方数据
