利率走廊熨平市场流动性缺口的作用机制研究  

Research on the mechanism of interest rate corridor smoothing market liquidity gap

作　　者：王立勇[1] 吕政 WANG Liyong;Lü Zheng(School of International Trade and Economics,Cent ral Uni vers计y of Finance and Economics,Beijing 102206,China;School of Statistics and Mathematics,Central University of Finance and Economics,Beijing 102206,China)

机构地区：[1]中央财经大学国际经济与贸易学院,北京102206 [2]中央财经大学统计与数学学院,北京102206

出　　处：《系统工程理论与实践》2022年第3期617-636,共20页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金重大项目(15ZDA009);国家自然科学基金面上项目(71473280);贵州省教育厅科技人才成长项目(黔教合KY字[2018]160);中央财经大学研究生科研创新基金(20192Y011)。

摘　　要：中央银行对市场流动性的管理越来越成为货币政策执行的重要内容.文章将商业银行的资产负债业务、同业拆放行为和中央银行的流动性投放,纳入到一个中央银行和两个非对称商业银行的三方演化博弈模型,为分析央行构建利率走廊,完善配套合格抵押品制度如何抚平流动性缺口提供了一个理论框架.研究发现:当净拆入银行的流动性资产比重过高时,货币市场上的净拆出银行为保证自身不出现流动性风险,更容易竞相囤积流动性,对净拆入银行发起挤兑,诱发流动性风险;净拆出银行的异质性程度越低,单个商业银行挤兑的预期越强烈,越容易引发羊群效应,加剧流动性风险;配合利率走廊的合格抵押品制度,能够有效降低金融市场对多余流动性的囤积需求.The management of market liquidity by central banks has increasingly become an important part of the monetary policy implementation.The article incorporates the asset-liability business of commercial banks,interbank lending behavior,and central bank liquidity injection into a tripartite evolutionary game model with a central bank and two asymmetric commercial banks,which can provide a theoretical framework to analyze how the central bank construct an interest rate corridor and to improve the supporting qualified collateral system to fill the liquidity gap.The findings reveal that when the proportion of liquid assets of net-incoming banks is too high,net-outgoing banks in the money market are more likely to hoard liquidity to eliminate liquidity risks and to initiate run on net-incoming banks to trigger liquidity risks.The lower the heterogeneity of net-outgoing banks is,the stronger the expectation of a run on individual commercial banks is,and the more likely it is to trigger herding effects and exacerbate liquidity risk.The demand for excess liquidity hoarding in financial markets can be effectively reduced when the interest rate corridor is combined with the eligible collateral system.

关 键 词：利率走廊 借贷便利工具 合格抵押品制度 有限理性 三方演化博弈 

分 类 号：F822.2[经济管理—财政学]