利率改革能成为创新之源吗?——基于利率市场化改革与商业银行流动性创造的关系研究
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摘要
运用2008～2017年14家上市商业银行的面板数据,实证检验利率市场化对商业银行表内外流动性创造的影响及多元化经营的中介效应。研究结果表明利率市场化与商业银行表内外流动性创造之间均呈正相关关系,多元化经营在利率市场化对表内流动性创造的影响中发挥完全中介效应,而在利率市场化对表外流动性创造的影响中发挥部分中介效应。进一步的实证研究表明:商业银行表内流动性创造加剧了银行的流动性风险,而表外流动性创造对银行的流动性风险没有显著影响。
Based on the panel data of 14 listed commercial banks from 2008 to 2017,this paper empirically examines the impact of market-oriented interest rate on the liquidity creation inside and outside the balance sheet of commercial banks and the mediating effect of diversification level. The research results show that there is a positive correlation between market-oriented interest rate and liquidity creation inside and outside the balance sheet of commercial banks;diversification plays a complete mediating effect on liquidity creation inside the balance sheet caused by market-oriented interest rate,and a partial mediating effect on liquidity creation outside the balance sheet caused by market-oriented interest rate. Further empirical research shows that the liquidity creation in the balance sheet of commercial banks intensifies the liquidity risk of banks,while the outside balance sheet liquidity creation has no significant impact on the liquidity risk of banks.
Based on the panel data of 14 listed commercial banks from 2008 to 2017,this paper empirically examines the impact of market-oriented interest rate on the liquidity creation inside and outside the balance sheet of commercial banks and the mediating effect of diversification level. The research results show that there is a positive correlation between market-oriented interest rate and liquidity creation inside and outside the balance sheet of commercial banks;diversification plays a complete mediating effect on liquidity creation inside the balance sheet caused by market-oriented interest rate,and a partial mediating effect on liquidity creation outside the balance sheet caused by market-oriented interest rate. Further empirical research shows that the liquidity creation in the balance sheet of commercial banks intensifies the liquidity risk of banks,while the outside balance sheet liquidity creation has no significant impact on the liquidity risk of banks.
引文
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[25]王伟涛,董雅洁.收入多元化对商业银行盈利水平和风险承担的影响---基于2007-2015年我国45家银行的面板数据[J].南方金融,2016(8):33-42.
[26]王亚君,邢乐成.互联网金融、货币政策与银行流动性[J].浙江金融,2016(6):17-24.
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[28]王舒军,彭建刚.中国利率市场化进程测度及效果研究---基于银行信贷渠道的实证分析[J].金融经济学研究,2014,29(6):75-85.
[29]邓向荣,张嘉明.货币政策、银行风险承担与银行流动性创造[J].世界经济,2018,41(4):28-52.
[30]曾智,何雅婷.我国商业银行流动性结构对资本缓存的影响[J].国际金融研究,2016(9):63-74.
[31]温忠麟,张雷,侯杰泰,等.中介效应检验程序及其应用[J].心理学报,2014(5):614-620.
[32]左月华,李小欣.利率市场化、银行多元化与银行稳健性---基于2007-2014年中国商业银行非平衡面板数据的实证分析[J].投资研究,2016,35(2):99-107.
[33]曾智,姚舜达,何雅婷.多元化战略对商业银行盈利和风险水平的影响[J].商业研究,2016(9):117-127.
[34]FUNGACOVA,Z.,ARISS,R.T.,&WEILL,L.Does excessive liquidity creation trigger bank failures[R].BOFIT discussion paper,2013.
[35]IMBIEROWICZ,CHRISTIAN RAUCH.The relationship between liquidity risk and credit risk in banks[J].Journal of banking&finance,2014.
[36]刘志洋,宋玉颖.宏观审慎视角下的商业银行行业信贷供给实证研究[J].首都经济贸易大学学报,2018,20(2):42-50.
[2]李宏瑾.利率市场化对商业银行的挑战及应对[J].国际金融研究,2015(2):65-76.
[3]STIROH,K.J.Diversification in banking:is noninterest income the answer[J].Journal of money,credit and banking,2004(36):853-882.
[4]KOLER,MATTHIAS,Which banks are more risky?the impact of loan growth and business model on bank risk-raking[Z].Working Paper,Deutsche Bundes Bank,2012(33).
[5]王谞达.利率市场化与流动性创造[D].天津:南开大学,2017.
[6]BERGER A N,BOUWMAN C H S.Bank liquidity creation[J].The review of financial studies,2009,22(9):3779-3837.
[7]DIAMOND D W,RAJAN R G.Liquidity risk,liquidity creation,and financial fragility:a theory of banking[J].Journal of political economy,2001,109(2):287-327.
[8]ALLEN F,GALE D.Financial intermediaries and markets[J].Econometrica,2004,72(4):1023-1061.
[9]李明辉,孙莎,刘莉亚.货币政策对商业银行流动性创造的影响---来自中国银行业的经验证据[J].财贸经济,2014(10):50-60.
[10]苏玥.新型货币政策工具对商业银行流动性创造影响的实证研究[D].大连:东北财经大学,2017.
[11]周凡,齐天翔.竞争会降低商业银行流动性创造吗?[J].云南财经大学学报,2017,33(4):98-111.
[12]李明辉,黄叶苨,刘莉亚.市场竞争、银行市场势力与流动性创造效率---来自中国银行业的证据[J].财经研究,2018,44(2):103-114.
[13]吕思聪.外部监管和货币政策对中国商业银行流动性创造能力的影响研究[J].国际金融研究,2018(5):55-65.
[14]DIAMOND D W,DYBVIG P H.Bank runs,deposit insurance,and liquidity[J].Journal of political economy,1983,91(3):401-419.
[15]钱崇秀,宋光辉,许林.超额贷款、不良率与商业银行流动性---流动性螺旋还是流动性权衡[J].财贸经济,2018,39(7):81-95.
[16]张月月.利率市场化对中国上市银行风险影响的研究[D].大连:大连理工大学,2017.
[17]胡丽红.利率市场化对实体经济融资成本的影响[J].求索,2015(8):75-79.
[18]GORTON G.and G.PENNACCHI.Financial intermediaries and liquidity creation[J].Journal of finance,1990,45(1):49-71.
[19]李佳.资产证券化的流动性扩张:理论基础、效应及缺陷[J].财经科学,2014(4):11-21.
[20]王倩,路馨,曹廷求.结构性货币政策、银行流动性与信贷行为[J].东岳论丛,2016,37(8):38-52.
[21]王修华,陈文彬.利率市场化、多元化经营与商业银行绩效[J].金融理论与实践,2018(5):5-13.
[22]翟光宇,何玉洁.商业银行应加速收入结构多元化吗[J].财经科学,2016(9):1-13.
[23]ANA LOZANO-VIVAS and FOTIOS PASIOURAS.The impact of non-traditional activities on the estimation of bank efficiency:international evidence[J].University of bath school of management working paper series,2008.
[24]纪洋,徐建炜,张斌.利率市场化的影响、风险与时机---基于利率双轨制模型的讨论[J].经济研究,2015,50(1):38-51.
[25]王伟涛,董雅洁.收入多元化对商业银行盈利水平和风险承担的影响---基于2007-2015年我国45家银行的面板数据[J].南方金融,2016(8):33-42.
[26]王亚君,邢乐成.互联网金融、货币政策与银行流动性[J].浙江金融,2016(6):17-24.
[27]余磊,冯建.“钱荒”背景下城市商业银行多元化战略研究[J].理论探讨,2014(2):97-100.
[28]王舒军,彭建刚.中国利率市场化进程测度及效果研究---基于银行信贷渠道的实证分析[J].金融经济学研究,2014,29(6):75-85.
[29]邓向荣,张嘉明.货币政策、银行风险承担与银行流动性创造[J].世界经济,2018,41(4):28-52.
[30]曾智,何雅婷.我国商业银行流动性结构对资本缓存的影响[J].国际金融研究,2016(9):63-74.
[31]温忠麟,张雷,侯杰泰,等.中介效应检验程序及其应用[J].心理学报,2014(5):614-620.
[32]左月华,李小欣.利率市场化、银行多元化与银行稳健性---基于2007-2014年中国商业银行非平衡面板数据的实证分析[J].投资研究,2016,35(2):99-107.
[33]曾智,姚舜达,何雅婷.多元化战略对商业银行盈利和风险水平的影响[J].商业研究,2016(9):117-127.
[34]FUNGACOVA,Z.,ARISS,R.T.,&WEILL,L.Does excessive liquidity creation trigger bank failures[R].BOFIT discussion paper,2013.
[35]IMBIEROWICZ,CHRISTIAN RAUCH.The relationship between liquidity risk and credit risk in banks[J].Journal of banking&finance,2014.
[36]刘志洋,宋玉颖.宏观审慎视角下的商业银行行业信贷供给实证研究[J].首都经济贸易大学学报,2018,20(2):42-50.