金融周期波动下银行流动性缓冲调整行为研究--来自美国银行业的经验证据  

A Behavior Analysis of Bank Liquidity Buffer Adjusting in Financial Cyclical Fluctuations--Evidence From the US Banking Industry

作　　者：刘琦[1] LIU Qi

机构地区：[1]武汉大学经济与管理学院,北京100160

出　　处：《金融论坛》2020年第5期68-80,共13页Finance Forum

摘　　要：本文研究金融周期波动下银行流动性缓冲的调整行为,并采用1999-2018年美国4719家银行的季度面板数据进行实证检验。研究结果表明:第一,银行持有流动性缓冲具有明显的顺周期效应;第二,银行业务特征会影响流动性缓冲的周期性调整:核心存款占比越高、贷款承诺越多的银行波动幅度越大;而批发融资占比越高、对证券化依赖程度越深的银行波动幅度越小;第三,实施LCR监管所带来的改善具有局限性,未纳入监管范围和压力时期的银行顺周期性依然显著。This paper studies the adjustment behaviors of bank liquidity buffer,and empirically tests the effect with the quarterly panel data of 4719 banks in the US during 1999-2008.The results show that(1)banks liquidity buffer is obviously pro-cyclical;(2)bank’s business characteristics would affect the cyclical adjustment of liquidity buffer:banks with higher ratio of core deposit and more loan commitments have larger fluctuations,while banks with higher ratio of wholesale financing and greater dependence on securitization have smaller fluctuations;(3)the benefit of LCR supervision is limited,and bank’s pro-cyclicality is still significant when the bank is without supervision or under pressure.

关 键 词：金融周期 流动性缓冲 顺周期性 分类监管 美国银行业 

分 类 号：G28[文化科学]