發(fā)布時(shí)間：2019-06-19 14:01

【摘要】：商業(yè)銀行流動(dòng)性創(chuàng)造,是指商業(yè)銀行通過(guò)吸收流動(dòng)性較高的負(fù)債(如活期存款),而發(fā)放流動(dòng)性較低的資產(chǎn)(如長(zhǎng)期貸款)以及開(kāi)展貸款承諾等表外業(yè)務(wù),從而為社會(huì)提供更多流動(dòng)性的行為和職能。根據(jù)現(xiàn)代金融中介理論,流動(dòng)性創(chuàng)造是商業(yè)銀行的重要職能之一。在我國(guó),股票市場(chǎng)和債券市場(chǎng)都不夠完善,商業(yè)銀行的流動(dòng)性創(chuàng)造職能就顯得更為重要。國(guó)內(nèi)關(guān)于流動(dòng)性創(chuàng)造的研究主要集中在探討銀行自身因素對(duì)其流動(dòng)性創(chuàng)造的影響,而針對(duì)貨幣政策等外部影響因素方面的研究則相對(duì)較少。近年來(lái),我國(guó)中央銀行頻繁地運(yùn)用法定存款準(zhǔn)備金率這種貨幣政策工具對(duì)我國(guó)經(jīng)濟(jì)進(jìn)行宏觀調(diào)控。在這樣的背景下,研究我國(guó)法定存款準(zhǔn)備金率調(diào)整對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造的影響也就顯得更有意義。具體而言,筆者首先闡述了商業(yè)銀行流動(dòng)性創(chuàng)造和法定存款準(zhǔn)備金率的相關(guān)理論基礎(chǔ),包括商業(yè)銀行流動(dòng)性創(chuàng)造的定義、分類(lèi)和法定存款準(zhǔn)備金率的內(nèi)涵等內(nèi)容;再者,對(duì)我國(guó)各商業(yè)銀行的流動(dòng)性創(chuàng)造進(jìn)行了度量和簡(jiǎn)單的分析,并且闡述了我國(guó)法定存款準(zhǔn)備金率的調(diào)整歷程;而后,從定性分析以及定量分析的角度,探討我國(guó)法定存款準(zhǔn)備金率的調(diào)整對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造的影響。在定性分析方面,分析流動(dòng)性創(chuàng)造的定義和分類(lèi)可知,商業(yè)銀行可以通過(guò)表內(nèi)業(yè)務(wù)以及表外業(yè)務(wù)實(shí)現(xiàn)流動(dòng)性創(chuàng)造。因此,首先分別從表內(nèi)業(yè)務(wù)以及表外業(yè)務(wù)兩個(gè)角度來(lái)分析我國(guó)法定存款準(zhǔn)備金率調(diào)整對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造的影響,然后再綜合這兩個(gè)角度來(lái)探討我國(guó)法定存款準(zhǔn)備金率調(diào)整對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造的影響。分析表明,我國(guó)法定存款準(zhǔn)備金率的上調(diào)(或下調(diào))會(huì)抑制(或促進(jìn))商業(yè)銀行的流動(dòng)性創(chuàng)造行為。在定量分析方面,基于我國(guó)111家商業(yè)銀行2005-2015年的財(cái)務(wù)數(shù)據(jù),采用Berger和Bouwman(2009)提出的流動(dòng)性創(chuàng)造度量方法對(duì)各商業(yè)銀行的流動(dòng)性創(chuàng)造進(jìn)行了度量,并建立了動(dòng)態(tài)面板回歸模型來(lái)實(shí)證檢驗(yàn)我國(guó)法定存款準(zhǔn)備金率的調(diào)整對(duì)商業(yè)銀行流動(dòng)性創(chuàng)造的影響。實(shí)證結(jié)果發(fā)現(xiàn),法定存款準(zhǔn)備金率變量的系數(shù)估計(jì)值為-0.0062,顯著為負(fù)。表明在其它因素不變的條件下,法定存款準(zhǔn)備金率每上調(diào)1%,平均而言,商業(yè)銀行每單位資產(chǎn)所能創(chuàng)造的流動(dòng)性會(huì)減少0.0062個(gè)單位。從而,驗(yàn)證了之前的定性分析,即我國(guó)法定存款準(zhǔn)備金率的上調(diào)(或下調(diào))會(huì)抑制(或促進(jìn))商業(yè)銀行的流動(dòng)性創(chuàng)造。因此,可以給我國(guó)中央銀行的法定存款準(zhǔn)備金率調(diào)整決策以及商業(yè)銀行自身的經(jīng)營(yíng)管理提供一定的參考建議。
[Abstract]:The liquidity creation of commercial banks refers to the behavior and function of commercial banks to provide more liquidity to the society by absorbing more liquid liabilities (such as demand deposits), issuing illiquid assets (such as long-term loans) and carrying out off-balance-sheet business such as loan commitments. According to the theory of modern financial intermediary, liquidity creation is one of the important functions of commercial banks. In China, the stock market and bond market are not perfect, so the liquidity creation function of commercial banks is more important. The domestic research on liquidity creation mainly focuses on the influence of banks' own factors on their liquidity creation, while the research on external influencing factors such as monetary policy is relatively few. In recent years, the central bank of China has frequently used Statutory deposit reserve ratio as a monetary policy tool to control China's economy. In this context, it is more meaningful to study the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks. Specifically, the author first expounds the relevant theoretical basis of liquidity creation of commercial banks and Statutory deposit reserve ratio, including the definition of liquidity creation of commercial banks, classification and the connotation of Statutory deposit reserve ratio. Furthermore, the liquidity creation of commercial banks in China is measured and simply analyzed, and the adjustment process of Statutory deposit reserve ratio in China is expounded. Then, from the point of view of qualitative analysis and quantitative analysis, this paper discusses the influence of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks. In the aspect of qualitative analysis, it can be seen that commercial banks can realize liquidity creation through in-table business and off-balance-sheet business by analyzing the definition and classification of liquidity creation. Therefore, this paper first analyzes the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks from the perspective of in-table business and off-balance-sheet business, and then discusses the impact of Statutory deposit reserve ratio adjustment on the liquidity creation of commercial banks from these two angles. The analysis shows that the up-regulation (or down-regulation) of Statutory deposit reserve ratio in China will inhibit (or promote) the liquidity creation behavior of commercial banks. In the aspect of quantitative analysis, based on the financial data of 11 commercial banks in China from 2005 to 2015, the liquidity creation measurement method proposed by Berger and Bouwman (2009) is used to measure the liquidity creation of commercial banks, and a dynamic panel regression model is established to empirically test the impact of Statutory deposit reserve ratio adjustment on liquidity creation of commercial banks in China. The empirical results show that the coefficient of Statutory deposit reserve ratio variable is-0.0062, which is significantly negative. It shows that for every 1 percent increase in Statutory deposit reserve ratio, on average, the liquidity generated by commercial banks per unit of assets will be reduced by 0.0062 units under the condition that other factors remain the same. Thus, the previous qualitative analysis is verified, that is, the up-regulation (or down-regulation) of Statutory deposit reserve ratio in China will inhibit (or promote) the liquidity creation of commercial banks. Therefore, it can provide some reference suggestions for the Statutory deposit reserve ratio adjustment decision of the central bank of our country and the operation and management of the commercial bank itself.
【學(xué)位授予單位】：深圳大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.33

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