商业银行流动性危机下中央银行货币政策研究

发布时间：2018-05-02 02:52

本文选题：流动性冲击 + 银行间市场　；参考：《华中科技大学》2012年硕士论文

【摘要】：流动性在商业银行的经营管理中占有重要地位，在正常情况下，商业银行会持有一定数量的流动性资产，以应对可能出现的流动性冲击。当银行受到流动性冲击时，流动性紧缺银行可以通过银行间市场从流动性盈余的银行那里获得流动性，所以银行间市场存在一个银行间市场利率。当利率适合时，银行间市场能够缓解流动性冲击，当利率不合适时，会使流动性冲击更加严重，，此时就需要中央银行的干预。本文中我们建立了一个银行间市场模型，并且证明在遭遇流动性冲击时，中央银行的利率政策可以直接改善银行间市场的流动性状况。模型中我们给出的中央银行的最优政策是在发生危机时降低银行间市场利率，这一点与实际中中央银行所采取的措施是一致的。通过了解银行间市场的作用，我们可以从直觉上就可以得到模型的结果。银行间市场的最重要作用就是重新分配银行系统中的流动性储备，从流动性充足银行转移至流动性短缺的银行。本模型中，我们将银行所面临的流动性风险定义为关于流动性资产需求的不确定性，而这种流动性资产就是银行储备。通过模型分析，最后我们认为在解决流动性冲击问题上，中央银行能够发挥非常有效的作用，并且针对不同的冲击状态，中央银行采取的干预措施也不同。
[Abstract]:Liquidity plays an important role in the management of commercial banks. Under normal circumstances, commercial banks will hold a certain amount of liquidity assets to cope with possible liquidity shocks. When banks are hit by liquidity liquidity scarce banks can obtain liquidity from banks with liquidity surpluses through the interbank market so there is an interbank market interest rate in the interbank market. When the interest rate is suitable, the interbank market can mitigate the liquidity shock, and when the interest rate is not suitable, it will make the liquidity shock more serious, which requires the intervention of the central bank. In this paper we establish an interbank market model and prove that the central bank's interest rate policy can directly improve the liquidity situation of the interbank market in the event of a liquidity shock. The optimal policy of the central bank in the model is to reduce the interbank market interest rate in the event of crisis, which is consistent with the measures taken by the central bank in practice. By understanding the role of the interbank market, we can intuitively get the results of the model. The most important role of the interbank market is to redistribute liquidity reserves in the banking system, moving from liquid banks to cash-strapped banks. In this model, we define the liquidity risk faced by banks as the uncertainty about the demand for liquid assets, which are bank reserves. Through the model analysis, we conclude that the central bank can play a very effective role in solving the liquidity shock problem, and the intervention measures taken by the central bank are different according to different impact states.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.0;F832.3

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