货币政策对我国商业银行流动性创造的影响研究
发布时间：2019-02-17 13:59
【摘要】：商业银行是一国重要的间接金融中介机构,在经济社会中扮演着重要的金融中介角色—流动性创造。在为经济社会提供流动性的同时,流动性创造的多少也影响着整个社会的经济发展水平。当银行无法应对因负债下降或资产增加而导致的流动性困难时就会产生流动性风险。当流动性过剩和流动性不足在削弱商业银行盈利能力的同时,也会影响到整个经济社会金融资源配置的效率和央行实施货币政策的效果。为了研究央行实施的货币政策对我国商业银行流动性创造的影响,本文做了两方面的工作。一方面,借鉴Berger和Bouwman(2009)提出的流动性创造测度方法,并根据我国商业银行的实际情况对资产负债表表内、表外科目分类进行修正,测度我国20家不同类型商业银行在2006-2015年这10年间的流动性创造。研究发现:(1)我国商业银行流动性创造逐年增加;(2)不同类型商业银行的流动性创造量显著不同,增长速度也有差异。另一方面,利用动态面板模型实证检验货币政策对我国商业银行流动性创造的影响。实证结果表明:(1)央行实施的货币政策对我国各类商业银行的流动性创造影响不同。对国有控股商业银行的流动性创造影响较大,对股份制商业银行影响较小,一年期存贷款利率对城市商业银行影响较大;(2)货币政策不同代理变量对我国各类商业银行的流动性创造影响不同,对于国有控股商业银行和股份制商业银行来说,流动性创造与法定存款准备金率负相关,与广义货币正相关;一年期存款利率与股份制商业银行和城市商业银行流动性创造正相关;一年期贷款利率越高,国有控股商业银行越能够创造更多的流动性,而股份制商业银行和城市商业银行创造的流动性越少;法定存款准备金率越高,城市商业银行流动性创造也越高;存贷利差越大,国有控股商业银行流动性创造越小;(3)商业银行特征方面,资产规模越大,创造的流动性越多;银行风险资产变量与流动性创造正相关;核心资本充足率与国有控股商业银行和股份制商业银行流动性创造负相关,和城市商业银行流动性创造正相关。
[Abstract]:Commercial bank is an important indirect financial intermediary in a country, which plays an important role in the economic society-liquidity creation. At the same time, the amount of liquidity creation also affects the level of economic development of the whole society. Liquidity risks arise when banks are unable to cope with liquidity difficulties caused by falling liabilities or rising assets. When excess liquidity and illiquidity not only weaken the profitability of commercial banks, but also affect the efficiency of the allocation of financial resources of the whole economy and society and the effect of monetary policy implemented by the central bank. In order to study the influence of the monetary policy implemented by the central bank on the liquidity creation of commercial banks in China, this paper has done two aspects of work. On the one hand, drawing lessons from the liquidity creation measurement method proposed by Berger and Bouwman (2009), and according to the actual situation of commercial banks in China, the classification of off-balance sheet and off-balance sheet accounts is modified. This paper measures the liquidity creation of 20 different types of commercial banks in 2006-2015. The results show that: (1) the liquidity creation of commercial banks in China increases year by year; (2) the volume of liquidity creation of different types of commercial banks is significantly different, and the growth rate is also different. On the other hand, the dynamic panel model is used to test the effect of monetary policy on liquidity creation of commercial banks in China. The empirical results show that: (1) the monetary policy implemented by the central bank has different effects on the liquidity creation of all kinds of commercial banks in China. It has a great influence on the liquidity creation of state-owned holding commercial banks, a small impact on joint-stock commercial banks, and the one-year deposit and loan interest rate has a greater impact on urban commercial banks. (2) different agency variables of monetary policy have different effects on liquidity creation of various commercial banks in China. For state-owned holding commercial banks and joint-stock commercial banks, liquidity creation is negatively related to Statutory deposit reserve ratio. Positive correlation with broad money; One-year deposit interest rate is positively related to liquidity creation of joint-stock commercial banks and urban commercial banks; The higher the interest rate of one-year loan, the more liquidity can be created by state-owned holding commercial banks, while the less liquidity created by joint-stock commercial banks and urban commercial banks; The higher the Statutory deposit reserve ratio, the higher the liquidity creation of urban commercial banks; the greater the difference between deposit and loan interest rates, the smaller the liquidity creation of state-owned holding commercial banks; (3) the larger the assets, the more liquidity they create. The risk asset variables of banks are positively correlated with liquidity creation, the core capital adequacy ratio is negatively correlated with liquidity creation of state-owned holding commercial banks and joint-stock commercial banks, and is positively correlated with liquidity creation of urban commercial banks.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F822.0
本文编号：2425237
[Abstract]:Commercial bank is an important indirect financial intermediary in a country, which plays an important role in the economic society-liquidity creation. At the same time, the amount of liquidity creation also affects the level of economic development of the whole society. Liquidity risks arise when banks are unable to cope with liquidity difficulties caused by falling liabilities or rising assets. When excess liquidity and illiquidity not only weaken the profitability of commercial banks, but also affect the efficiency of the allocation of financial resources of the whole economy and society and the effect of monetary policy implemented by the central bank. In order to study the influence of the monetary policy implemented by the central bank on the liquidity creation of commercial banks in China, this paper has done two aspects of work. On the one hand, drawing lessons from the liquidity creation measurement method proposed by Berger and Bouwman (2009), and according to the actual situation of commercial banks in China, the classification of off-balance sheet and off-balance sheet accounts is modified. This paper measures the liquidity creation of 20 different types of commercial banks in 2006-2015. The results show that: (1) the liquidity creation of commercial banks in China increases year by year; (2) the volume of liquidity creation of different types of commercial banks is significantly different, and the growth rate is also different. On the other hand, the dynamic panel model is used to test the effect of monetary policy on liquidity creation of commercial banks in China. The empirical results show that: (1) the monetary policy implemented by the central bank has different effects on the liquidity creation of all kinds of commercial banks in China. It has a great influence on the liquidity creation of state-owned holding commercial banks, a small impact on joint-stock commercial banks, and the one-year deposit and loan interest rate has a greater impact on urban commercial banks. (2) different agency variables of monetary policy have different effects on liquidity creation of various commercial banks in China. For state-owned holding commercial banks and joint-stock commercial banks, liquidity creation is negatively related to Statutory deposit reserve ratio. Positive correlation with broad money; One-year deposit interest rate is positively related to liquidity creation of joint-stock commercial banks and urban commercial banks; The higher the interest rate of one-year loan, the more liquidity can be created by state-owned holding commercial banks, while the less liquidity created by joint-stock commercial banks and urban commercial banks; The higher the Statutory deposit reserve ratio, the higher the liquidity creation of urban commercial banks; the greater the difference between deposit and loan interest rates, the smaller the liquidity creation of state-owned holding commercial banks; (3) the larger the assets, the more liquidity they create. The risk asset variables of banks are positively correlated with liquidity creation, the core capital adequacy ratio is negatively correlated with liquidity creation of state-owned holding commercial banks and joint-stock commercial banks, and is positively correlated with liquidity creation of urban commercial banks.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F822.0
【参考文献】
相关期刊论文 前10条
1 巴曙松;何雅婷;曾智;;货币政策、银行竞争力与流动性创造[J];经济与管理研究;2016年12期
2 许桂华;谭春枝;;银行业竞争度变动对商业银行流动性创造的影响——基于中国银行业的实证分析[J];金融经济学研究;2016年04期
3 王周伟;王衡;;货币政策、银行异质性与流动性创造——基于中国银行业的动态面板数据分析[J];国际金融研究;2016年02期
4 宋丽智;;存款保险制度对中小商业银行的影响和对策研究[J];宏观经济研究;2015年11期
5 胡杰;;货币政策、资产抵押担保渠道与资本结构[J];南京财经大学学报;2015年03期
6 何青青;陈艺璇;曹前进;;商业银行资本结构对流动性创造的影响[J];金融论坛;2015年03期
7 熊启跃;黄宪;;资本监管下货币政策信贷渠道的“扭曲”效应研究——基于中国的实证[J];国际金融研究;2015年01期
8 陈旭东;何艳军;张镇疆;;货币政策、银行信贷行为与贷款损失准备——基于中国商业银行的实证研究[J];国际金融研究;2014年10期
9 关纯洁;;我国2003年～2012年银行流动性创造的测算[J];全国商情(经济理论研究);2014年15期
10 李泽广;邓微;;存款保险制度显性化的流动性配置效应[J];山西财经大学学报;2014年09期
，本文编号：2425237
本文链接：https://www.wllwen.com/jingjilunwen/huobiyinxinglunwen/2425237.html
