货币政策对流动性风险的影响——基于银行信贷行为视角  

The Impacts of Monetary Policy on Liquidity Risk——Based on the Perspective of Bank Credit Behavior

作　　者：谭春枝[1] 梁翠云 耿晓旭 TAN Chunzhi;LIANG Cuiyun;GENG Xiaoxu

机构地区：[1]广西大学商学院金融与财政系

出　　处：《金融监管研究》2020年第1期84-96,共13页Financial Regulation Research

基　　金：国家自然科学基金项目“基于复杂网络理论的银行间市场流动性风险传染机制及其免疫策略研究”的资助,项目编号71463003

摘　　要：本文基于我国现实背景和《巴塞尔协议Ⅲ》,利用2008年至2017年间194家商业银行的相关数据,对我国银行净稳定资金率进行了度量,并在此基础上,检验了货币政策对我国商业银行流动性风险的影响,探究了其影响机理和传导渠道。研究表明:扩张型货币政策会提高商业银行的流动性风险;不同经济环境下,货币政策对流动性风险的影响存在差异但不具备异质性;不同类型的商业银行中,货币政策对流动性风险的影响不具有异质性;在货币政策对流动性风险的影响中,银行信贷行为是重要的传导渠道。因此,央行可基于货币政策对流动性风险的影响差异进行相机抉择;商业银行则要加强信贷规模和质量的管理,优化资产结构,通过弱化信贷渠道作用来降低货币政策对银行流动性风险的不良影响。Based on the background of China’s reality and Basel III, this paper uses the relevant data of 194 commercial banks from 2008 to 2017 to measure the net stable capital ratio of China’s bank liquidity risk, and on this basis, tests the impact of monetary policy on China’s commercial banks’ liquidity risk, and explores its impact mechanism and transmission channels. The results show that the expansionary monetary policy can improve the liquidity risk of commercial banks. Under different economic environments, the impacts of monetary policy on liquidity risk are different but not heterogeneous. The monetary policy has no heterogeneity to the economic environment and the liquidity risk of different types of commercial banks. For the impact of monetary policy on liquidity risk, bank credit behavior is an important channel. Therefore, the central bank should make a choice based on the heterogeneous impact of monetary policy on liquidity risk. Commercial banks should also strengthen the management of credit scale and quality, optimize asset structure, and reduce the adverse impact of monetary policy on bank liquidity risk by weakening credit channels.

关 键 词：货币政策 银行信贷行为 流动性风险 传导渠道 

分 类 号：F832[经济管理—金融学]