美联储货币政策正常化对中国商业银行系统流动性风险的影响  

The Impacts of the Normalization of the U.S. Federal Reserve’s Monetary Policy on the Systemic Liquidity Risks of China’s Commercial Banks

作　　者：张晓明[1] 隗群林 贾江帆 孙士猛 ZHANG Xiao-ming;WEI Qun-lin;JIA Jiang-fan;SUN Shi-meng

机构地区：[1]北京交通大学经济管理学院

出　　处：《金融论坛》2019年第9期36-45,共10页Finance Forum

基　　金：中央高校基本科研业务费专项资金资助项目“我国金融机构的系统性风险度量方法比较研究”（2019JBW010）

摘　　要：本文研究美联储货币政策正常化对中国商业银行系统流动性风险的影响。研究发现,国有银行流动性管理较好,而部分股份制银行存在较为严重的流动性隐患,系统流动性风险呈现上升趋势;美联储加息和缩表均造成中国的流动性收紧,显著提高商业银行的系统流动性风险。相关监管部门应尽快构建银行系统流动性风险测度指标,及银行业系统流动性风险水平监测体系,防范和化解流动性风险引发的系统性金融危机。This paper is an analysis of the impacts of the normalization of the Federal Reserve’s monetary policy on the systemic liquidity risks of China’s commercial banks. It’s found that the liquidity management of the state-owned banks is better, while the liquidity risks in some joint-stock banks are more serious and show an upward trend;the U.S. Federal Reserve hikes the interest rates and reduces the balance sheet, which has reduced China’s liquidity and significantly increased the systemic liquidity risks of commercial banks. The relevant regulatory authorities should build the measurement indicators of banking systemic liquidity risks and a monitoring system of banking systemic liquidity risk level as soon as possible to prevent and resolve the systemic financial crisis caused by liquidity risks.

关 键 词：美联储 货币政策正常化 系统流动性风险 流动性风险错配指数 TVP-VAR 

分 类 号：G21[文化科学—新闻学] G28