我国法定存款准备金率调整对商业银行流动性创造的影响研究
发布时间：2019-06-19 14:01
【摘要】：商业银行流动性创造,是指商业银行通过吸收流动性较高的负债(如活期存款),而发放流动性较低的资产(如长期贷款)以及开展贷款承诺等表外业务,从而为社会提供更多流动性的行为和职能。根据现代金融中介理论,流动性创造是商业银行的重要职能之一。在我国,股票市场和债券市场都不够完善,商业银行的流动性创造职能就显得更为重要。国内关于流动性创造的研究主要集中在探讨银行自身因素对其流动性创造的影响,而针对货币政策等外部影响因素方面的研究则相对较少。近年来,我国中央银行频繁地运用法定存款准备金率这种货币政策工具对我国经济进行宏观调控。在这样的背景下,研究我国法定存款准备金率调整对商业银行流动性创造的影响也就显得更有意义。具体而言,笔者首先阐述了商业银行流动性创造和法定存款准备金率的相关理论基础,包括商业银行流动性创造的定义、分类和法定存款准备金率的内涵等内容;再者,对我国各商业银行的流动性创造进行了度量和简单的分析,并且阐述了我国法定存款准备金率的调整历程;而后,从定性分析以及定量分析的角度,探讨我国法定存款准备金率的调整对商业银行流动性创造的影响。在定性分析方面,分析流动性创造的定义和分类可知,商业银行可以通过表内业务以及表外业务实现流动性创造。因此,首先分别从表内业务以及表外业务两个角度来分析我国法定存款准备金率调整对商业银行流动性创造的影响,然后再综合这两个角度来探讨我国法定存款准备金率调整对商业银行流动性创造的影响。分析表明,我国法定存款准备金率的上调(或下调)会抑制(或促进)商业银行的流动性创造行为。在定量分析方面,基于我国111家商业银行2005-2015年的财务数据,采用Berger和Bouwman(2009)提出的流动性创造度量方法对各商业银行的流动性创造进行了度量,并建立了动态面板回归模型来实证检验我国法定存款准备金率的调整对商业银行流动性创造的影响。实证结果发现,法定存款准备金率变量的系数估计值为-0.0062,显著为负。表明在其它因素不变的条件下,法定存款准备金率每上调1%,平均而言,商业银行每单位资产所能创造的流动性会减少0.0062个单位。从而,验证了之前的定性分析,即我国法定存款准备金率的上调(或下调)会抑制(或促进)商业银行的流动性创造。因此,可以给我国中央银行的法定存款准备金率调整决策以及商业银行自身的经营管理提供一定的参考建议。
[Abstract]:The liquidity creation of commercial banks refers to the behavior and function of commercial banks to provide more liquidity to the society by absorbing more liquid liabilities (such as demand deposits), issuing illiquid assets (such as long-term loans) and carrying out off-balance-sheet business such as loan commitments. According to the theory of modern financial intermediary, liquidity creation is one of the important functions of commercial banks. In China, the stock market and bond market are not perfect, so the liquidity creation function of commercial banks is more important. The domestic research on liquidity creation mainly focuses on the influence of banks' own factors on their liquidity creation, while the research on external influencing factors such as monetary policy is relatively few. In recent years, the central bank of China has frequently used Statutory deposit reserve ratio as a monetary policy tool to control China's economy. In this context, it is more meaningful to study the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks. Specifically, the author first expounds the relevant theoretical basis of liquidity creation of commercial banks and Statutory deposit reserve ratio, including the definition of liquidity creation of commercial banks, classification and the connotation of Statutory deposit reserve ratio. Furthermore, the liquidity creation of commercial banks in China is measured and simply analyzed, and the adjustment process of Statutory deposit reserve ratio in China is expounded. Then, from the point of view of qualitative analysis and quantitative analysis, this paper discusses the influence of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks. In the aspect of qualitative analysis, it can be seen that commercial banks can realize liquidity creation through in-table business and off-balance-sheet business by analyzing the definition and classification of liquidity creation. Therefore, this paper first analyzes the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks from the perspective of in-table business and off-balance-sheet business, and then discusses the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks from these two angles. The analysis shows that the up-regulation (or down-regulation) of Statutory deposit reserve ratio in China will inhibit (or promote) the liquidity creation behavior of commercial banks. In the aspect of quantitative analysis, based on the financial data of 11 commercial banks in China from 2005 to 2015, the liquidity creation measurement method proposed by Berger and Bouwman (2009) is used to measure the liquidity creation of commercial banks, and a dynamic panel regression model is established to empirically test the impact of Statutory deposit reserve ratio adjustment on liquidity creation of commercial banks in China. The empirical results show that the coefficient of Statutory deposit reserve ratio variable is-0.0062, which is significantly negative. It shows that for every 1 percent increase in Statutory deposit reserve ratio, on average, the liquidity generated by commercial banks per unit of assets will be reduced by 0.0062 units under the condition that other factors remain the same. Thus, the previous qualitative analysis is verified, that is, the up-regulation (or down-regulation) of Statutory deposit reserve ratio in China will inhibit (or promote) the liquidity creation of commercial banks. Therefore, it can provide some reference suggestions for the Statutory deposit reserve ratio adjustment decision of the central bank of our country and the operation and management of the commercial bank itself.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
本文编号：2502398
[Abstract]:The liquidity creation of commercial banks refers to the behavior and function of commercial banks to provide more liquidity to the society by absorbing more liquid liabilities (such as demand deposits), issuing illiquid assets (such as long-term loans) and carrying out off-balance-sheet business such as loan commitments. According to the theory of modern financial intermediary, liquidity creation is one of the important functions of commercial banks. In China, the stock market and bond market are not perfect, so the liquidity creation function of commercial banks is more important. The domestic research on liquidity creation mainly focuses on the influence of banks' own factors on their liquidity creation, while the research on external influencing factors such as monetary policy is relatively few. In recent years, the central bank of China has frequently used Statutory deposit reserve ratio as a monetary policy tool to control China's economy. In this context, it is more meaningful to study the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks. Specifically, the author first expounds the relevant theoretical basis of liquidity creation of commercial banks and Statutory deposit reserve ratio, including the definition of liquidity creation of commercial banks, classification and the connotation of Statutory deposit reserve ratio. Furthermore, the liquidity creation of commercial banks in China is measured and simply analyzed, and the adjustment process of Statutory deposit reserve ratio in China is expounded. Then, from the point of view of qualitative analysis and quantitative analysis, this paper discusses the influence of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks. In the aspect of qualitative analysis, it can be seen that commercial banks can realize liquidity creation through in-table business and off-balance-sheet business by analyzing the definition and classification of liquidity creation. Therefore, this paper first analyzes the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks from the perspective of in-table business and off-balance-sheet business, and then discusses the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks from these two angles. The analysis shows that the up-regulation (or down-regulation) of Statutory deposit reserve ratio in China will inhibit (or promote) the liquidity creation behavior of commercial banks. In the aspect of quantitative analysis, based on the financial data of 11 commercial banks in China from 2005 to 2015, the liquidity creation measurement method proposed by Berger and Bouwman (2009) is used to measure the liquidity creation of commercial banks, and a dynamic panel regression model is established to empirically test the impact of Statutory deposit reserve ratio adjustment on liquidity creation of commercial banks in China. The empirical results show that the coefficient of Statutory deposit reserve ratio variable is-0.0062, which is significantly negative. It shows that for every 1 percent increase in Statutory deposit reserve ratio, on average, the liquidity generated by commercial banks per unit of assets will be reduced by 0.0062 units under the condition that other factors remain the same. Thus, the previous qualitative analysis is verified, that is, the up-regulation (or down-regulation) of Statutory deposit reserve ratio in China will inhibit (or promote) the liquidity creation of commercial banks. Therefore, it can provide some reference suggestions for the Statutory deposit reserve ratio adjustment decision of the central bank of our country and the operation and management of the commercial bank itself.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
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