关键词: 宏观审慎, 货币政策, 银行贷款竞争, 风险效应

Abstract: This paper conducts an empirical test on the influencing mechanism of macro-prudential regulation and monetary policies on the risk effect of bank loan competition by selecting the panel data of 321 Chinese commercial banks from 2007 to 2021. The main findings are as follows. First, loan competition has a U-shaped effect on bank insolvency risk, which passes the Lind-Mehlum U test. When competition level is beneath the critical value, virtuous loan competition exerts a risk-curbing effect. When competition level is above the critical value, vicious loan competition exerts a risk-increasing effect. Second, in terms of marginal impact, capital regulation amplifies the risk-curbing effect of virtuous competition and mitigates the risk-increasing effect of vicious competition, showing a structural governance advantage on the risk effect of loan competition. Tightening monetary environment abates both effects, while monetary policy uncertainty amplifies both effects. Third, in terms of interactive impact, within the virtuous competition regime, tightening monetary environment and monetary policy uncertainty do not have a significant effect on the impact of capital regulation. Within the vicious competition regime, tightening monetary environment and monetary policy uncertainty respectively strengthen and weaken the impact of capital regulation. Forth, in terms of structural macro-prudential factors, direct interbank connection strengthens the risk-curbing effect of virtuous competition, but amplifies the risk-increasing effect of vicious competition. Indirect interbank connection weakens the risk-curbing effect of virtuous competition and amplifies the risk-increasing effect of vicious competition. Our research has important policy implications in terms of maintaining bank system soundness using the macro-prudential policy and monetary policies under the background of the market-based reform of the banking sector.

Key words: Macro-prudential Regulation, Monetary Policy, Bank Loan Competition, Risk Effect