货币政策与银行间债券市场流动性--基于银行同业资产配置结构的研究

Monetary Policy and the Liquidity of the Interbank Bond Market:A Research based on the Structure of Interbank Asset

文章选取2005—2019年数据,基于时变参数模型分析了样本期间货币政策、同业业务与银行间债券市场流动性的关系。研究发现,商业银行同业业务对债券市场的流动性产生了显著的影响,同业业务规模越大银行间债券市场流动性越高;在货币政策的债券市场传导过程中,商业银行同业业务规模对债券市场流动性的中介效应明显,在一定程度上削弱了货币政策的效应。随着金融监管政策的加强,同业业务对债券市场流动性的影响程度有所降低,但仍具有较强的影响力。因此,货币政策需关注商业银行同业业务的发展及其与其他非银金融机构之间的关联性,强化穿透式监管机制,避免较大波动所带来的银行间债券市场流动性风险。

Using data from 2005 to 2019,the paper analyze the relationship between monetary policy,inter-bank business,and interbank bond market liquidity with a time-varying parameter model.The study found that the interbank business of commercial bank has a significant impact on the liquidity of the bond market.The larger scale of interbank business,the higher liquidity of the interbank bond market。During the monetary policy transmission process,the scale of commercial bank interbank business has a mediation effect on the bond market liquidity,which weakens the effect of monetary policy.Although the impact of inter-bank business on the liquidity of the bond market has been weakened with the reinforcement of financial regulatory system,it remain has a strong influence on the liquidity of the bond market.Therefore,we need to pay more attention to the development of interbank business and its relationship between other non-bank financial institutions,strengthening of the penetrating supervision mechanism such that the liquidity risk caused by large fluctuations can be reduced.