本文選題：中央銀行干預(yù) + 商業(yè)銀行流動性��； 參考：《東北財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：近年來,我國對外貿(mào)易取得了迅猛發(fā)展,外匯占款不斷增加,外匯占款成為了增加市場流動性的重要因素,為了回收市場上過多的流動性,中央銀行被迫采取了一系列的沖銷干預(yù)措施,如頻繁上調(diào)法定存款準(zhǔn)備金率、大規(guī)模發(fā)行中央銀行票據(jù)、在公開市場上不斷采取正回購操作等措施。然而,2008年突如其來的美國次貸危機(jī)引發(fā)的全球金融危機(jī),給中國的經(jīng)濟(jì)帶來了很大的沖擊,市場上的流動性急劇變化,流動性過剩轉(zhuǎn)變?yōu)榱鲃有晕C(jī),為了應(yīng)對危機(jī),中國政府采取了四萬億的投資刺激計(jì)劃以及其他的一些刺激政策。中央銀行也由原來的緊縮的貨幣政策轉(zhuǎn)變成寬松的貨幣政策,下調(diào)法定存款準(zhǔn)備金率,大規(guī)模減少中央銀行票據(jù)的發(fā)行量。雖然這些刺激政策在穩(wěn)定市場的信心,保持中國經(jīng)濟(jì)的增長速度上起到了很大的推動作用,但是這些刺激政策也帶來了一些后遺癥,導(dǎo)致了貨幣超發(fā),通貨膨脹嚴(yán)重,市場上流動性不足又逐漸轉(zhuǎn)變成流動性過剩。針對這些情況,中央銀行又變回實(shí)施從緊的貨幣政策,上調(diào)存款準(zhǔn)備金率,甚至在2011年6月將法定存款準(zhǔn)備金率上調(diào)到了21.5%的歷史最高水平,同時(shí),中央銀行在公開市場上也加大正回購的力度以及擴(kuò)大中央銀行票據(jù)發(fā)行規(guī)模。但是2011年下半年國際國內(nèi)環(huán)境發(fā)生了很大的變化,歐洲債務(wù)危機(jī)愈演愈烈,我國對外貿(mào)易嚴(yán)重受到影響,我國市場的資金緊張,大量企業(yè)融資困難,實(shí)體經(jīng)濟(jì)不斷走弱。流動性過剩再次轉(zhuǎn)變成流動性不足,為了改善不斷惡化的局面,中央銀行又開始下調(diào)存款準(zhǔn)備金率,在公開市場上進(jìn)行逆回購操作,并在2011年12月底暫停發(fā)行中央銀行票據(jù)。 可見,我國中央銀行的干預(yù)措施大多都是圍繞著市場流動性的變化而變化,我國的流動性經(jīng)歷了從過剩到不足,從不足到過剩,再又從過剩到不足,而中央銀行干預(yù)措施也相應(yīng)的經(jīng)歷了不斷的變化。中央銀行的這一系列干預(yù)措施都是通過流動性的傳導(dǎo)機(jī)制從而實(shí)現(xiàn)其政策目標(biāo)的,而商業(yè)銀行的流動性又是流動性傳導(dǎo)機(jī)制中重要的一環(huán),那么中央銀行干預(yù)對商業(yè)銀行流動性會產(chǎn)生多大的影響,以及不同的干預(yù)措施對其影響又有怎樣的不同,這都是值得我們研究的問題。而且研究中央銀行干預(yù)對商業(yè)銀行流動性的影響,可以反映出不同的干預(yù)措施對商業(yè)銀行流動性沖擊的大小,這對于中央銀行制定有效干預(yù)措施,并且在制定有效措施的同時(shí)盡量減小對商業(yè)銀行流動性的沖擊,以及商業(yè)銀行在中央銀行干預(yù)下如何更好地提高流動性管理,都具有重要的意義。故本文以中央銀行干預(yù)對商業(yè)銀行流動性影響為研究對象。 首先,本文在回顧國內(nèi)外參考文獻(xiàn)的基礎(chǔ)上,分析了中央銀行干預(yù)以及中央銀行干預(yù)的三個(gè)重要的干預(yù)措施——調(diào)整法定存款準(zhǔn)備金率、發(fā)行中央銀行票據(jù)和買賣國債,接著用理論詳細(xì)剖析了這三種干預(yù)措施對商業(yè)銀行流動性的影響。其次,本文運(yùn)用2004年1月到2011年12月中央銀行干預(yù)和商業(yè)銀行流動性的月度數(shù)據(jù),利用單位根檢驗(yàn)、協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)和向量自回歸脈沖響應(yīng)函數(shù)實(shí)證分析了中央銀行干預(yù)對商業(yè)銀行流動性的影響。實(shí)證結(jié)果表明：中央銀行干預(yù)與商業(yè)銀行流動性互為因果關(guān)系；調(diào)整法定存款準(zhǔn)備金率的干預(yù)措施對商業(yè)銀行流動性的影響最強(qiáng)而且持續(xù)時(shí)間長；發(fā)行中央銀行票據(jù)的干預(yù)措施對商業(yè)銀行流動性的影響最小,但是短期沖擊大;中央銀行買賣國債對商業(yè)銀行流動性的影響相對于法定存款準(zhǔn)備金而言也比較小。最后,本文在實(shí)證結(jié)果的基礎(chǔ)上,對我國中央銀行怎樣制定干預(yù)措施和商業(yè)銀行如何提高流動性管理方面提出了一些政策建議。
[Abstract]:In recent years, China's foreign trade has made rapid development, the foreign exchange occupation is increasing, and the foreign exchange occupation has become an important factor to increase the liquidity of the market. In order to recover the excessive liquidity in the market, the central bank has been forced to take a series of intervention measures, such as the frequent adjustment of the reserve ratio of the legal deposit, and the large-scale circulation of the central bank. However, the global financial crisis caused by the sudden American subprime crisis in 2008 has brought a great impact on China's economy. The liquidity of the market has changed dramatically and the liquidity surplus has changed into a liquidity crisis. In order to cope with the crisis, the Chinese government has taken four. The central bank has also changed from the original tight monetary policy into a loose monetary policy, a downgrade of the statutory deposit reserve rate and a large reduction in the circulation of central bank notes, although the stimulus policy has maintained the market's confidence to maintain the growth rate of China's economy. It has been a great boost, but these incentives have also brought some sequelae, which led to a currency overshoot, a severe inflation, and a lack of liquidity in the market to a surplus of liquidity. In this case, the central bank has turned back into a tight currency policy, raising the reserve requirement rate, even in June 2011. In the second half of 2011, the international and domestic environment has changed greatly, the European debt crisis has become more and more intense, and our foreign trade is seriously affected. In order to improve the situation of worsening, the central bank has begun to reduce the reserve requirement rate, reverse the purchase operation on the open market, and suspend the issuance of the central bank ticket at the end of December 2011. According to it.
It is obvious that the intervention measures of the Central Bank of our country are mostly changed around the change of market liquidity. The liquidity of our country has experienced from surplus to deficiency, from insufficient to surplus, and then from surplus to insufficiency, and the central bank intervention has also undergone constant change. The central bank's series of intervention measures are all through. The liquidity transmission mechanism to achieve its policy objectives, and the liquidity of commercial banks is an important part of the liquidity transmission mechanism, then the central bank intervention will have much impact on the liquidity of commercial banks, and how different intervention measures have different effects on them, which are all worthy of our research. And the study of the impact of central bank intervention on the liquidity of commercial banks can reflect the impact of different interventions on the liquidity impact of commercial banks, which makes effective interventions for the central bank, and reduces the impact on commercial banks' liquidity as well as commercial banks in the central bank while making effective measures. It is of great significance how to improve the liquidity management better under the intervention of the bank. Therefore, this paper studies the effect of the central bank intervention on the liquidity of commercial banks.
First, on the basis of reviewing domestic and foreign references, this paper analyzes three important intervention measures of central bank intervention and central bank intervention - adjusting the reserve ratio of legal deposits, issuing central bank bills and buying and selling Treasury bonds, and then analyzing the effects of these three interventions on the liquidity of commercial banks in detail. Secondly, using monthly data of central bank intervention and commercial bank liquidity from January 2004 to December 2011, this paper uses unit root test, cointegration test, Grainger causality test and vector autoregressive impulse response function to analyze the impact of central bank intervention on commercial banks' mobility. The empirical results show that central bank is dry. There is a causal relationship between commercial bank liquidity and commercial bank liquidity, and the intervention measures to adjust the rate of legal deposit reserve have the strongest influence on the liquidity of commercial banks and long duration; the intervention measures for issuing central bank bills have the least impact on the liquidity of commercial banks, but the short-term impact is large; the central bank buying and selling Treasury bonds to commercial banks flow. The dynamic effect is relatively small compared with the statutory deposit reserve. Finally, on the basis of the empirical results, this paper puts forward some policy suggestions on how the Central Bank of China can formulate intervention measures and how commercial banks can improve the liquidity management.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33;F224

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 牟天yN;;關(guān)于銀行流動性的風(fēng)險(xiǎn)管理[J];財(cái)經(jīng)界(學(xué)術(shù)版);2013年18期

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本文編號：1990401