流动性供给、商业银行资产配置与流动性分层  

Liquidity Provision,Commercial Bank Asset Allocation,and Liquidity Stratification

作　　者：王妍 林思涵 王继红 Wang Yan;Lin Sihan;Wang Jihong

机构地区：[1]对外经济贸易大学统计学院 [2]首都经济贸易大学经济学院 [3]石河子大学理学院

出　　处：《金融经济学研究》2024年第4期38-52,共15页Financial Economics Research

基　　金：国家社会科学基金项目(21BTJ055);石河子大学高层次人才科研启动项目(RCZK2021B02)。

摘　　要：从商业银行资产配置微观结构出发,基于整合的同业存单发行数据、信贷收支数据以及财务数据,构建面板数据模型探究货币政策工具对银行间市场融资流动性的影响及其异质性特征,进而分析中央银行流动性供给对银行间市场流动性分层的影响。实证结果表明,常备借贷便利提供的短期流动性供给可能会提升中小型商业银行的融资成本,引发流动性分层问题,在同业存单纳入MPA考核后,上述问题得到有效缓解。常备借贷便利工具引发流动性分层的主要原因是不完全融资可得性导致的商业银行资产配置行为差异。因而,可将央行流动性供给和存款类金融机构资产负债表的总量和结构变化纳入统一的流动性风险管理框架,以预防流动性集中投放引发的流动性分层问题。This study employs a panel data model to investigate the impact of monetary policy instruments on interbank market financing liquidity and its heterogeneous characteristics and analyze the impact of central bank liquidity provision on the stratification of liquidity in the interbank market,drawing from a microstructural perspective on commercial bank asset allocation.The model integrates data on the interbank certificate of deposit issuance,credit transactions,and financial data.Empirical results indicate that the provision of short-term liquidity through standing lending facilities may increase financing costs for small and medium-sized commercial banks,leading to issues of liquidity stratification.These issues are effectively mitigated following the inclusion of interbank certificates of deposit in the macro-prudential assessment(MPA).The primary cause of liquidity stratification induced by standing lending facilities is the disparity in asset allocation behaviors among commercial banks,driven by insufficient financing.Consequently,it is advisable to incorporate central bank liquidity provision and changes in the volume and structure of depository institutions'balance sheets into a unified liquidity risk management framework to prevent liquidity stratification issues caused by concentrated liquidity distribution.

关 键 词：流动性供给 资产配置结构 同业存单 流动性分层 

分 类 号：F830[经济管理—金融学]