基于银行流动性管理视角的宏观审慎与货币政策协调研究  

Macro-prudential Regulation and Monetary Policy Coordination:Evidence from Bank Liquidity Management

作　　者：罗煜[1] 张祎[1] 朱文宇 LUO Yu;ZHANG Yi;ZHU Wenyu(School of Finance,Renmin University of China)

机构地区：[1]中国人民大学财政金融学院,北京100872

出　　处：《金融研究》2020年第10期19-37,共19页Journal of Financial Research

基　　金：国家自然科学基金应急管理项目“金融市场风险防范和化解研究--完善货币政策传导机制防范流动性风险”(71850009);教育部人文社科青年项目“经济金融化的核心特征和微观形成机理研究”(18YJC790113);中央高校建设世界一流大学(学科)和特色发展引导专项资金(KYGJC2020008)资助

摘　　要：本文从商业银行流动性管理视角出发,探究银行微观主体行为如何影响宏观审慎与货币政策的协调。我们借鉴净稳定资金比例的设计理念,将商业银行的流动性管理行为纳入传统理论模型,刻画出两种流动性管理行为对货币政策信贷传导渠道效率的潜在影响及传导路径。在此基础上,采用我国50家商业银行2012年第1季度—2018年第2季度面板数据进行实证检验。我们发现,银行为提升长期流动性水平而进行的优化信贷资产结构的行为,能够显著提高货币政策传导效率。但是,部分净稳定资金比例较低的股份制银行和城市商业银行调整非信贷资产结构的行为则有可能降低货币政策传导效率。因此,在执行既有流动性监管措施的同时,关注与引导银行资产结构调整方式,对增强宏观审慎与货币政策的协调大有裨益。Since the 2007-08 financial crisis,central banks and regulatory authorities have focused on establishing macro-prudential regulatory frameworks to ensure financial stability and prevent systematic risks.Macro-prudential policy and monetary policy tools are in general complementary,but how best to coordinate between the two remains an important research question.Although several studies have examined the problem from a capital regulation and countercyclical buffer perspective,little attention has been paid to liquidity regulation in a macro-prudential regulatory framework.In 2012,the China Banking and Insurance Regulatory Commission(CBIRC)introduced the Basel III liquidity regulatory framework and set up a five-year plan for implementation.How did commercial banks respond to these liquidity regulations during the transition period?Did their liquidity adjustment affect the transmission effectiveness of monetary policy?By answering these questions,we obtain a better understanding of the interactions between macro-prudential and monetary policy.From both theoretical and empirical perspectives,our paper explores the impact and mechanism of bank liquidity adjustment behavior in response to the liquidity regulation of bank lending and monetary policy transmission.Theoretically,we extend a simple bank asset and liability management model to capture banks'asset adjustment behavior.We model a bank's profit maximization problem with three constraints:(1)a balance sheet constraint,(2)a capital adequacy ratio constraint,and(3)a liquidity constraint under the Basel III liquidity regulation(i.e.,net stable funding ratio(NSFR)).Our model predicts that the bank lending channel still exists even after the introduction of the NSFR requirement.Our model also shows that different asset adjustments,namely loan versus non-loan asset adjustments,have different impacts on the effectiveness of monetary policy transmission.Using a quarterly sample of 50 major commercial banks in China from 2012Q1 to 2018Q2(which is the transition period fo

关 键 词：宏观审慎 净稳定资金比例 货币政策传导 信贷渠道 

分 类 号：F822.0[经济管理—财政学] F832.33