宏观金融视阈下我国商业银行流动性波动的影响因素研究  

Research on the Influencing Factors of Commercial Banks' Liquidity Fluctuations from the Macro Perspective

作　　者：贾丽平[1] 李旭超[2] 

机构地区：[1]山西财经大学财政金融学院 [2]山西财经大学管理科学与工程学院

出　　处：《经济社会体制比较》2014年第4期233-242,共10页Comparative Economic & Social Systems

基　　金：国家社会科学基金重点课题"部分行业投资过度;产能过剩原因分析及解决途径研究"(项目编号:06AJY002);国家社会科学基金项目"关于主观资产组合模型的行为金融理论构建与方法研究"(项目编号:11BJY013)

摘　　要：目前,我国商业银行存贷差长期内将持续扩大,短期内上下波动,银行间市场利率也呈现出上下波动的趋势,商业银行流动性呈现出波动的特点。中国人民银行将商业银行超额存款准备金率和银行间市场利率结合起来判断流动性波动,同时根据中央银行票据招标利率来决定流动性释放和回收手段。文章在梳理流动性波动测度方法的基础上,运用VAR模型分析居民储蓄存款、现金漏损率和外汇占款对商业银行流动性波动影响的时间,以及各因素对商业银行流动性波动的贡献程度。结果表明:(1)外汇占款是引起商业银行流动性波动的主要因素;(2)居民储蓄存款的影响次之。居民储蓄存款在这三因素中对流动性波动的影响期最长;(3)现金漏损率的影响最小。The savings and lending differential of China＇s commercial banks will continue to widen in the long -term, with short - term fluctuations. Interest rates in the interbank market are fluctuating, so is commercialbank liquidity. The People＇s Bank of China determines liquidity fluctuations on the basis of commercial banks＇excess deposit reserve ratio and interbank market interest rates. In addition, it determines liquidity tenders re-lease and recovery methods in accordance with central bank bills＇ interest rates. On the basis of a discussion ofliquidity fluctuation measurement methods, this paper uses the VAR model to analyze for how long householdsavings deposits, cash leakage rates and RMB counterpart of foreign exchange reserves affect commercial banks＇liquidity fluctuations, as well as how they contribute to these fluctuations. The results are： （ 1 ） Foreign ex-change is the main factor causing fluctuations in the liquidity of commercial banks. （2） The impact of house-hold savings deposits follows. Household savings deposits affect liquidity fluctuations the longest. （3） The cashleakage rates have the least impact on liquidity fluctuations.

关 键 词：商业银行 流动性波动 银行间同业拆借利率 居民储蓄存款 外汇占款 

分 类 号：F832[经济管理—金融学]