危机后货币政策对商业银行流动性囤积的影响研究  

The Impact of Monetary Policy on Bank Liquidity Hoarding after Crisis

作　　者：晏文真 黄飞鸣[2] 王璐璐 Yanwenzhen;Huang Feimin;Wang Lulu

机构地区：[1]华东交通大学,江西南昌330013 [2]江西财经大学金融学院,江西南昌330013

出　　处：《上海金融》2023年第10期3-19,共17页Shanghai Finance

摘　　要：本文利用2008-2021年147家中国商业银行的非平衡面板数据,以银行流动性管理作为研究视角,探讨货币政策操作对银行流动性囤积的影响以及具体的影响机制。研究发现:中国货币政策操作的幅度加大对银行流动性囤积行为具有促进作用。影响机制分析表明,货币政策调控会造成银行同业业务占比的增加、非流动性资产占比的减少以及信贷增速的放缓,从而导致流动性囤积水平上升。此外,货币政策调控对流动性囤积的正向影响在区域性商业银行、资本充足水平较低的银行以及所处地区金融监管程度较强的银行中更明显。进一步分析发现,商业银行在货币政策操作较频繁时的流动性囤积行为能够抑制银行短期风险偏好的提升,降低银行的风险承担;然而流动性囤积对银行风险偏好的影响并不具有长期持续性。这表明,货币政策调整是造成银行流动性囤积现象的宏观因素之一。因此,在进行货币政策调控时,应考虑政策调控产生的波动对银行流动性管理的负面影响,以促进商业银行的高质量发展。This paper utilizes unbalanced panel data from 147 Chinese commercial banks spanning the years 2008 to 2021,with a focus on bank liquidity management.It investigates the effects of monetary policy operations on bank liquidity hoarding and the mechanisms involved.The research reveals that an increase in the magnitude of monetary policy operations in China plays a facilitating role in encouraging banks to hoard liquidity.Mechanism analysis indicates that monetary policy regulation leads to an increase in the proportion of interbank business,a decrease in the proportion of illiquid assets,and a slowdown in credit growth,ultimately resulting in elevated levels of liquidity hoarding.Furthermore,the positive impact of monetary policy regulation on liquidity hoarding is more pronounced in regional commercial banks,banks with lower capital adequacy levels,and banks subject to stronger financial regulatory oversight in their respective regions.Finally,a further analysis of the impact of liquidity hoarding on bank risk preferences reveals that,during periods of frequent monetary policy operations,the liquidity hoarding behavior of commercial banks can suppress the increase in short-term risk preferences,thereby reducing overall bank risk exposure.However,the influence of liquidity hoarding on bank risk preferences is not of a long-term nature.This implies that monetary policy adjustments are one of the macro factors contributing to the phenomenon of liquidity hoarding by banks.Therefore,when conducting monetary policy regulation,the negative impact of policy-induced fluctuations on bank liquidity management should be considered to promote the high-quality development of commercial banks.

关 键 词：货币政策 银行流动性囤积 银行信贷 同业负债 

分 类 号：F822.2[经济管理—财政学]