流动性覆盖率监管会影响货币政策传导效率吗?--来自中国银行业的证据  

Does the Liquidity Coverage Ratio Regulatory Requirement Affect the Efficiency of Monetary Policy Transmission?Evidence from China’s Banking Industry

作　　者：庄毓敏 张祎 ZHUANG Yumin;ZHANG Yi(School of Finance,China Financial Policy Research Center,Renmin University of China;Bank of China)

机构地区：[1]中国人民大学财政金融学院/中国财政金融政策研究中心,北京100872 [2]中国银行,北京100031

出　　处：《金融研究》2021年第11期1-21,共21页Journal of Financial Research

摘　　要：本文从流动性覆盖率监管要求出发,探讨了流动性监管与货币政策的协调机制问题。我们将流动性覆盖率监管要求纳入传统的Monti-Klein模型中,推导出流动性覆盖率监管对货币政策传导效率的影响及其作用机制。在此基础上,采用手工收集的我国65家商业银行2015—2019年半年度面板数据对理论假设进行实证检验。研究发现,流动性覆盖率监管要求会对货币政策传导效率产生影响,但这种影响取决于流动性监管约束下商业银行流动性管理行为的选择。商业银行主动调整融资结构、增强负债质量的行为在提高银行短期流动性水平的同时,也能显著提高货币政策传导效率,而流动性资产的囤积则可能降低货币政策传导效率。因此,应客观看待流动性覆盖率监管对货币政策传导效率的影响,引导商业银行的流动性管理行为,这将有助于实现流动性监管与货币政策有效传导的"双赢"目标。The painful lessons of the 2008 financial crisis illustrate that relying solely on capital regulation does not guarantee that commercial banks will be sufficiently resilient.In this regard,the Basel Committee on Banking Supervision(BCBS)put forward a global liquidity regulatory framework as an important part of BaselⅢ.Specifically,BCBS strengthened its liquidity framework by developing two minimum standards for funding and liquidity:the liquidity coverage ratio(LCR),which emphasizes short-term liquidity and the ability to prevent fire sales;and the net stable funding ratio(NSFR),which is aimed at reducing funding risk.Once brought forth,liquidity regulation has raised a fierce debate about its potential impact on commercial banks and the transmission of monetary policy.Although the theoretical banking literature provides a logical framework for liquidity regulation design,no research yet empirically reveals its potential impact,especially the impact of the LCR regulatory requirement.How did commercial banks respond to the LCR regulatory requirement?Does the LCR regulatory requirement affect the transmission efficiency of monetary policy?If so,how can we coordinate liquidity regulatory rules and monetary policy?To the best of our knowledge,these questions have not yet been fully addressed.From both theoretical and empirical perspectives,our paper sheds light on the coordination mechanism between liquidity regulation and traditional monetary policy tools under a macroprudential regulatory framework.Our paper theoretically redefines the liquidity shortage cost function based on the LCR regulatory requirement and incorporates it into a classical Monti-Klein model to illustrate the potential impact of the LCR regulatory requirement on monetary policy transmission efficiency.Our model indicates that the existence of liquidity shortage costs is an essential prerequisite for the monetary policy transmission process.Thus,the LCR regulatory requirement may influence the efficiency of monetary policy transmission by chang

关 键 词：宏观审慎 流动性覆盖率 货币政策传导 信贷渠道 

分 类 号：F822.0[经济管理—财政学] F832.3