流动性创造、市场利率预期与银行利率动态调整  

Liquidity creation,anticipated market rate,and bank interest rates setting

作　　者：陆军[1] 黄嘉 LU Jun;HUANG Jia(Lingnan College,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]中山大学岭南学院,广州510275

出　　处：《管理科学学报》2023年第3期112-135,共24页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71873152);中国博士后科学基金资助项目(2021M693689)。

摘　　要：在银行体系局部流动性问题频发的现实背景下,深入把握流动性创造对银行利率动态调整的影响机理,是理顺我国货币政策传导的重要微观基础.本文从理论与实证上研究了流动性创造如何影响银行利率对市场利率及其预期的动态调整,并考虑了忽略预期市场利率可能产生的遗漏变量问题.研究发现:1)流动性创造对银行利率动态调整具有负向的影响,且考虑流动性创造后市场利率对存款利率的传导相对较低.2)流动性创造对银行利率动态调整的影响具有异质性,市场利率对国有及全国性股份制银行的传导不够顺畅.3)预期能够在一定程度上改善市场利率的短期传导,但无法从根本上纠正市场利率的长期传导,尤其是对于国有及全国性股份制银行而言.4)在流动性创造对银行利率动态调整的影响机制中,同业拆借具有部分中介效应,进一步验证了市场利率异质性传导的原因在于流动性创造在同业市场中存在外部融资约束效应.基于此,建议从实现存款利率并轨、提高中小银行同业市场参与度、加强预期管理着手,疏通货币政策传导渠道,优化货币政策跨周期调节.Against the background that liquidity problems frequently occur in Chinese banking system since 2013,understanding the impact mechanism of liquidity creation on the dynamic adjustment of bank interest rates is an important basis for comprehending the transmission of monetary policy in China.This paper studies how liquidity creation affects the dynamic adjustment of bank interest rates to the market interest rate and its anticipation,considering the problem of so-called omitted variable that may result when ignoring anticipated market rate.The results show that liquidity creation has a negative influence on the dynamic adjustment of bank interest rates,and the transmission of market rate to deposit rate is relatively low after considering liquid-ity creation.The effects of liquidity creation on the dynamic adjustment of bank interest rates are heterogene-ous,and the transmission of market rate to interest rates in state-owned and joint-stock banks does not function well.In addition,anticipation could improve the short-term transmission of market rate to some extent,but could not fundamentally correct the failure of long-term transmission.In the influence of liquidity creation on the dynamic adjustment of bank interest rates,net interbank lending has a partial mediating effect,which fur-ther verifies that the reason for the heterogeneous transmission of market rate lies in the external financing con-straint effect of liquidity creation in the interbank market.Our funding could shed light on how to improve the effectiveness of market interest rate transmission and cross-cyclical monetary policy regulation in China,by merging dual-track deposit rates into one-track,strengthening anticipation management and improving the par-ticipation of smaller banks in the interbank market.

关 键 词：银行利率 市场利率预期 流动性创造 同业拆借 

分 类 号：F832.33[经济管理—金融学] F822.0