本文關(guān)鍵詞：我國(guó)貨幣政策對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造影響的實(shí)證分析　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 流動(dòng)性創(chuàng)造 貨幣政策 主成分分析 非平衡動(dòng)態(tài)面板模型

【摘要】：流動(dòng)性創(chuàng)造作為商業(yè)銀行的基本職能之一,對(duì)實(shí)體經(jīng)濟(jì)的發(fā)展有著重要影響。流動(dòng)性過剩和不足都會(huì)引起市場(chǎng)經(jīng)濟(jì)波動(dòng),從而影響國(guó)民收入和支出。因此有必要研究影響商業(yè)銀行的流動(dòng)性創(chuàng)造機(jī)制,從而加強(qiáng)對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造的管理。一方面,央行作為貨幣政策的制定者和執(zhí)行者,會(huì)通過貨幣政策工具來調(diào)控商業(yè)銀行的流動(dòng)性創(chuàng)造;另一方面,商業(yè)銀行自身的因素以及宏觀經(jīng)濟(jì)因素都會(huì)對(duì)銀行的流動(dòng)性創(chuàng)造產(chǎn)生影響。本文旨在研究貨幣政策對(duì)銀行流動(dòng)性創(chuàng)造的影響,并針對(duì)不同類型銀行進(jìn)行分析,希望使央行更有針對(duì)性地進(jìn)行貨幣政策調(diào)控。本文通過對(duì)我國(guó)34家銀行在2008-2015年的資產(chǎn)負(fù)債表數(shù)據(jù)進(jìn)行分析,根據(jù)Berger and Bouwman(2009)提出的測(cè)量流動(dòng)性創(chuàng)造的“cat-fat(種類-表外)”模型,對(duì)各商業(yè)銀行資產(chǎn)負(fù)債表內(nèi)業(yè)務(wù)及表外業(yè)務(wù)進(jìn)行流動(dòng)性劃分和權(quán)重賦予,最終得出各商業(yè)銀行的流動(dòng)性創(chuàng)造數(shù)值。結(jié)果表明:(1)商業(yè)銀行的流動(dòng)性創(chuàng)造數(shù)值逐年增長(zhǎng);(2)不同類型商業(yè)銀行由于受到資產(chǎn)規(guī)模、不良貸款率及自身因素的影響,所創(chuàng)造的流動(dòng)性水平也各不相同。其中,國(guó)有銀行的流動(dòng)性創(chuàng)造總量最多,股份制銀行次之,最后是城市商業(yè)銀行。但是,股份制銀行的單位資產(chǎn)流動(dòng)性創(chuàng)造水平最高,表明股份制銀行對(duì)資本的利用率較高。本文在有效測(cè)量商業(yè)銀行流動(dòng)性創(chuàng)造水平的基礎(chǔ)上,研究了貨幣政策對(duì)流動(dòng)性創(chuàng)造的影響。首先,將選擇的5種貨幣政策工具進(jìn)行主成分分析,得到兩個(gè)主成分因子;其次,對(duì)影響商業(yè)銀行流動(dòng)性創(chuàng)造水平的宏觀因素、銀行自身因素及貨幣政策因素進(jìn)行單位根檢驗(yàn),保證序列平穩(wěn)。接著,建立關(guān)于銀行流動(dòng)性創(chuàng)造的非平衡動(dòng)態(tài)面板模型,采用一階差分廣義矩估計(jì)法進(jìn)行估計(jì),并通過Hansen檢驗(yàn)判斷工具變量的有效性及Arellano-Bond檢驗(yàn)判定模型的合理性。最后,利用eviews得出回歸分析結(jié)果。結(jié)果表明:(1)貨幣政策對(duì)總體商業(yè)銀行的流動(dòng)性創(chuàng)造影響顯著,貨幣政策越寬松,銀行流動(dòng)性創(chuàng)造能力越強(qiáng)�？傮w商業(yè)銀行當(dāng)期的流動(dòng)性創(chuàng)造與上一期流動(dòng)性創(chuàng)造正相關(guān),與核心資本充足率正相關(guān),與銀行資產(chǎn)規(guī)模增速負(fù)相關(guān)。(2)貨幣政策對(duì)不同類型銀行的作用效果不同。國(guó)有銀行的流動(dòng)性創(chuàng)造主要受貨幣政策結(jié)構(gòu)特征的負(fù)向影響,股份制銀行的流動(dòng)性創(chuàng)造主要受貨幣政策大小因子的負(fù)向影響,而城市商業(yè)銀行的流動(dòng)性創(chuàng)造受貨幣政策大小因子和形狀因子的共同影響,受貨幣政策的影響較為敏感,貨幣政策越寬松,城市商業(yè)銀行越能創(chuàng)造更多的流動(dòng)性。
[Abstract]:Liquidity creation, as one of the basic functions of commercial banks, has an important impact on the development of the real economy. Therefore, it is necessary to study the liquidity creation mechanism affecting commercial banks, so as to strengthen the management of liquidity creation of commercial banks. The central bank, as the maker and executor of monetary policy, will regulate the liquidity creation of commercial banks through monetary policy tools. On the other hand, commercial banks' own factors and macroeconomic factors will have an impact on bank liquidity creation. The purpose of this paper is to study the impact of monetary policy on bank liquidity creation. This paper analyzes the balance sheet data of 34 banks in China from 2008 to 2015 in the hope of making the central bank carry out monetary policy regulation and control more pertinently. According to Berger and Bouwman's 2009), the cat-fatmodel of measuring liquidity is put forward. On the balance sheet of each commercial bank business and off-balance sheet business liquidity division and weights. Finally, the liquidity creation value of commercial banks is obtained. The results show that the liquidity creation value of commercial banks increases year by year. Different types of commercial banks create different levels of liquidity due to the influence of asset size, non-performing loan ratio and their own factors. Among them, the total amount of liquidity creation of state-owned banks is the largest. The joint-stock banks take the second place, and finally the city commercial banks. However, the joint-stock banks create the highest level of liquidity per unit assets. This paper studies the influence of monetary policy on liquidity creation on the basis of effectively measuring the level of liquidity creation of commercial banks. The five monetary policy instruments selected are analyzed by principal component analysis and two principal component factors are obtained. Secondly, the macro factors affecting the level of liquidity creation of commercial banks, the bank itself and monetary policy factors are tested by unit root test to ensure the sequence is stable. The non-equilibrium dynamic panel model of bank liquidity creation is established, and the first order difference generalized moment estimation method is used to estimate the model. And through the Hansen test to judge the effectiveness of tool variables and Arellano-Bond test to determine the rationality of the model. Finally. The result shows that the monetary policy has a significant impact on the liquidity creation of commercial banks as a whole, and the monetary policy is looser. The liquidity creation ability of banks is stronger. The liquidity creation of commercial banks in the current period is positively related to the liquidity creation in the previous period and to the core capital adequacy ratio. The effect of monetary policy on different types of banks is different. The liquidity creation of state-owned banks is mainly negatively affected by the characteristics of monetary policy structure. The liquidity creation of joint-stock banks is mainly influenced by the size factors of monetary policy, while the liquidity creation of urban commercial banks is influenced by both the size factor and shape factor of monetary policy. More sensitive to the influence of monetary policy, the more loose monetary policy, the more urban commercial banks can create more liquidity.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33

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