中国银行流动性对货币政策银行信贷渠道影响的计量研究

发布时间：2018-02-02 14:33

本文关键词： 银行流动性货币政策银行信贷渠道利率市场化影子银行　出处：《浙江理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：对于商业银行而言,流动性尤为重要,已成为银行发展的生命线。而在货币政策的传导过程中,银行流动性会对政策效果产生影响,对于流动性充足的银行,能够更好地对冲紧缩性货币政策带来的冲击。同时,利率市场化程度的不断提高以及金融创新的深化,均会对银行流动性产生不同程度的冲击,从而使得银行流动性对货币政策银行信贷渠道的影响产生变化。因此,研究流动性对货币政策银行信贷渠道的传到效果变得尤为紧迫,而国内关于这方面的研究并不多。本文基于上述背景,试图进一步研究银行流动性对货币政策银行信贷渠道的影响。本文首先基于前人的研究以及中国实际,简单分析了银行流动性对银行信贷渠道的影响,并提出了四个假说。接着建立相应的实证模型,以2005-2014年中国上市银行为样本数据,对本文提出的假说进行了验证。研究结果表明,银行流动性会弱化货币政策银行信贷渠道的效应,流动性越强的银行越能对冲紧缩性货币政策冲击。此外,银行规模会减小银行流动性对货币政策银行信贷渠道的影响,而银行利率市场化以及影子银行的发展,均会对银行流动性产生冲击,从而加强银行流动性对货币政策银行信贷渠道的影响。最后,本文基于实证结果以及中国实际,给出了如下政策含义:第一,银行信贷渠道仍然是我国货币政策传导的重要渠道之一,合理控制银行流动性对商业银行以及货币政策的调控效果均会产生积极的作用;第二,中央银行在制定货币政策时应充分考虑商业银行的异质性,实行差异化管理,在经济过热时期,中央银行可以对流动性水平较高、规模较大的银行实行更为紧缩的货币政策,而在经济紧缩时期,对流动性水平较高、规模较大的银行采取更为宽松的货币政策;第三,利率市场化改革应该是一个循序渐进的过程,不可操之过急,利率市场化改革应充分考虑到在该过程中给银行带来的流动性风险问题;第四,影子银行的适度发展有利于经济发展,若超出界限,将会给商业银行带来流动性风险的问题,因此,应合理引导影子银行朝着正确的方向发展,适度发展,尽可能减少风险。
[Abstract]:For commercial banks, liquidity is particularly important and has become the lifeline of bank development. In the transmission of monetary policy, bank liquidity will have an impact on the effectiveness of the policy, for banks with sufficient liquidity. At the same time, the continuous improvement of interest rate marketization and the deepening of financial innovation will have a different degree of impact on bank liquidity. Therefore, it is urgent to study the effect of liquidity on the credit channels of monetary policy banks. Based on the above background, this paper attempts to further study the impact of bank liquidity on the monetary policy bank credit channels. Firstly, this paper is based on previous studies and China's actual situation. This paper briefly analyzes the influence of bank liquidity on bank credit channels, and puts forward four hypotheses. Then, the corresponding empirical model is established, taking Chinese listed banks as sample data from 2005 to 2014. The results show that bank liquidity will weaken the effect of monetary policy bank credit channel, the more liquidity banks can hedge against the impact of tight monetary policy. Bank size will reduce the impact of bank liquidity on the monetary policy banking credit channels and the marketization of bank interest rates and the development of shadow banking will have an impact on bank liquidity. Finally, based on the empirical results and the actual situation in China, this paper gives the following policy implications: first. The bank credit channel is still one of the important channels for the transmission of monetary policy in China. Reasonable control of bank liquidity will have a positive effect on commercial banks and monetary policy. Second, the central bank should fully consider the heterogeneity of commercial banks when formulating monetary policy, and implement differentiated management. In the period of economic overheating, the central bank can have a higher level of liquidity. The larger banks implement more tight monetary policy, and in the period of economic contraction, the larger banks adopt looser monetary policy; Thirdly, the reform of interest rate marketization should be a gradual and orderly process, and the reform of interest rate marketization should take full account of the liquidity risk brought to banks in this process. In 4th, the moderate development of shadow banking is beneficial to economic development. If it exceeds the limit, it will bring liquidity risk to commercial banks. Therefore, shadow banks should be reasonably guided to develop in the right direction. Moderate development to minimize risk.
【学位授予单位】：浙江理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832.4

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