【摘要】：商業(yè)銀行是一國重要的間接金融中介機(jī)構(gòu),在經(jīng)濟(jì)社會(huì)中扮演著重要的金融中介角色—流動(dòng)性創(chuàng)造。在為經(jīng)濟(jì)社會(huì)提供流動(dòng)性的同時(shí),流動(dòng)性創(chuàng)造的多少也影響著整個(gè)社會(huì)的經(jīng)濟(jì)發(fā)展水平。當(dāng)銀行無法應(yīng)對(duì)因負(fù)債下降或資產(chǎn)增加而導(dǎo)致的流動(dòng)性困難時(shí)就會(huì)產(chǎn)生流動(dòng)性風(fēng)險(xiǎn)。當(dāng)流動(dòng)性過剩和流動(dòng)性不足在削弱商業(yè)銀行盈利能力的同時(shí),也會(huì)影響到整個(gè)經(jīng)濟(jì)社會(huì)金融資源配置的效率和央行實(shí)施貨幣政策的效果。為了研究央行實(shí)施的貨幣政策對(duì)我國商業(yè)銀行流動(dòng)性創(chuàng)造的影響,本文做了兩方面的工作。一方面,借鑒Berger和Bouwman(2009)提出的流動(dòng)性創(chuàng)造測(cè)度方法,并根據(jù)我國商業(yè)銀行的實(shí)際情況對(duì)資產(chǎn)負(fù)債表表內(nèi)、表外科目分類進(jìn)行修正,測(cè)度我國20家不同類型商業(yè)銀行在2006-2015年這10年間的流動(dòng)性創(chuàng)造。研究發(fā)現(xiàn):(1)我國商業(yè)銀行流動(dòng)性創(chuàng)造逐年增加;(2)不同類型商業(yè)銀行的流動(dòng)性創(chuàng)造量顯著不同,增長(zhǎng)速度也有差異。另一方面,利用動(dòng)態(tài)面板模型實(shí)證檢驗(yàn)貨幣政策對(duì)我國商業(yè)銀行流動(dòng)性創(chuàng)造的影響。實(shí)證結(jié)果表明:(1)央行實(shí)施的貨幣政策對(duì)我國各類商業(yè)銀行的流動(dòng)性創(chuàng)造影響不同。對(duì)國有控股商業(yè)銀行的流動(dòng)性創(chuàng)造影響較大,對(duì)股份制商業(yè)銀行影響較小,一年期存貸款利率對(duì)城市商業(yè)銀行影響較大;(2)貨幣政策不同代理變量對(duì)我國各類商業(yè)銀行的流動(dòng)性創(chuàng)造影響不同,對(duì)于國有控股商業(yè)銀行和股份制商業(yè)銀行來說,流動(dòng)性創(chuàng)造與法定存款準(zhǔn)備金率負(fù)相關(guān),與廣義貨幣正相關(guān);一年期存款利率與股份制商業(yè)銀行和城市商業(yè)銀行流動(dòng)性創(chuàng)造正相關(guān);一年期貸款利率越高,國有控股商業(yè)銀行越能夠創(chuàng)造更多的流動(dòng)性,而股份制商業(yè)銀行和城市商業(yè)銀行創(chuàng)造的流動(dòng)性越少;法定存款準(zhǔn)備金率越高,城市商業(yè)銀行流動(dòng)性創(chuàng)造也越高;存貸利差越大,國有控股商業(yè)銀行流動(dòng)性創(chuàng)造越小;(3)商業(yè)銀行特征方面,資產(chǎn)規(guī)模越大,創(chuàng)造的流動(dòng)性越多;銀行風(fēng)險(xiǎn)資產(chǎn)變量與流動(dòng)性創(chuàng)造正相關(guān);核心資本充足率與國有控股商業(yè)銀行和股份制商業(yè)銀行流動(dòng)性創(chuàng)造負(fù)相關(guān),和城市商業(yè)銀行流動(dòng)性創(chuàng)造正相關(guān)。
[Abstract]:Commercial bank is an important indirect financial intermediary in a country, which plays an important role in the economic society-liquidity creation. At the same time, the amount of liquidity creation also affects the level of economic development of the whole society. Liquidity risks arise when banks are unable to cope with liquidity difficulties caused by falling liabilities or rising assets. When excess liquidity and illiquidity not only weaken the profitability of commercial banks, but also affect the efficiency of the allocation of financial resources of the whole economy and society and the effect of monetary policy implemented by the central bank. In order to study the influence of the monetary policy implemented by the central bank on the liquidity creation of commercial banks in China, this paper has done two aspects of work. On the one hand, drawing lessons from the liquidity creation measurement method proposed by Berger and Bouwman (2009), and according to the actual situation of commercial banks in China, the classification of off-balance sheet and off-balance sheet accounts is modified. This paper measures the liquidity creation of 20 different types of commercial banks in 2006-2015. The results show that: (1) the liquidity creation of commercial banks in China increases year by year; (2) the volume of liquidity creation of different types of commercial banks is significantly different, and the growth rate is also different. On the other hand, the dynamic panel model is used to test the effect of monetary policy on liquidity creation of commercial banks in China. The empirical results show that: (1) the monetary policy implemented by the central bank has different effects on the liquidity creation of all kinds of commercial banks in China. It has a great influence on the liquidity creation of state-owned holding commercial banks, a small impact on joint-stock commercial banks, and the one-year deposit and loan interest rate has a greater impact on urban commercial banks. (2) different agency variables of monetary policy have different effects on liquidity creation of various commercial banks in China. For state-owned holding commercial banks and joint-stock commercial banks, liquidity creation is negatively related to Statutory deposit reserve ratio. Positive correlation with broad money; One-year deposit interest rate is positively related to liquidity creation of joint-stock commercial banks and urban commercial banks; The higher the interest rate of one-year loan, the more liquidity can be created by state-owned holding commercial banks, while the less liquidity created by joint-stock commercial banks and urban commercial banks; The higher the Statutory deposit reserve ratio, the higher the liquidity creation of urban commercial banks; the greater the difference between deposit and loan interest rates, the smaller the liquidity creation of state-owned holding commercial banks; (3) the larger the assets, the more liquidity they create. The risk asset variables of banks are positively correlated with liquidity creation, the core capital adequacy ratio is negatively correlated with liquidity creation of state-owned holding commercial banks and joint-stock commercial banks, and is positively correlated with liquidity creation of urban commercial banks.
【學(xué)位授予單位】：山西財(cái)經(jīng)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;F822.0

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