【摘要】：一直以來,媒體和學(xué)者都喜歡用M2或信貸總量作為經(jīng)濟體中流動性的量度,并以此來分析國內(nèi)流動性增速與經(jīng)濟增速間的不同步現(xiàn)象。根據(jù)“信貸陷阱”理論,與經(jīng)濟增長有直接關(guān)聯(lián)的流動性為銀行體系所創(chuàng)造的流動性。2013年6月份銀行間市場的錢荒充分暴露了銀行的資產(chǎn)負(fù)債期限錯配問題,并對銀行的風(fēng)險管理水平提出了挑戰(zhàn),而期限錯配問題也與銀行的流動性創(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性創(chuàng)造與風(fēng)險轉(zhuǎn)移。關(guān)于風(fēng)險轉(zhuǎn)移功能,國內(nèi)外已有很多研究文獻(xiàn),而學(xué)術(shù)界對于銀行流動性創(chuàng)造的研究則相對較少,且相關(guān)文獻(xiàn)集中在探討銀行自身因素對其流動性創(chuàng)造水平的影響,而幾乎沒有針對經(jīng)濟不確定性等外部影響因素方面的研究。隨著我國資本賬戶的逐步開放和利率市場化的不斷推進(jìn),銀行外部經(jīng)濟環(huán)境的不確定性在逐漸加大,因此針對外部經(jīng)濟沖擊對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“流動性創(chuàng)造理論”,當(dāng)銀行將一單位非流動資產(chǎn)轉(zhuǎn)化為一單位流動性負(fù)債時,也就為外界創(chuàng)造了一單位的流動性。本文所指的銀行流動性創(chuàng)造沿用Berger and Bouwman(2009)對銀行流動性創(chuàng)造的定義和測算方法,并將其含義進(jìn)行了重新解讀。宏觀層面上,銀行的流動性創(chuàng)造可用來衡量銀行作為信用中介向市場提供的額外流動性；而在微觀角度,銀行單位資產(chǎn)流動性創(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)濟學(xué)邏輯角度而言,當(dāng)經(jīng)濟不確定性程度加大時,會使銀行面臨的信用風(fēng)險和利率風(fēng)險加大,銀行為減少自身的風(fēng)險暴露會主動調(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性減少。而當(dāng)宏觀經(jīng)濟平穩(wěn)向好時,銀行由于受內(nèi)在盈利要求的驅(qū)使將通過不斷地借短期貸長期的方式來為外界提供流動性,此時銀行的流動性創(chuàng)造水平是不斷增加的。但是,隨著銀行期限錯配的不斷進(jìn)行,其未來所面臨的流動性風(fēng)險也在不斷加大。一旦經(jīng)濟外部不確定性加大,銀行將迅速將貸款期限從長期向短期轉(zhuǎn)移,同時加大從銀行間市場拆借短期資金的力度,這最終會導(dǎo)致實體經(jīng)濟的進(jìn)一步凋零和銀行間市場資金面的緊張。最后,本文通過109家銀行2004-2012年的非平衡面板數(shù)據(jù)來測算其流動性創(chuàng)造值的大小,并就銀行的資產(chǎn)負(fù)債結(jié)構(gòu)及其流動性創(chuàng)造能力與宏觀經(jīng)濟不確定性之間的關(guān)系進(jìn)行了實證檢驗,結(jié)果驗證了之前的理論分析,即宏觀經(jīng)濟增速或利率波動的不確定性增加時銀行會主動調(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)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊方文;袁雪;;基于上證50指數(shù)公司資產(chǎn)負(fù)債結(jié)構(gòu)的實證分析[J];科技和產(chǎn)業(yè);2009年07期

2 楊方文;袁雪;;基于上證50指數(shù)公司資產(chǎn)負(fù)債結(jié)構(gòu)的實證分析[J];中國管理信息化;2010年03期

3 潘正彥;優(yōu)化企業(yè)資產(chǎn)負(fù)債結(jié)構(gòu)的思考[J];上海金融;1991年08期

4 褚曙光;鄉(xiāng)鎮(zhèn)企業(yè)資產(chǎn)負(fù)債結(jié)構(gòu)亟待改善[J];財會月刊;1992年02期

5 秦其林,王興元,馮海軍;資產(chǎn)負(fù)債結(jié)構(gòu)比例設(shè)計淺析[J];金融管理與研究;1994年01期

6 楊經(jīng)偉，劉驊;工行資產(chǎn)負(fù)債結(jié)構(gòu)優(yōu)化的構(gòu)想[J];金融研究;1995年12期

7 莫石華;優(yōu)化資產(chǎn)負(fù)債結(jié)構(gòu)　提高農(nóng)行經(jīng)濟效益[J];廣西農(nóng)村金融研究;1995年05期

8 王道;優(yōu)化資產(chǎn)負(fù)債結(jié)構(gòu) 改善企業(yè)資金狀況[J];經(jīng)濟師;2001年01期

9 周好文,鄭澤華;國有銀行金融資產(chǎn)負(fù)債結(jié)構(gòu)失衡隱患及化解[J];福建金融管理干部學(xué)院學(xué)報;2002年01期

10 雷達(dá);孫中棟;;財富的國際轉(zhuǎn)移與美國高消費時代的調(diào)整——基于國際資產(chǎn)負(fù)債結(jié)構(gòu)的分析[J];經(jīng)濟理論與經(jīng)濟管理;2009年05期

相關(guān)重要報紙文章 前10條

1 本報記者 孟揚;利潤多保持兩位增速 資產(chǎn)負(fù)債結(jié)構(gòu)向好[N];金融時報;2014年

2 楊世智 郝發(fā)賢;省工行調(diào)整資產(chǎn)負(fù)債結(jié)構(gòu)[N];甘肅日報;2001年

3 證券時報記者 唐曜華;中國式錢荒倒逼銀行調(diào)整資產(chǎn)負(fù)債結(jié)構(gòu)[N];證券時報;2013年

4 本報記者 鄒靚;全年盈利重任“壓”銀行 資產(chǎn)負(fù)債結(jié)構(gòu)調(diào)整成趨勢[N];上海證券報;2009年

5 記者 杜金;銀行資產(chǎn)負(fù)債結(jié)構(gòu)面臨再調(diào)整[N];金融時報;2013年

6 巴曙松;利率市場化對銀行資產(chǎn)負(fù)債結(jié)構(gòu)的影響[N];中國經(jīng)濟時報;2012年

7 卓夫;探索適應(yīng)國情的不良資產(chǎn)處置途徑[N];金融時報;2004年

8 第一證券 關(guān)歆;銀行 現(xiàn)實增長遭遇擴張瓶頸[N];中國證券報;2004年

9 記者 石貝貝　唐真龍 編輯 顏劍;馬蔚華詳解招行資產(chǎn)負(fù)債結(jié)構(gòu)[N];上海證券報;2009年

10 本報記者 李騏;上半年凈利潤增近六成招行二次轉(zhuǎn)型顯功[N];華夏時報;2010年

相關(guān)碩士學(xué)位論文 前9條

1 李祥;我國證券公司資產(chǎn)負(fù)債結(jié)構(gòu)對經(jīng)營績效影響的經(jīng)驗研究[D];西北大學(xué);2009年

2 趙俏;基于資產(chǎn)負(fù)債結(jié)構(gòu)的商業(yè)銀行流動性風(fēng)險管理問題研究[D];東北財經(jīng)大學(xué);2011年

3 任彥昭;經(jīng)濟不確定性下的商業(yè)銀行資產(chǎn)負(fù)債結(jié)構(gòu)調(diào)整及其流動性創(chuàng)造[D];復(fù)旦大學(xué);2014年

4 閻s，

本文編號：2404641