摘要
本文将同业业务特征及其对银行资产负债行为的影响纳入到流动性分析框架,探索传统存贷业务监管约束强度、同业规模与流动性水平之间的联动关系,进而构建基于银行间市场的动态系统模型,模拟分析同业业务对流动性波动的影响,同时考察中央银行流动性管理的不同方式对平滑流动性波动的效果。研究结果表明:商业银行扩张传统信贷业务时受到的传统监管约束越大,发展同业的动机相应越强;在同业规模超过一定界限后,随着银行同业比重的提高,银行流动性风险会随之提高;银行同业行为导致资产与负债之间期限错配的扩大,加剧了其顺周期性特征,导致金融市场流动性的波动幅度和频率升高,弱化了央行原有流动性管理工具的执行效果;面对同业引致的货币市场流动性波动,中央银行采取以利率引导为主、非常规政策工具为辅的组合型流动性管理方式行之有效。
Liquidity management is a key component of monetary policy.In recent years,liquidity in China has become a departure point between the macro and micro periodicals.This phenomenon makes it difficult for the central bank to carry out monetary policy and to manage liquidity effectively.To determine the reason for this liquidity problem,the literature focuses on the micro factors of shadow banking and the effects of traditional monetary policy instruments without considering the role of interbank business.Interbank business is a special scale expansion channel of China s banking institution and impacts the effectiveness of unconventional liquidity management systematically.This framework is not sufficient for exploring the factors behind the liquidity problem in China.To improve our understanding of liquidity fluctuation,this paper theoretically analyzes the expansion mechanism of interbank business and its influence channel on liquidity fluctuation.By incorporating the characteristics of interbank business and its influences into a new liquidity analysis framework,this paper analyzes the transmission mechanism s dependence on financial regulation,the scale of interbank business and the liquidity level.We then empirically examine the correlation between the intensity of financial regulation,the development of interbank businessand the risk of liquidity by using a panel regression analysis model.We develop a dynamic system model,which includes the“herd behavior”of the money market and liquidity management by the central bank.We use this model to simulate the influence of interbank business on liquidity fluctuation and to analyze the effect of different liquidity management methods the central bank uses.Based on the empirical analysis of 40 Chinese banks from 2010 to 2016(including state-owned,joint-stock commercial and local corporate commercial banks)and the dynamic system simulation of the central bank s liquidity management,we come to several conclusions.Tighter financial regulation gives commercial banks a str
作者
潘彬
王去非
易振华
王红梅
PAN Bin;WANG Qufei;YI Zhenhua(Hunan University of Commerce;Hangzhou Central Sub-branch,the People s Bank of China)
出处
《经济研究》
CSSCI
北大核心
2018年第6期21-35,共15页
Economic Research Journal
基金
本文系国家社科基金重大项目(14ZDA045)的阶段性研究成果。
关键词
监管约束
同业业务
流动性波动
Regulatory Constraints
Interbank Business
Liquidity Fluctuation
