Bank Risk-Taking, Credit Allocation, and Monetary Policy Transmission: Evidence from China
利用中国银行机密贷款数据，研究巴塞尔协议III如何影响银行风险承担对货币政策冲击的反应，发现货币政策宽松通过风险权重渠道降低风险，但导致信贷向低效率国企倾斜，引发风险与信贷错配的权衡。
Using confidential loan-level data, we examine how Basel III influenced the responses of bank risk-taking to monetary policy shocks in China. We use a difference-in-differences (DID) approach, exploiting disparities in lending behavior between high- and low-risk bank branches before and after the new regulations. Our findings reveal a novel risk-weighting channel through which monetary policy easing significantly reduced bank risk-taking. However, this risk reduction was achieved by shifting lending towards ostensibly low-risk state-owned enterprises (SOEs) with government guarantees, despite their lower average productivity. Our findings suggest a trade-off facing China’s monetary policy between curbing bank risks and addressing credit misallocation.