流动性冲击下流动性覆盖率对商业银行借贷的影响——一个理论分析模型
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摘要
通过理论分析得出,当商业银行遭受流动性冲击时,其资本充足率下降,且当预期的存款流出比率小于预期的偿还借款比率时,准备金制度能够覆盖未来的存款流出;当商业银行面临流动性冲击时,无论是向中央银行借款,还是在银行间市场借款,商业银行都是在借款压力大时对流动性的需求至少不低于压力较小时的情景。此外,在假设商业银行资产收益率大于基准利率的基础上,相对于存款市场的流动性,分别讨论了银行间市场和货币政策整体流动性偏紧、银行间市场和货币政策整体流动性偏松、银行间市场流动性偏松和货币政策流动性偏紧以及银行间市场流动性偏紧和货币政策流动性偏松四种情景下,流动性覆盖率对商业银行借贷行为的影响。
This paper proves that under liquidity shock after theoretical analysis, the capital ratio of commercial banks thins and if the expected outflow of deposit is lower than expected payback, the reserves can cover the future outflow; the moment when commercial banks demand liquidity most is the time when financial markets are experiencing the most liquidity shortage. Besides, assuming the asset return rate is higher than the benchmark rate, this paper respectively discussed four scenarios all relatively to deposit market, under which how liquidity coverage ratio affects commercial banks' borrowing behavior, including tightening monetary policy and inter-bank market liquidity condition, loosening monetary policy and inter-bank market liquidity condition, tightening monetary policy and inter-bank market liquidity condition and loosening monetary policy and tightening inter-bank market liquidity condition.
This paper proves that under liquidity shock after theoretical analysis, the capital ratio of commercial banks thins and if the expected outflow of deposit is lower than expected payback, the reserves can cover the future outflow; the moment when commercial banks demand liquidity most is the time when financial markets are experiencing the most liquidity shortage. Besides, assuming the asset return rate is higher than the benchmark rate, this paper respectively discussed four scenarios all relatively to deposit market, under which how liquidity coverage ratio affects commercial banks' borrowing behavior, including tightening monetary policy and inter-bank market liquidity condition, loosening monetary policy and inter-bank market liquidity condition, tightening monetary policy and inter-bank market liquidity condition and loosening monetary policy and tightening inter-bank market liquidity condition.
引文
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[2]Basel Committee on Banking Supervision. Basel III:The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools[R].Bank for International Settlements,2013.
[3]KOWALIK M. Basel Liquidity Regulation:Was It Improved with the 2013 Revisions?[R].Economic Review of Reserve Bank Kans City,2013.
[4]LI B,XIONG W,CHEN L,et al. The Impact of the Liquidity Coverage Ratio on Money Creation:A Stock-flow Based Dynamic Approach[J].Economic Modelling,2017,67(12):193-202.
[5]CROTTY J. Structural Causes of the Global Financial Crisis:a Critical Assessment of the New Financial Architecture[J].Cambridge Journal of Economics,2009,33(4):563-580.
[6]OBSTFELD M,ROGOFF K.Global Imbalances and the Financial Crisis:Products of Common Causes[R].CEPR Discussion Papers,No. DP7606,2009.
[7]BAILY M N,LITAN R E,JOHNSON M S,et al. The Origins of the Financial Crisis[M]//KOLB R W.Lessons from the Financial Crisis:Causes,Consequences,and Our Economic Future. Hoboken:John Wiley&Sons,Inc,2008.
[8]FARHI E,TIROLE J.Collective Moral Hazard,Maturity Mismatch and Systemic Bailouts[J].American Economic Review,2012,102(1):60-93.
[9]KASHYAP A K,RAJAN R G,STEIN J C,et al. Rethinking Capital Regulation[C].Proceedings-Economic Policy Symposium-Jackson Hole. Federal Reserve Bank of Kansas City,2008:431-471.
[10]LIIKANEN E. High-level Expert Group on Reforming the Structure of the EU Banking Sector[R].Brussels Final Report,2012.
[11]VICKERS,Final Report:Recommendations[R].Independent Commission on Banking,London,2011.
[12]ECB. Liquidity Regulation as a Prudential Tool:a Research Perspective[R].European Central Bank Financial Stability Review Special February,2012.
[13]HOCHREITER P,HARDY D. A Simple Macroprudential Liquidity Buffer[R].International Monetary Fund,2014.
[14]BECH M,KEISTER T. Liquidity Regulation and the Implementation of Monetary Policy[J].Journal of Monetary Economics,2017,92(12):64-77.
[15]BONNER C,EIJFFINGER S C W. The Impact of Liquidity Regulation on Bank Intermediation[R].CEPR Discussion Papers,2016.
[16]ECB. Liquidity Regulation and Monetary Policy Implementation Money Bulletin[R].European Central Bank,2013.
[17]SCHMITZ S W. The Impact of the Basel III Liquidity Standards on the Implementation of Monetary Policy[R].Available SSRN,No.1869810,2011.
[18]STEIN J C. Liquidity Regulation and Central Banking[C]In:Speech the Find. Right Balanc.2013 Credit Mark. Symp.Spons. by Fed. Reserv. Bank Richmond,Charlotte,North Carolina.
[19]BINDSEIL U,LAMOOT J. The Basel III Framework for Liquidity Standards and Monetary Policy Implementation[R].SFB 649 Discusssion Papers,No.41,2011.
[20]KING M. Mapping Capital and Liquidity Requirements to Bank Lending Spreads[R].BIS Working Papers,No.324,2010.
[21]AGHION P,FARHI E,KHARROUBI E. Liquidity and Growth:The Role of Counter-Cyclical Interest Rates[R].BIS Working Papers,No.489,2015.
[22]ENNIS H M,WEINBERG J A. Over-the-counter Loans,Adverse Selection and Stigma in the Interbank Market[J].Review of Economic Dynamics,2013,16(4):601-616.