【摘要】：商業(yè)銀行流動性創(chuàng)造,是指商業(yè)銀行通過吸收流動性較高的負債(如活期存款),而發(fā)放流動性較低的資產(chǎn)(如長期貸款)以及開展貸款承諾等表外業(yè)務,從而為社會提供更多流動性的行為和職能。根據(jù)現(xiàn)代金融中介理論,流動性創(chuàng)造是商業(yè)銀行的重要職能之一。在我國,股票市場和債券市場都不夠完善,商業(yè)銀行的流動性創(chuàng)造職能就顯得更為重要。國內(nèi)關(guān)于流動性創(chuàng)造的研究主要集中在探討銀行自身因素對其流動性創(chuàng)造的影響,而針對貨幣政策等外部影響因素方面的研究則相對較少。近年來,我國中央銀行頻繁地運用法定存款準備金率這種貨幣政策工具對我國經(jīng)濟進行宏觀調(diào)控。在這樣的背景下,研究我國法定存款準備金率調(diào)整對商業(yè)銀行流動性創(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)銀行流動性創(chuàng)造和法定存款準備金率的相關(guān)理論基礎,包括商業(yè)銀行流動性創(chuàng)造的定義、分類和法定存款準備金率的內(nèi)涵等內(nèi)容;再者,對我國各商業(yè)銀行的流動性創(chuàng)造進行了度量和簡單的分析,并且闡述了我國法定存款準備金率的調(diào)整歷程;而后,從定性分析以及定量分析的角度,探討我國法定存款準備金率的調(diào)整對商業(yè)銀行流動性創(chuàng)造的影響。在定性分析方面,分析流動性創(chuàng)造的定義和分類可知,商業(yè)銀行可以通過表內(nèi)業(yè)務以及表外業(yè)務實現(xiàn)流動性創(chuàng)造。因此,首先分別從表內(nèi)業(yè)務以及表外業(yè)務兩個角度來分析我國法定存款準備金率調(diào)整對商業(yè)銀行流動性創(chuàng)造的影響,然后再綜合這兩個角度來探討我國法定存款準備金率調(diào)整對商業(yè)銀行流動性創(chuàng)造的影響。分析表明,我國法定存款準備金率的上調(diào)(或下調(diào))會抑制(或促進)商業(yè)銀行的流動性創(chuàng)造行為。在定量分析方面,基于我國111家商業(yè)銀行2005-2015年的財務數(shù)據(jù),采用Berger和Bouwman(2009)提出的流動性創(chuàng)造度量方法對各商業(yè)銀行的流動性創(chuàng)造進行了度量,并建立了動態(tài)面板回歸模型來實證檢驗我國法定存款準備金率的調(diào)整對商業(yè)銀行流動性創(chuàng)造的影響。實證結(jié)果發(fā)現(xiàn),法定存款準備金率變量的系數(shù)估計值為-0.0062,顯著為負。表明在其它因素不變的條件下,法定存款準備金率每上調(diào)1%,平均而言,商業(yè)銀行每單位資產(chǎn)所能創(chuàng)造的流動性會減少0.0062個單位。從而,驗證了之前的定性分析,即我國法定存款準備金率的上調(diào)(或下調(diào))會抑制(或促進)商業(yè)銀行的流動性創(chuàng)造。因此,可以給我國中央銀行的法定存款準備金率調(diào)整決策以及商業(yè)銀行自身的經(jīng)營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.
【學位授予單位】：深圳大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33

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