中国央行流动性便利操作的抵押品“折损率”研究  

A Research on “Haircuts” Standards for Collaterals of Liquidity Facilities Tools of China's Central Bank

作　　者：肖曼君[1] 代雨杭 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《财经理论与实践》2017年第5期2-6,132,共6页The Theory and Practice of Finance and Economics

基　　金：国家哲学社会科学基金项目(13BGJ040)

摘　　要：采用抵押贷款模型,基于中国央行实施流动性便利操作的实践经验,从央行目标函数、预期违约选择价值评估的角度出发,通过实验模拟商业银行贷款的相关行为,并分析在不同折损率和利率策略下银行违约情况等因素的变化,结果表明:不合理折损率标准的设计会影响商业银行的借贷动机、扭曲资产配置和价格、增加央行风险敞口,从而影响社会总福利。因此,央行在操作流动性便利货币政策工具时,必须同时考虑折损率和利率的影响,才能达到其控制风险以及社会福利最大化的目标。This paper uses the mortgage model based on practical experience of liquidity facilities tools of China＇s central bank.We designed an experiment to simulate the related behavior of loans of commercial banks from the central bank＇s objective function, expected default selection valuation perspective. Meanwhile, we analyzed changes in haircuts and interest rates under different policies of banks＇ defaults and other factors. The results show that the unreasonable standards of haircuts will affect the commercial banks＇ borrowing and lending motivation, distort assets＇ allocation and price, and increase the central bank exposure, thus affecting the overall social welfare.Therefore, the central bank should take into account the effects of haircuts and in- terest rates when operating the liquidity facilities tools, so that it could achieve its policy objectives by controlling risk and maximizing social welfare.

关 键 词：流动性便利 抵押贷款 折损率 货币政策 风险敞口 

分 类 号：F47[经济管理—产业经济] E52[军事—军事理论]