Declaration of Monetary Regulation and Commercial Banks' Operating Efficiency: Analysis based on Heterogenety of Anticipation Guidance.

Based on an unbalanced panel data including 38 listed banks in China, through context classification and word frequency analysis, we distinguish two different regulation announcement methods including the repressive declaration and constructive declaration, and construct a set of corresponding proxy indicators. Based on them, we take a systematic study on the impact of different regulation announcement methods on the operating efficiency of commercial banks combining two intermediary effects of on-balance and off-balance sheet activities and an efficiency measurement under SFA framework. We conclude that, first, the monetary regulation announcement will affect the operating efficiency of commercial banks through two different channels: on-balance sheet risk-taking and off-balance sheet business expansion; second, the "repressive" regulatory announcement have a significant negative shock on commercial bank efficiency, while the "constructive" regulatory announcement have a significant positive impact on efficiency; third, the heterogeneous effects of different monetary regulatory announcement methods exist in both on-balance sheet and off-balance sheet business expansion simultaneously. The research results show that: on the one hand, the operating efficiency of commercial banks is restricted by the expected changes on monetary policy and present a typical procyclical characteristic, so it is necessary to improve the "movement-style" regulation and smooth the policy expectation fluctuation as much as possible. On the other hand, it is equally important to choose an appropriate monetary regulation announcement method, constructive announcements are beneficial to slow down the expectation shock on the commercial banks operation and help a positive feedback loop between financial risk prevention and financial efficiency improvement. [ABSTRACT FROM AUTHOR]