存款准备金率频调对银行流动性的政策效应测度——基于2010～2011年12次上调的数据分析

The Measurement of the Policy Effect of Legal Deposit Reserve Rate Frequent Modulation on Banks'Liquidity——Research Based on Raising Legal Deposit Reserve Rate for 12 Times in the Year of 2010-2011

金融市场的不发达使得存款准备金政策在中国居于重要地位。在2010～2011年间,央行密集上调法定存款准备金率12次以抑制经济过热,为准确测度该政策效果,运用现代计量经济学方法进行实证研究得出:第一,存款准备金率与银行贷存比之间存在协整关系,央行对存款准备金率的12次上调有效抑制了银行的流动性;第二,当短期波动偏离长期均衡时,将以-0.7364的调整力度将非均衡状态拉回到均衡状态;第三,存款准备金率是银行贷存比的格兰杰成因,而银行贷存比并不是存款准备金率的格兰杰成因;第四,银行贷存比对存款准备金率冲击的响应有4个月的政策时滞。

The deposit reserve policy still plays an important role in our country for the financial market is underdeveloped. In the year of 2010-2011, the central bank intensively raised legal deposit reserve rate for 12 times for the purpose of restraining the overheat economy. In order to accurately measure the effects of these policies, the paper uses the modem econometric methods to do empirical research and draws conclusions ：Firstly, there is co-integration relationship between the legal deposit reserve rate and banks＇ loan/deposit ratio, and the central bank raising deposit reserve rate for 12 times effectively suppressed banks＇ liquidity ;Secondly, ECM model shows that if short -term fluctuation deviates from the long- term equilibrium, it will be driven back in -0.7364 adjustment rate ;Thirdly, Granger cau- sality test shows that the deposit reserve rate does Granger cause banks＇ loan/deposit ratio while banks＇ loan/deposit ratio does not Granger cause the deposit reserve rate; Fourthly, there exists 4 months delay of the impulse response of banks＇ loan/deposit ratio to legal deposit reserve rate.