后金融危机时期公开市场操作对我国商业银行流动性的影响研究

发布时间：2018-04-26 22:01

本文选题：公开市场操作 + 商业银行流动性　；参考：《武汉大学》2017年硕士论文

【摘要】：后金融危机时期我国宏观流动性呈现总体充裕、结构失衡的特点。受国际资本冲击和国内复杂金融形势的影响,银行体系流动性波动不断加大,"钱荒"事件更是时有发生。中央银行灵活运用公开市场操作这一货币政策工具,健全公开市场操作制度,扩大操作规模,完善操作工具组合,调节银行体系流动性水平。在此背景下,分析公开市场操作影响银行流动性的方式和机制,实证检验后金融危机时期公开市场操作对我国商业银行流动性的调节效果具有较强的政策和实际意义。本文在充分研读国内外既有研究的基础上,从理论和实证两个角度展开研究。理论角度,本文在分析公开市场操作基本原理的基础上,认为公开市场操作主要通过影响商业银行超额准备金和货币市场利率调节银行体系流动性。实证角度,本文选取2008年至2016年的相关数据,通过构建VAR模型,运用Granger因果检验和脉冲响应函数,实证检验后金融危机时期公开市场操作对我国商业银行流动性的影响效果。实证结果如下:第一,公开市场操作对我国商业银行超额存款准备金率影响显著。第二,公开市场操作对我国商业银行贷存比的影响效果不明确。第三,公开市场操作回购利率对上海银行间同业拆借利率的影响比较显著。针对实证结论,本文提出如下政策建议:第一,加大公开市场操作力度,不断发展创新公开市场操作的操作工具。第二,不断深化利率市场化改革,增强利率的辅助调节作用。第三,商业银行应当占据更加主动的地位,适时根据公开市场操作主动管理自身流动性水平。
[Abstract]:In the period of the post financial crisis, the macro liquidity of our country showed overall abundance and structural imbalance. Influenced by the impact of international capital and the domestic complex financial situation, the Liquidity Fluctuation of the banking system was increasing and the "money shortage" happened more frequently. The central bank flexibly used the open market operation as a monetary policy tool and improved the open market. Operating system, enlarging operation scale, perfecting operation tool combination and adjusting the liquidity level of bank system. Under this background, this paper analyzes the ways and mechanisms that open market operation affects bank liquidity, and empirically tests the effect of open market operation on the liquidity of commercial banks in our country after the financial crisis. On the basis of both theoretical and empirical research on the basis of studying both domestic and foreign research, this paper, on the basis of the analysis of the basic principles of open market operation, believes that the open market operation mainly regulates the liquidity of the banking system by affecting the excess reserve of commercial banks and the interest rate of the money market. At the point of view, this paper selects the relevant data from 2008 to 2016. By constructing the VAR model, using Granger causality test and impulse response function, the effect of open market operation on the liquidity of China's commercial banks in the period of financial crisis is tested. The empirical results are as follows: first, open market operation for our commercial banks excess deposits The effect of reserve ratio is significant. Second, the effect of open market operation on the loan to deposit ratio of commercial banks in China is not clear. Third, the effect of open market operation repo rate on interbank lending rate in Shanghai is more significant. Second, deepen the reform of interest rate marketization and enhance the auxiliary adjustment of interest rate. Third, commercial banks should take a more active position and manage their own liquidity in a timely manner according to the operation of the open market.

【学位授予单位】：武汉大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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