Interest Rate and Risk - taking of Commercial Banks:An Empirical Study based on the Listed Banks in China
利用14家上市银行数据，发现低利率会促使银行更多冒险，并用预期违约频率和利率缺口两个新指标改进了风险衡量和内生性问题。
This paper aims at studying whether there exists any potential risks hidden in the perfect balance sheets and income statements of the Chinese domestic commercial banks.We used the financial data of 14 banks which have been listed for more than two years and confirmed that low interest rate would lead to more risk - taking behaviors of commercial banks,according to ' risk - taking channel' hypothesis.There are two contributions.First,we used Expected Default Frequency(EDF) which can reflect market forward expectations and was more sensitive to overall risk as a risk measure,instead of Z - index which was based on regular bank statements.Second,we ran regressions based on forward - looking Taylor rule to estimate equilibrium interest rate and constructed a new interest policy measure which we called interest rate gap.We found that it not only reflected the strength of monetary policy but also reduced the endogeneity problem.