删除的红线:存贷比约束如何影响货币政策的信贷传导
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摘要
货币政策通过流动性调控影响银行信贷,监管当局的流动性约束政策促使商业银行提高流动性水平进而约束信贷增长,并对货币政策的信贷调控产生影响。虽然我国于2015年删除了75%的存贷比红线,但以存贷比为代表的流动性约束指标是否影响货币政策的信贷传导依旧引发思考。本文基于2007—2016年我国89家商业银行的微观数据,采用面板数据固定效应模型,考察了货币政策和流动性约束的信贷传导渠道并在此基础上分别检验了银行微观流动性水平差异和宏观货币政策环境变化对信贷调控效果的影响。研究结果表明:(1)流动性约束对银行信贷具有显著的抑制作用;(2)较强的流动性约束下银行信贷对货币政策的反应更加敏感;(3)银行的流动性水平会影响流动性约束下货币政策信贷调控的最终效果,流动性约束和货币政策的交互作用对流动性水平较高的银行更加有效,对流动性水平较低的银行没有显著影响;(4)货币政策环境较为宽松时,流动性约束下货币政策对银行信贷的调控具有不对称性。
Monetary policy affects bank credit through liquidity regulation, and the liquidity constraint policy of regulatory authority urges commercial banks to improve liquidity level and restrain credit growth, and has an impact on credit regulation of monetary policy. Although China deleted 75% of the deposit-loan ratio red line in 2015, whether the liquidity constraint index represented by the deposit-loan ratio affects the credit transmission of monetary policy is still a question. Based on the microscopic data of 89 commercial banks in China from 2007 to 2016, this paper adopts the panel data fixed effect model. On the basis of this, the paper examines the effects of the difference in micro liquidity level of the bank and the change of macro-monetary policy environment on the effect of credit regulation and control.The results show that:(1) liquidity constraint has a significant inhibitory effect on bank credit;(2) under strong liquidity constraint, bank credit is more sensitive to monetary policy;(3) the liquidity level of the bank will affect the final effect of the monetary policy credit regulation under the liquidity constraint, and the interaction between the liquidity constraint and the monetary policy will be more effective for the bank with the higher liquidity level. There is no significant effect on banks with low liquidity level;(4) there is asymmetry in the regulation of bank credit under liquidity constraints when the monetary policy environment is relatively loose.
Monetary policy affects bank credit through liquidity regulation, and the liquidity constraint policy of regulatory authority urges commercial banks to improve liquidity level and restrain credit growth, and has an impact on credit regulation of monetary policy. Although China deleted 75% of the deposit-loan ratio red line in 2015, whether the liquidity constraint index represented by the deposit-loan ratio affects the credit transmission of monetary policy is still a question. Based on the microscopic data of 89 commercial banks in China from 2007 to 2016, this paper adopts the panel data fixed effect model. On the basis of this, the paper examines the effects of the difference in micro liquidity level of the bank and the change of macro-monetary policy environment on the effect of credit regulation and control.The results show that:(1) liquidity constraint has a significant inhibitory effect on bank credit;(2) under strong liquidity constraint, bank credit is more sensitive to monetary policy;(3) the liquidity level of the bank will affect the final effect of the monetary policy credit regulation under the liquidity constraint, and the interaction between the liquidity constraint and the monetary policy will be more effective for the bank with the higher liquidity level. There is no significant effect on banks with low liquidity level;(4) there is asymmetry in the regulation of bank credit under liquidity constraints when the monetary policy environment is relatively loose.
引文
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[17]吴晓灵.金融市场化改革中的商业银行资产负债管理[J].金融研究,2013(12):1-15.
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[19]郭晔,赵静.存款竞争、影子银行与银行系统风险——基于中国上市银行微观数据的实证研究[J].金融研究,2017(6):81-94.
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[21]Gunji H,Yuan Y.Bank Profitability and the Bank Lending Channel:Evidence from China[J].Journal of Asian Economics,2010(2):129-141.
[22]董华平,干杏娣.我国货币政策银行贷款渠道传导效率研究——基于银行业结构的古诺模型[J].金融研究,2015(10):48-63.
[23]Hachem K,Zheng M.S.Liquidity Regulation and Credit Booms:Theory and Evidence from China[J].Social Science Electronic Publishing,2016.
[24]Nada M,Andrew L.Shocks to bank capital:evidence from UK banks at home and away[J].Applied Economics,2012,44(9):1103-1119.
[25]许坤,苏扬.逆周期资本监管、监管压力与银行信贷研究[J].统计研究,2016,33(3):97-105.
[26]冯科.何理.我国银行上市融资、信贷扩张对货币政策传导机制的影响[J].经济研究,2011(2):51-62.
[2]Bernanke B S&Blinder A S.Credit,Money,and Aggregate Demand[J].American Economic Review,1988(2):435-39.
[3]Kashyap A.K,Stein J C,Wilcox D W.Monetary Policy and Credit Conditions:Evidence from the Composition of External Finance[J].American Economic Review,1993(1):78-98.
[4]王振山,王志强.我国货币政策传导途径的实证研究[J].财经问题研究,2000(12):60-63.
[5]蒋瑛琨,刘艳武,赵振全.货币渠道与信贷渠道传导机制有效性的实证分析——兼论货币政策中介目标的选择[J].金融研究,2005(5):70-79.
[6]Gambacorta L.Inside the Bank Lending Channel[J].European Economic Review,2005(7):1737-1759.
[7]Kashyap A.K,Stein J.C.What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?[J].American Economic Review,2000(3):407-428.
[8]徐明东,陈学彬.中国微观银行特征与银行贷款渠道检验[J].管理世界,2011(5):24-38.
[9]Bonner C.Liquidity Regulation and Bank Behavior[R].Tilburg University,School of Economics and Management.,2014.
[10]NicolòG.D,Gamba A&Lucchetta M.Microprudential Regulation in a Dynamic Model of Banking[J].Working Papers,2014(7):2098-2138.
[11]Banerjee R&Mio H.The Impact of Liquidity Regulation on Banks[R].Bank of England,2015.
[12]EBA.Report on impact assessment for liquidity measures under Articla 509(1)of the CRR[R].2013.
[13]EBA.SecondreportonimpactassessmentforliquiditymeasuresunderArticla509(1)oftheCRR[R].2014.
[14]翟光宇.货币政策、金融监管与银行行为选择[M].北京:中国社会科学出版社,2017:107-124.
[15]廉永辉,张琳.流动性冲击、银行结构流动性和信贷供给[J].国际金融研究,2015(4):64-76.
[16]郭琪,彭江波.“以存定贷”与中小企业信贷约束——山东省例证[J].金融研究,2012(12):165-177.
[17]吴晓灵.金融市场化改革中的商业银行资产负债管理[J].金融研究,2013(12):1-15.
[18]江曙霞,何建勇.银行资本、银行信贷与宏观经济波动——基于c-c模型的影响机理分析的拓展研究[J].金融研究,2011(5):100-112.
[19]郭晔,赵静.存款竞争、影子银行与银行系统风险——基于中国上市银行微观数据的实证研究[J].金融研究,2017(6):81-94.
[20]王晋斌,李博.中国货币政策对商业银行风险承担行为的影响研究[J].世界经济,2017(1):25-43.
[21]Gunji H,Yuan Y.Bank Profitability and the Bank Lending Channel:Evidence from China[J].Journal of Asian Economics,2010(2):129-141.
[22]董华平,干杏娣.我国货币政策银行贷款渠道传导效率研究——基于银行业结构的古诺模型[J].金融研究,2015(10):48-63.
[23]Hachem K,Zheng M.S.Liquidity Regulation and Credit Booms:Theory and Evidence from China[J].Social Science Electronic Publishing,2016.
[24]Nada M,Andrew L.Shocks to bank capital:evidence from UK banks at home and away[J].Applied Economics,2012,44(9):1103-1119.
[25]许坤,苏扬.逆周期资本监管、监管压力与银行信贷研究[J].统计研究,2016,33(3):97-105.
[26]冯科.何理.我国银行上市融资、信贷扩张对货币政策传导机制的影响[J].经济研究,2011(2):51-62.