货币政策对商业银行流动性影响的实证分析.docVIP

PAGE PAGE 23 货币政策对商业银行流动性影响的实证分析 摘要：流动性是商业银行正常运行的重要环节，而货币政策工具能够通过各种机制影响商业银行的流动性。本文首先分析了货币政策对商业银行流动性影响的理论基础，接着本文收集了2008年至2016年我国货币政策与商业银行流动性的相关数据，构建了基于多变量的向量自回归模型。运用ADF检验、协整检验、脉冲响应和方差分解等方法进行了实证研究，结果表明：法定存款准备金率对于商业银行的流动性有着最强和最长时间的影响力；其次是央行发行票据的正向影响；而央行买卖债券的影响力最弱，并且作用的时间也较短。最后，本文对如何更好地运用货币政策调节商业银行流动性提出了一些建议，希望能够对央行实施货币政策有所帮助。 关键词：货币政策；商业银行流动性；VAR模型 An empirical analysis of the effect of monetary policy on the liquidity of commercial banks Abstract: Liquidity management is very important for the steady operation of commercial banks, and the monetary policy tools can affect the liquidity of commercial banks through various channels. Firstly, this paper analyses effect of monetary policy on the liquidity of commercial banks through theoretical analysis. Then this paper collects Chinas monetary policy and commercial banks liquidity data which ranges from 2008 to 2016 and also builds the VAR model based on the multivariate vectors. Using Augmented Dickey-Fuller test, Co-integration?test, Impulse Response Function and Variance Decomposition, the?results show that the statutory deposit reserve ratio has the strongest and longest duration of action for the liquidity of commercial banks; followed by the positive impact of issuance of central bank bills; and central bank trading in bonds has the weakest and shortest effect. Finally, this paper puts forward some suggestions on how to make better use of monetary policy to regulate the liquidity of commercial banks, and hopes it could be useful for the central bank to implement monetary policy. Keywords: Monetary Policy, Commercial Bank Liquidity, Vector Auto regression model 一、引言 随着金融创新和金融市场的全球化，越来越多金融衍生品出现，商业银行的流动性管理也面临着巨大的挑战。流动性是商业银行正常运行的重要一环，因而其也是商业银行监管的重要目标。在2008年金融危机以前，各国的金融机构对于流动性风险的管理都不够重视，以至于在金融危机发生以后，许多金融机构出现了流动性问题并且因此而破产。正是由于金融危机使得银行业面临的严峻形势引起了各国监管机构加强了对流动性风险的监控，2010年巴塞尔委员会通过了《巴塞尔协议Ⅲ》。《巴塞尔协议Ⅲ》引入了两个流动性风险监管的量化指标即流动性覆盖率和净稳定资金比率，通过流动性覆盖率来衡量银行短期流动性风险，采用净稳定资金比率调整银行长期资金来源，调整期限错配的问题。近年来，随着金融创新和互联网金融的不断发展，P2P、余额宝、地方性融资平台等等新型金