流动性、银行间市场摩擦与借贷便利类货币政策工具  

Liquidity,Inter-bank Market Friction,and Liquidity Facilities

作　　者：侯成琪[1] 黄彤彤[1] HOU Chengqi;HUANG Tongtong(Economics and Management School,Wuhan University)

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《金融研究》2020年第9期78-96,共19页Journal of Financial Research

基　　金：国家自然科学基金项目“房价动态指数、房价波动和最优货币政策——信息冲击和金融中介的作用”(71573193);教育部哲学社会科学研究重大课题攻关项目“经济新常态下中国金融开放与金融安全研究”(17JZD015)的资助。

摘　　要：通过内生引入流动性短缺银行(拆入行)对流动性盈余银行(拆出行)的流动性需求机制,本文构建了一个包含银行间市场的DSGE模型,对借贷便利类货币政策工具的传导机制和传导效果进行了理论和实证研究。研究表明:(1)负向冲击会同时增加拆入行和拆出行对流动性的预防性需求,在经济形势不确定的情形下,拆出行不会很快恢复对拆入行的流动性供给,引起银行间市场流动性缺口放大和市场失灵。(2)由于仅依赖银行间市场自发回归稳态的过程太过缓慢,需要央行进行流动性干预。借贷便利类工具可以通过引导贷款市场定价和流动性效应这两个渠道来影响银行融资可得性,进而降低银行间市场流动性风险对宏观经济的负面影响。(3)借贷便利类货币政策工具的影响效果边际递减,央行可根据借贷便利操作的收益和成本,制定最佳的反应程度参数。With the increasing uncertainty of the international and domestic economic and financial situation,the short-term liquidity supply and demand fluctuations in China’s banking system have increased in recent years.Drawing on its international experience,the People’s Bank of China has made a series of innovations in using monetary policy tools,such as short-term liquidity operations(SLO),standing lending facilities(SLFs)and medium-term lending facilities(MLFs).Compared with the traditional liquidity management tools,what are the transmission mechanisms and effects of these new liquidity facilities?How should the central bank regulate and use these liquidity facilities?As the related domestic literature focuses either on empirical analysis or else adopts a partial equilibrium analysis framework,it is difficult to identify the transmission effects of such monetary policy tools on the real economy.To solve this problem,this paper constructs an endogenous liquidity demand mechanism for mediating between banks with liquidity shortages and banks with liquidity surpluses.The paper also builds a DSGE model to assess the inter-bank market,and then conducts theoretical and empirical research on the transmission mechanisms and effects of liquidity facilities.First,the paper compares the macroeconomic fluctuations in a frictionless inter-bank market situation with the fluctuations in a frictional inter-bank market situation,and then it analyzes the reasons why the central bank needs to facilitate liquidity intervention through liquidity facilities.In the frictionless inter-bank market,runs only occur in the deposit market,and not in the inter-bank market.However,in the frictionless inter-bank market,runs occur simultaneously in both the deposit and the inter-bank markets.The differences between these two situations reflect the net effects of macroeconomic fluctuations caused by runs on the inter-bank market.When the financial sector suffers a negative impact,the banks with liquidity shortages and banks with liquidity surplu

关 键 词：借贷便利类货币政策工具 流动性 银行间市场 动态随机一般均衡模型 

分 类 号：F822.0[经济管理—财政学] F832