银行流动性过剩的自愿性与非自愿性因素辨析——兼论对货币政策的影响

Toward Voluntary and Involuntary Determinants of Excess Liquidity for China Commercial Banks

本文将银行的流动性资产分为自愿性(预防性)流动资产和非自愿性流动资产两部分,并建立银行自愿性流动资产需求模型,进一步的实证分析表明:自愿性因素和非自愿性因素共同促使我国银行流动性过剩,自愿的预防性流动资产过剩和非自愿的流动资产过剩并存,银行的部分流动性过剩资产是为了规避融资成本、汇率风险和存款波动风险而自愿持有的。脉冲响应分析表明银行流动性过剩制约了我国货币政策有效性的发挥。

This paper divides liquidity assets into voluntary liquidity assets and involuntary liquidity assets and constructs a demand model for bank voluntary liquidity assets.Empirical results imply that both voluntary and involuntary factors lead the liquidity excess of China commercial banks.Voluntary and involuntary excess liquidity compose bank excess liquidity.Part of bank excess liquidity is used for evading the risks of financial costs,exchange rates and deposit fluctuation.Impulse response results show that excess liquidity constrains the validity of monetary policies.