《保险研究》20200403-《货币政策对保险公司风险承担的传导机制与影响效果研究》（赖周静）

［摘   要］本文对货币政策在保险行业中的传导机制进行了理论分析,结合保险公司的内生互动网络特征,以我国保险全行业进行实证研究。从数量型、价格型、政策虚拟变量等多种角度选择货币政策代理变量,构建面板模型,探究货币政策对我国保险公司风险承担的影响效果,进一步运用两步处理法,识别货币政策对风险承担的具体传导机制。实证结果表明,我国保险公司对外生的货币政策存在显著的风险承担反应,货币政策越宽松,企业风险承担越大；货币政策越紧缩,企业风险承担越小,货币政策对保险公司风险承担的影响存在显著的滞后性和长期性。在对寿险和非寿险公司进行异质性研究时发现,寿险公司普遍比非寿险公司具有更高的风险承担,对货币政策更为敏感,受影响时间也更长。对传导机制的进一步研究表明,货币政策对保险公司风险承担的影响,主要是通过不完全的资产负债传导机制和盈利渠道两种路径传导,宽松的货币政策下,保险公司会通过资产渠道扩大投资规模增加风险承担,也会基于盈利改善提高风险承担意愿。

［关键词］货币政策；保险公司；风险承担

［基金项目］西华大学社会科学重点基金项目“我国金融行业信息披露质量、影响因素及经济后果研究”(ZW17137)。感谢杨晓维教授对本文提出的宝贵意见,文责自负。

［作者简介］赖周静,博士,西华大学经济学院讲师。

The Transmission Mechanism and Effect of Monetary Policy on Insurance Company's Risk-taking

LAI  Zhou-jing

Abstract：Based on the theoretical analysis of the transmission mechanism of monetary policy in the insurance industry,and combined with the intrinsic interactive network characteristics of insurance companies,this paper conducted an empirical study on the whole insurance industry in China. By choosing agent variables of monetary policy from quantitative and price perspectives and policy dummy variables,this paper constructed a panel model to explore the impact of monetary policy on the risk-taking of insurance companies in China,and further used the two-step approach to identify the specific transmission mechanism of monetary policy on risk-taking. The empirical results show that insurance companies have a significant response to exogenous monetary policy:the looser the monetary policy,the greater the risk-taking of enterprises;the tighter the monetary policy,the smaller the risk-taking of enterprises. The impact has a significant lag and long-term effect. In the study of heterogeneity of life insurance and non-life insurance companies,it is found that life insurance companies generally have higher risk-taking,are more sensitive to monetary policy,and are impacted for a longer period of time than non-life insurance companies. Further research on the transmission mechanism shows that the impact of monetary policy on the risk-taking of insurance companies is mainly conducted through incomplete asset liability transmission mechanism and the profit-making channel. Under the loose monetary policy,insurance companies will expand investments and increase risk-taking through the asset channel,and also increase risk-taking willingness based on profit improvement.

Key words：monetary policy;insurance company;risk taking