我国货币政策对商业银行流动性创造影响的实证分析

发布时间：2018-01-16 09:30

本文关键词：我国货币政策对商业银行流动性创造影响的实证分析　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：流动性创造作为商业银行的基本职能之一,对实体经济的发展有着重要影响。流动性过剩和不足都会引起市场经济波动,从而影响国民收入和支出。因此有必要研究影响商业银行的流动性创造机制,从而加强对商业银行流动性创造的管理。一方面,央行作为货币政策的制定者和执行者,会通过货币政策工具来调控商业银行的流动性创造;另一方面,商业银行自身的因素以及宏观经济因素都会对银行的流动性创造产生影响。本文旨在研究货币政策对银行流动性创造的影响,并针对不同类型银行进行分析,希望使央行更有针对性地进行货币政策调控。本文通过对我国34家银行在2008-2015年的资产负债表数据进行分析,根据Berger and Bouwman(2009)提出的测量流动性创造的“cat-fat(种类-表外)”模型,对各商业银行资产负债表内业务及表外业务进行流动性划分和权重赋予,最终得出各商业银行的流动性创造数值。结果表明:(1)商业银行的流动性创造数值逐年增长;(2)不同类型商业银行由于受到资产规模、不良贷款率及自身因素的影响,所创造的流动性水平也各不相同。其中,国有银行的流动性创造总量最多,股份制银行次之,最后是城市商业银行。但是,股份制银行的单位资产流动性创造水平最高,表明股份制银行对资本的利用率较高。本文在有效测量商业银行流动性创造水平的基础上,研究了货币政策对流动性创造的影响。首先,将选择的5种货币政策工具进行主成分分析,得到两个主成分因子;其次,对影响商业银行流动性创造水平的宏观因素、银行自身因素及货币政策因素进行单位根检验,保证序列平稳。接着,建立关于银行流动性创造的非平衡动态面板模型,采用一阶差分广义矩估计法进行估计,并通过Hansen检验判断工具变量的有效性及Arellano-Bond检验判定模型的合理性。最后,利用eviews得出回归分析结果。结果表明:(1)货币政策对总体商业银行的流动性创造影响显著,货币政策越宽松,银行流动性创造能力越强。总体商业银行当期的流动性创造与上一期流动性创造正相关,与核心资本充足率正相关,与银行资产规模增速负相关。(2)货币政策对不同类型银行的作用效果不同。国有银行的流动性创造主要受货币政策结构特征的负向影响,股份制银行的流动性创造主要受货币政策大小因子的负向影响,而城市商业银行的流动性创造受货币政策大小因子和形状因子的共同影响,受货币政策的影响较为敏感,货币政策越宽松,城市商业银行越能创造更多的流动性。
[Abstract]:Liquidity creation, as one of the basic functions of commercial banks, has an important impact on the development of the real economy. Therefore, it is necessary to study the liquidity creation mechanism affecting commercial banks, so as to strengthen the management of liquidity creation of commercial banks. The central bank, as the maker and executor of monetary policy, will regulate the liquidity creation of commercial banks through monetary policy tools. On the other hand, commercial banks' own factors and macroeconomic factors will have an impact on bank liquidity creation. The purpose of this paper is to study the impact of monetary policy on bank liquidity creation. This paper analyzes the balance sheet data of 34 banks in China from 2008 to 2015 in the hope of making the central bank carry out monetary policy regulation and control more pertinently. According to Berger and Bouwman's 2009), the cat-fatmodel of measuring liquidity is put forward. On the balance sheet of each commercial bank business and off-balance sheet business liquidity division and weights. Finally, the liquidity creation value of commercial banks is obtained. The results show that the liquidity creation value of commercial banks increases year by year. Different types of commercial banks create different levels of liquidity due to the influence of asset size, non-performing loan ratio and their own factors. Among them, the total amount of liquidity creation of state-owned banks is the largest. The joint-stock banks take the second place, and finally the city commercial banks. However, the joint-stock banks create the highest level of liquidity per unit assets. This paper studies the influence of monetary policy on liquidity creation on the basis of effectively measuring the level of liquidity creation of commercial banks. The five monetary policy instruments selected are analyzed by principal component analysis and two principal component factors are obtained. Secondly, the macro factors affecting the level of liquidity creation of commercial banks, the bank itself and monetary policy factors are tested by unit root test to ensure the sequence is stable. The non-equilibrium dynamic panel model of bank liquidity creation is established, and the first order difference generalized moment estimation method is used to estimate the model. And through the Hansen test to judge the effectiveness of tool variables and Arellano-Bond test to determine the rationality of the model. Finally. The result shows that the monetary policy has a significant impact on the liquidity creation of commercial banks as a whole, and the monetary policy is looser. The liquidity creation ability of banks is stronger. The liquidity creation of commercial banks in the current period is positively related to the liquidity creation in the previous period and to the core capital adequacy ratio. The effect of monetary policy on different types of banks is different. The liquidity creation of state-owned banks is mainly negatively affected by the characteristics of monetary policy structure. The liquidity creation of joint-stock banks is mainly influenced by the size factors of monetary policy, while the liquidity creation of urban commercial banks is influenced by both the size factor and shape factor of monetary policy. More sensitive to the influence of monetary policy, the more loose monetary policy, the more urban commercial banks can create more liquidity.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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