發(fā)布時(shí)間：2019-01-08 13:10

【摘要】：一直以來(lái),媒體和學(xué)者都喜歡用M2或信貸總量作為經(jīng)濟(jì)體中流動(dòng)性的量度,并以此來(lái)分析國(guó)內(nèi)流動(dòng)性增速與經(jīng)濟(jì)增速間的不同步現(xiàn)象。根據(jù)“信貸陷阱”理論,與經(jīng)濟(jì)增長(zhǎng)有直接關(guān)聯(lián)的流動(dòng)性為銀行體系所創(chuàng)造的流動(dòng)性。2013年6月份銀行間市場(chǎng)的錢(qián)荒充分暴露了銀行的資產(chǎn)負(fù)債期限錯(cuò)配問(wèn)題,并對(duì)銀行的風(fēng)險(xiǎn)管理水平提出了挑戰(zhàn),而期限錯(cuò)配問(wèn)題也與銀行的流動(dòng)性創(chuàng)造水平密切相關(guān)。根據(jù)現(xiàn)代金融中介理論,商業(yè)銀行的基本職能是流動(dòng)性創(chuàng)造與風(fēng)險(xiǎn)轉(zhuǎn)移。關(guān)于風(fēng)險(xiǎn)轉(zhuǎn)移功能,國(guó)內(nèi)外已有很多研究文獻(xiàn),而學(xué)術(shù)界對(duì)于銀行流動(dòng)性創(chuàng)造的研究則相對(duì)較少,且相關(guān)文獻(xiàn)集中在探討銀行自身因素對(duì)其流動(dòng)性創(chuàng)造水平的影響,而幾乎沒(méi)有針對(duì)經(jīng)濟(jì)不確定性等外部影響因素方面的研究。隨著我國(guó)資本賬戶的逐步開(kāi)放和利率市場(chǎng)化的不斷推進(jìn),銀行外部經(jīng)濟(jì)環(huán)境的不確定性在逐漸加大,因此針對(duì)外部經(jīng)濟(jì)沖擊對(duì)銀行自身影響方面的研究也就顯得更為有意義。根據(jù)銀行的“流動(dòng)性創(chuàng)造理論”,當(dāng)銀行將一單位非流動(dòng)資產(chǎn)轉(zhuǎn)化為一單位流動(dòng)性負(fù)債時(shí),也就為外界創(chuàng)造了一單位的流動(dòng)性。本文所指的銀行流動(dòng)性創(chuàng)造沿用Berger and Bouwman(2009)對(duì)銀行流動(dòng)性創(chuàng)造的定義和測(cè)算方法,并將其含義進(jìn)行了重新解讀。宏觀層面上,銀行的流動(dòng)性創(chuàng)造可用來(lái)衡量銀行作為信用中介向市場(chǎng)提供的額外流動(dòng)性；而在微觀角度,銀行單位資產(chǎn)流動(dòng)性創(chuàng)造值的變化則表示其自身資產(chǎn)負(fù)債期限結(jié)構(gòu)調(diào)整的幅度。從經(jīng)濟(jì)學(xué)邏輯角度而言,當(dāng)經(jīng)濟(jì)不確定性程度加大時(shí),會(huì)使銀行面臨的信用風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)加大,銀行為減少自身的風(fēng)險(xiǎn)暴露會(huì)主動(dòng)調(diào)整自身的資產(chǎn)負(fù)債結(jié)構(gòu),從而導(dǎo)致銀行向外部提供的流動(dòng)性減少。而當(dāng)宏觀經(jīng)濟(jì)平穩(wěn)向好時(shí),銀行由于受內(nèi)在盈利要求的驅(qū)使將通過(guò)不斷地借短期貸長(zhǎng)期的方式來(lái)為外界提供流動(dòng)性,此時(shí)銀行的流動(dòng)性創(chuàng)造水平是不斷增加的。但是,隨著銀行期限錯(cuò)配的不斷進(jìn)行,其未來(lái)所面臨的流動(dòng)性風(fēng)險(xiǎn)也在不斷加大。一旦經(jīng)濟(jì)外部不確定性加大,銀行將迅速將貸款期限從長(zhǎng)期向短期轉(zhuǎn)移,同時(shí)加大從銀行間市場(chǎng)拆借短期資金的力度,這最終會(huì)導(dǎo)致實(shí)體經(jīng)濟(jì)的進(jìn)一步凋零和銀行間市場(chǎng)資金面的緊張。最后,本文通過(guò)109家銀行2004-2012年的非平衡面板數(shù)據(jù)來(lái)測(cè)算其流動(dòng)性創(chuàng)造值的大小,并就銀行的資產(chǎn)負(fù)債結(jié)構(gòu)及其流動(dòng)性創(chuàng)造能力與宏觀經(jīng)濟(jì)不確定性之間的關(guān)系進(jìn)行了實(shí)證檢驗(yàn),結(jié)果驗(yàn)證了之前的理論分析,即宏觀經(jīng)濟(jì)增速或利率波動(dòng)的不確定性增加時(shí)銀行會(huì)主動(dòng)調(diào)整自身的資產(chǎn)負(fù)債結(jié)構(gòu),導(dǎo)致其最終所創(chuàng)造的流動(dòng)性減少。
[Abstract]:For a long time, media and scholars like to use M2 or total credit as a measure of liquidity in an economy, and use it to analyze the phenomenon of domestic liquidity growth and economic growth rate out of sync. According to the "credit trap" theory, liquidity directly linked to economic growth creates liquidity in the banking system. The June 2013 cash crunch in the interbank market fully exposed the problem of maturities mismatch between banks' assets and liabilities. It also challenges the risk management level of banks, and term mismatch is closely related to the liquidity creation level of banks. According to modern financial intermediation theory, the basic function of commercial banks is liquidity creation and risk transfer. There have been many researches on risk transfer function at home and abroad, while the academic research on bank liquidity creation is relatively few, and the relevant literature focuses on the impact of banks' own factors on the level of liquidity creation. There is little research on external factors such as economic uncertainty. With the gradual opening of China's capital account and the promotion of interest rate marketization, the uncertainty of the external economic environment of banks is gradually increasing, so it is more meaningful to study the impact of external economic shocks on banks themselves. According to the bank's "liquidity creation theory", when a bank converts a unit of illiquid assets into a unit of liquid liabilities, it creates a unit of liquidity for the outside world. This paper uses Berger and Bouwman (2009 to define and measure the bank liquidity creation, and reinterprets its meaning. At the macro level, bank liquidity creation can be used to measure the additional liquidity that banks provide to the market as a credit intermediary; On the other hand, the change of the created value of bank's unit asset liquidity indicates the range of the term structure adjustment of bank's own assets and liabilities. From the angle of economic logic, when the degree of economic uncertainty increases, the credit risk and interest rate risk of banks will increase, and banks will adjust their asset-liability structure actively in order to reduce their exposure to risks. As a result, banks provide less liquidity to the outside. When the macro-economy is stable and good, banks will provide liquidity to the outside world by borrowing short-term loans for a long time because of the inherent profit requirements. At this time, the level of liquidity creation of banks is increasing. However, as the maturity mismatch of the bank continues, its future liquidity risk is also increasing. Once the external uncertainty of the economy increases, banks will quickly shift the duration of their loans from the long term to the short term, and increase their efforts to borrow short-term funds from the interbank market. This will eventually lead to further decline in the real economy and a tightening of funds in the interbank market. Finally, this paper uses the non-equilibrium panel data of 109 banks from 2004 to 2012 to measure the value of liquidity creation. The relationship between bank's asset-liability structure, its liquidity creation ability and macroeconomic uncertainty is tested, and the results verify the previous theoretical analysis. That is, when the uncertainty of macroeconomic growth or interest rate fluctuation increases, banks will adjust their asset-liability structure on their own initiative, resulting in the reduction of the liquidity created by the banks.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.33

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