外部监管和货币政策对中国商业银行流动性创造能力的影响研究  

Research on the Effects of External Regulations and Monetary Policy on Liquidity Creation of Commercial Banks

作　　者：吕思聪[1] 

机构地区：[1]复旦大学经济学院

出　　处：《国际金融研究》2018年第5期55-65,共11页Studies of International Finance

基　　金：国家自然科学基金项目"基于流动性视角的资产定价模型重构研究"(71471117);"中国债务资本市场的功能;结构和发展研究"(71661137008)资助

摘　　要：本文在商业银行利润函数中引入惩罚函数,分析外部监管和货币政策对商业银行流动性创造能力的影响,并利用Bankscope数据库中2010—2016年112家中国商业银行数据进行实证研究。结果表明:第一,在利率市场化带来存款分流的金融环境下,资本监管和存贷比监管压力迫使中国商业银行规避监管减少信贷投放,流动性创造能力下降,但是并未发现流动性覆盖率监管影响流动性创造的证据;第二,在宽松的货币政策背景下,监管压力大的银行仍难以增加信贷投放,货币政策效果弱化;第三,考虑到商业银行的异质性,相较于国有及股份制银行,地方性和外资银行对资本监管和流动性监管约束更加敏感。This paper introduces the penalty function in the profit function of commercial banks to analyze the influence of external supervision and monetary policy on the liquidity creation ability of commercial banks. And it uses the data of 112 Chinese commercial banks from 2010 to 2016 in the Bankscope database to conduct empirical research. The results show that： （1） in the financial environment where interest rate liberalization brings deposit diversion, the regulatory pressure of capital supervision and deposit-to-loan ratio force Chinese commercial banks to evade supervision, leading to decreased liquidity creation capacity. However, coverage regulation has little effect on liquidity creation; （2） easy monetary policy stimulates bank liquidity creation, but external regulations weaken the positive influence on bank credit; （3） comparing to stateowned banks and joint-stock banks, local commercial banks and foreign banks are more sensitive to external regulation including capital requirement regulation and deposit-to-loan regulation.

关 键 词：资本监管 流动性监管 货币政策 流动性创造 

分 类 号：F832[经济管理—金融学]