经济不确定性下的商业银行资产负债结构调整及其流动性创造

发布时间：2019-01-08 13:10

【摘要】：一直以来,媒体和学者都喜欢用M2或信贷总量作为经济体中流动性的量度,并以此来分析国内流动性增速与经济增速间的不同步现象。根据“信贷陷阱”理论,与经济增长有直接关联的流动性为银行体系所创造的流动性。2013年6月份银行间市场的钱荒充分暴露了银行的资产负债期限错配问题,并对银行的风险管理水平提出了挑战,而期限错配问题也与银行的流动性创造水平密切相关。根据现代金融中介理论,商业银行的基本职能是流动性创造与风险转移。关于风险转移功能,国内外已有很多研究文献,而学术界对于银行流动性创造的研究则相对较少,且相关文献集中在探讨银行自身因素对其流动性创造水平的影响,而几乎没有针对经济不确定性等外部影响因素方面的研究。随着我国资本账户的逐步开放和利率市场化的不断推进,银行外部经济环境的不确定性在逐渐加大,因此针对外部经济冲击对银行自身影响方面的研究也就显得更为有意义。根据银行的“流动性创造理论”,当银行将一单位非流动资产转化为一单位流动性负债时,也就为外界创造了一单位的流动性。本文所指的银行流动性创造沿用Berger and Bouwman(2009)对银行流动性创造的定义和测算方法,并将其含义进行了重新解读。宏观层面上,银行的流动性创造可用来衡量银行作为信用中介向市场提供的额外流动性；而在微观角度,银行单位资产流动性创造值的变化则表示其自身资产负债期限结构调整的幅度。从经济学逻辑角度而言,当经济不确定性程度加大时,会使银行面临的信用风险和利率风险加大,银行为减少自身的风险暴露会主动调整自身的资产负债结构,从而导致银行向外部提供的流动性减少。而当宏观经济平稳向好时,银行由于受内在盈利要求的驱使将通过不断地借短期贷长期的方式来为外界提供流动性,此时银行的流动性创造水平是不断增加的。但是,随着银行期限错配的不断进行,其未来所面临的流动性风险也在不断加大。一旦经济外部不确定性加大,银行将迅速将贷款期限从长期向短期转移,同时加大从银行间市场拆借短期资金的力度,这最终会导致实体经济的进一步凋零和银行间市场资金面的紧张。最后,本文通过109家银行2004-2012年的非平衡面板数据来测算其流动性创造值的大小,并就银行的资产负债结构及其流动性创造能力与宏观经济不确定性之间的关系进行了实证检验,结果验证了之前的理论分析,即宏观经济增速或利率波动的不确定性增加时银行会主动调整自身的资产负债结构,导致其最终所创造的流动性减少。
[Abstract]:For a long time, media and scholars like to use M2 or total credit as a measure of liquidity in an economy, and use it to analyze the phenomenon of domestic liquidity growth and economic growth rate out of sync. According to the "credit trap" theory, liquidity directly linked to economic growth creates liquidity in the banking system. The June 2013 cash crunch in the interbank market fully exposed the problem of maturities mismatch between banks' assets and liabilities. It also challenges the risk management level of banks, and term mismatch is closely related to the liquidity creation level of banks. According to modern financial intermediation theory, the basic function of commercial banks is liquidity creation and risk transfer. There have been many researches on risk transfer function at home and abroad, while the academic research on bank liquidity creation is relatively few, and the relevant literature focuses on the impact of banks' own factors on the level of liquidity creation. There is little research on external factors such as economic uncertainty. With the gradual opening of China's capital account and the promotion of interest rate marketization, the uncertainty of the external economic environment of banks is gradually increasing, so it is more meaningful to study the impact of external economic shocks on banks themselves. According to the bank's "liquidity creation theory", when a bank converts a unit of illiquid assets into a unit of liquid liabilities, it creates a unit of liquidity for the outside world. This paper uses Berger and Bouwman (2009 to define and measure the bank liquidity creation, and reinterprets its meaning. At the macro level, bank liquidity creation can be used to measure the additional liquidity that banks provide to the market as a credit intermediary; On the other hand, the change of the created value of bank's unit asset liquidity indicates the range of the term structure adjustment of bank's own assets and liabilities. From the angle of economic logic, when the degree of economic uncertainty increases, the credit risk and interest rate risk of banks will increase, and banks will adjust their asset-liability structure actively in order to reduce their exposure to risks. As a result, banks provide less liquidity to the outside. When the macro-economy is stable and good, banks will provide liquidity to the outside world by borrowing short-term loans for a long time because of the inherent profit requirements. At this time, the level of liquidity creation of banks is increasing. However, as the maturity mismatch of the bank continues, its future liquidity risk is also increasing. Once the external uncertainty of the economy increases, banks will quickly shift the duration of their loans from the long term to the short term, and increase their efforts to borrow short-term funds from the interbank market. This will eventually lead to further decline in the real economy and a tightening of funds in the interbank market. Finally, this paper uses the non-equilibrium panel data of 109 banks from 2004 to 2012 to measure the value of liquidity creation. The relationship between bank's asset-liability structure, its liquidity creation ability and macroeconomic uncertainty is tested, and the results verify the previous theoretical analysis. That is, when the uncertainty of macroeconomic growth or interest rate fluctuation increases, banks will adjust their asset-liability structure on their own initiative, resulting in the reduction of the liquidity created by the banks.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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