中央银行干预对商业银行流动性影响的研究

发布时间：2018-06-07 07:45

本文选题：中央银行干预 + 商业银行流动性　；参考：《东北财经大学》2012年硕士论文

【摘要】：近年来,我国对外贸易取得了迅猛发展,外汇占款不断增加,外汇占款成为了增加市场流动性的重要因素,为了回收市场上过多的流动性,中央银行被迫采取了一系列的冲销干预措施,如频繁上调法定存款准备金率、大规模发行中央银行票据、在公开市场上不断采取正回购操作等措施。然而,2008年突如其来的美国次贷危机引发的全球金融危机,给中国的经济带来了很大的冲击,市场上的流动性急剧变化,流动性过剩转变为流动性危机,为了应对危机,中国政府采取了四万亿的投资刺激计划以及其他的一些刺激政策。中央银行也由原来的紧缩的货币政策转变成宽松的货币政策,下调法定存款准备金率,大规模减少中央银行票据的发行量。虽然这些刺激政策在稳定市场的信心,保持中国经济的增长速度上起到了很大的推动作用,但是这些刺激政策也带来了一些后遗症,导致了货币超发,通货膨胀严重,市场上流动性不足又逐渐转变成流动性过剩。针对这些情况,中央银行又变回实施从紧的货币政策,上调存款准备金率,甚至在2011年6月将法定存款准备金率上调到了21.5%的历史最高水平,同时,中央银行在公开市场上也加大正回购的力度以及扩大中央银行票据发行规模。但是2011年下半年国际国内环境发生了很大的变化,欧洲债务危机愈演愈烈,我国对外贸易严重受到影响,我国市场的资金紧张,大量企业融资困难,实体经济不断走弱。流动性过剩再次转变成流动性不足,为了改善不断恶化的局面,中央银行又开始下调存款准备金率,在公开市场上进行逆回购操作,并在2011年12月底暂停发行中央银行票据。可见,我国中央银行的干预措施大多都是围绕着市场流动性的变化而变化,我国的流动性经历了从过剩到不足,从不足到过剩,再又从过剩到不足,而中央银行干预措施也相应的经历了不断的变化。中央银行的这一系列干预措施都是通过流动性的传导机制从而实现其政策目标的,而商业银行的流动性又是流动性传导机制中重要的一环,那么中央银行干预对商业银行流动性会产生多大的影响,以及不同的干预措施对其影响又有怎样的不同,这都是值得我们研究的问题。而且研究中央银行干预对商业银行流动性的影响,可以反映出不同的干预措施对商业银行流动性冲击的大小,这对于中央银行制定有效干预措施,并且在制定有效措施的同时尽量减小对商业银行流动性的冲击,以及商业银行在中央银行干预下如何更好地提高流动性管理,都具有重要的意义。故本文以中央银行干预对商业银行流动性影响为研究对象。首先,本文在回顾国内外参考文献的基础上,分析了中央银行干预以及中央银行干预的三个重要的干预措施——调整法定存款准备金率、发行中央银行票据和买卖国债,接着用理论详细剖析了这三种干预措施对商业银行流动性的影响。其次,本文运用2004年1月到2011年12月中央银行干预和商业银行流动性的月度数据,利用单位根检验、协整检验、格兰杰因果检验和向量自回归脉冲响应函数实证分析了中央银行干预对商业银行流动性的影响。实证结果表明：中央银行干预与商业银行流动性互为因果关系；调整法定存款准备金率的干预措施对商业银行流动性的影响最强而且持续时间长；发行中央银行票据的干预措施对商业银行流动性的影响最小,但是短期冲击大;中央银行买卖国债对商业银行流动性的影响相对于法定存款准备金而言也比较小。最后,本文在实证结果的基础上,对我国中央银行怎样制定干预措施和商业银行如何提高流动性管理方面提出了一些政策建议。
[Abstract]:In recent years, China's foreign trade has made rapid development, the foreign exchange occupation is increasing, and the foreign exchange occupation has become an important factor to increase the liquidity of the market. In order to recover the excessive liquidity in the market, the central bank has been forced to take a series of intervention measures, such as the frequent adjustment of the reserve ratio of the legal deposit, and the large-scale circulation of the central bank. However, the global financial crisis caused by the sudden American subprime crisis in 2008 has brought a great impact on China's economy. The liquidity of the market has changed dramatically and the liquidity surplus has changed into a liquidity crisis. In order to cope with the crisis, the Chinese government has taken four. The central bank has also changed from the original tight monetary policy into a loose monetary policy, a downgrade of the statutory deposit reserve rate and a large reduction in the circulation of central bank notes, although the stimulus policy has maintained the market's confidence to maintain the growth rate of China's economy. It has been a great boost, but these incentives have also brought some sequelae, which led to a currency overshoot, a severe inflation, and a lack of liquidity in the market to a surplus of liquidity. In this case, the central bank has turned back into a tight currency policy, raising the reserve requirement rate, even in June 2011. In the second half of 2011, the international and domestic environment has changed greatly, the European debt crisis has become more and more intense, and our foreign trade is seriously affected. In order to improve the situation of worsening, the central bank has begun to reduce the reserve requirement rate, reverse the purchase operation on the open market, and suspend the issuance of the central bank ticket at the end of December 2011. According to it.
It is obvious that the intervention measures of the Central Bank of our country are mostly changed around the change of market liquidity. The liquidity of our country has experienced from surplus to deficiency, from insufficient to surplus, and then from surplus to insufficiency, and the central bank intervention has also undergone constant change. The central bank's series of intervention measures are all through. The liquidity transmission mechanism to achieve its policy objectives, and the liquidity of commercial banks is an important part of the liquidity transmission mechanism, then the central bank intervention will have much impact on the liquidity of commercial banks, and how different intervention measures have different effects on them, which are all worthy of our research. And the study of the impact of central bank intervention on the liquidity of commercial banks can reflect the impact of different interventions on the liquidity impact of commercial banks, which makes effective interventions for the central bank, and reduces the impact on commercial banks' liquidity as well as commercial banks in the central bank while making effective measures. It is of great significance how to improve the liquidity management better under the intervention of the bank. Therefore, this paper studies the effect of the central bank intervention on the liquidity of commercial banks.
First, on the basis of reviewing domestic and foreign references, this paper analyzes three important intervention measures of central bank intervention and central bank intervention - adjusting the reserve ratio of legal deposits, issuing central bank bills and buying and selling Treasury bonds, and then analyzing the effects of these three interventions on the liquidity of commercial banks in detail. Secondly, using monthly data of central bank intervention and commercial bank liquidity from January 2004 to December 2011, this paper uses unit root test, cointegration test, Grainger causality test and vector autoregressive impulse response function to analyze the impact of central bank intervention on commercial banks' mobility. The empirical results show that central bank is dry. There is a causal relationship between commercial bank liquidity and commercial bank liquidity, and the intervention measures to adjust the rate of legal deposit reserve have the strongest influence on the liquidity of commercial banks and long duration; the intervention measures for issuing central bank bills have the least impact on the liquidity of commercial banks, but the short-term impact is large; the central bank buying and selling Treasury bonds to commercial banks flow. The dynamic effect is relatively small compared with the statutory deposit reserve. Finally, on the basis of the empirical results, this paper puts forward some policy suggestions on how the Central Bank of China can formulate intervention measures and how commercial banks can improve the liquidity management.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

【引证文献】