摘要
金融系统资金流动性受美联储货币政策冲击影响,未来货币周期变化产生不确定性。本文选择系统重要性银行为代表性样本,构建实证模型,测度流量传导渠道的风险冲击强度与时变特征。得出结论:(1)跨境资金流动对银行流动性储备资产存在风险传染效应,包括外汇存款指标的冲击效应和外汇储备指标的抑制作用;(2)银行系统内存在“羊群效应”,政策干预效果在货币周期内存在非对称性。策略建议:(1)提升资本的流量管理精准度,发挥宏观审慎管理的调控作用,具体把控量的规模和时点的选择;(2)警惕货币周期变化引发政策工具效用的衰变,定期评估工具有效性,创新工具箱品种。
The liquidity of China’s banking system is affected by the impact of the Federal Reserve’s monetary policy, and the change of future monetary cycle will produce uncertainty risk. This paper selects systemically important banks as a representative sample to build an empirical model to measure the risk impact intensity and time-varying characteristics of flow transmission channels. The conclusions are as follows:(1) cross-border capital flow has risk contagion effect on bank liquidity reserve assets, foreign exchange deposits are damaged by impact, and foreign exchange reserves are restrained from offset;(2)China’s banking system has a significant "herding effect" in the world monetary cycle, and the effect of monetary policy intervention decreases in the period of monetary contraction. Strategic suggestions:(1)we should improve the accuracy of flow valve management, give full play to the regulatory role of macro Prudential Management, and specifically select the scale and time point of control;(2) Guard against the decline of the effectiveness of policy tools caused by changes in the monetary cycle, regularly evaluate the effectiveness of tools, and innovate toolbox varieties.
出处
《浙江金融》
2022年第5期58-70,共13页
Zhejiang Finance
关键词
货币政策
跨境资金
系统重要性银行
宏观审慎管理
Monetary Policy
Cross Border Funds
Systemically Important Banks
Macro Prudential Management
