流动性需求、资本约束与银行债券资产配置行为

Liquidity Demands, Asset Constraints and the Commercial Bank's Allocation Behaviors of Bond Assets

本文使用2007～2012年中国16家上市银行的季度数据，研究流动性需求、收益率、风险及资本监管对债券资产配置行为的影响。研究结果表明，商业银行持有债券主要是满足流动性需要，且具有明显的逆经济周期波动性，受债券及替换性资产的收益率与风险的影响不大，受资本监管的影响较为显著。由于银行所处的市场地位和政策扶持力度不同，其债券配置行为存在较大差异。本文认为，商业银行应综合债券及贷款的收益和风险等因素，合理确定债券投资比重；中央银行制定货币政策时应考虑商业银行债券资产配置行为对货币政策效果的影响。

Based on the quarterly data of the Chinese 16 listed banks during 2007-2012, this paper researches the influence of liquidity demands, earnings, risks and capital regulation on the allocation behaviors of bond assets. The results indicate the main reason why commercial banks hold bonds is to meet the liquidity demands. That commercial banks hold bonds shows an apparent reverse-economic-cycle fluctuation, and it is greatly impacted by capital regulation, but it＇s not so by the earnings and risks of bonds and substitution assets. Because each bank has different market power and policy support, its allocation behaviors of bond assets show great differences. Commercial banks should comprehensively consider the earnings, risks and other factors of bonds and loans, and reasonably determine the bond investment ratio. When the central bank make monetary policies, it should consider the impacts of the commercial bank＇ s allocation behaviors of bond assets on the effects of monetary policy.