中国银行流动性过剩的成因辨析:一个新的视角

An Analysis on the Causes of Excessive Liquidity in Chinese Banking Industry:From a New Angle

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。通过建立银行预防性流动资产需求模型,运用向量误差修正模型(VEC)和方差分解方法实证分析我国银行流动性过剩的原因。实证结果表明:银行间同业拆借利率、汇率波动率、存款波动率和银行存款增加是银行流动性过剩的主要原因,银行的自愿性流动资产过剩和非自愿性流动性过剩并存,银行大量的流动性资产部分是为了规避融资成本、汇率风险和存款波动等风险而持有的。

This paper divides banks＇ liquid assets into voluntary liquid assets and involuntary/preventive liquid assets. By creating a commercial bank＇s demand model on preventive liquid assets, this paper exerts VEC model and variance decomposition method to make an empirical study on the causes of excessive liquidity in Chinese banking industry. The result shows that CHIBOR, the fluctuation rate of exchange rate and bank deposit and the increase of bank deposit are main causes of excessive liquidity in banks. Voluntary liquid assets and involuntary liquid assets in banks are coexisting, and banks hold those assets to avoid various risks, such as financing costs, exchange rate risks and the fluctuation of bank deposit.