同业市场摩擦、银行异质性与货币政策传导

Interbank Market Frictions,Bank Heterogeneity and the Transmission of Monetary Policy

同业拆借双方存在的信息不对称,改变了银行的资产负债管理行为,同业市场摩擦因而通过银行贷款决策影响货币政策传导。我国同业市场的特殊性又在于,存在着具有不同流动性充裕度和信用风险的大小银行,其中大银行可看作资金批发方,小银行主要是资金拆入方。针对这些特征,本文构建了不确定性条件下我国异质性商业银行资金运用的动态优化决策模型,推导不同类型银行的贷款投放决策,探讨货币政策信贷渠道的有效性。结论是,同业市场摩擦阻碍了货币政策传导;面对货币政策冲击,不同类型银行反应不一;特殊的同业市场结构进一步阻塞了政策传导——若同业风险飙升,大银行将急剧减少资金拆出规模,货币政策传导遭遇梗阻并产生类"钱荒"现象。然后使用2007—2019年间279家中国商业银行的微观数据进行实证检验,验证了理论推断。最后针对性地提出了货币政策操作与金融改革的建议。对于深入理解我国货币市场运行,以及如何疏通我国货币政策传导问题,本文具有重要启示。

The interbank market is the first link in the transmission of monetary policy.A stable interbank market is a prerequisite for China’s central bank to unblock the transmission of monetary policy.However,the reality is that since 2007,the instability of China’s interbank market has increased.It is generally believed that the interbank market frictions are the cause of the instability of the interbank market and the weakening of the credit channel of monetary policy transmission.The information asymmetry between the interbank lending and borrowing parties has changed the bank’s asset-liability management behavior.The interbank market frictions therefore affect the monetary policy transmission through bank lending decisions.We also recognize that large and small banks in China’s interbank market have very different characteristics,which are significantly different from those abroad.Among them,large banks have more abundant liquidity and lower risk appetite due to historical reasons and policy dividends.Therefore,in the interbank market,large banks can be regarded as fund wholesalers,and small banks are mainly fund borrowers.Under the mechanism of interbank market frictions,large and small banks have asymmetric shock responses,which will further differentiate the monetary policy transmission mechanism.In this paper,we develop a dynamic equilibrium model that incorporates China’s bank heterogeneity to analyze the effectiveness of monetary policy transmission.Our theoretical work builds on the interbank market friction framework of Bianchi&Bigio(2017),introduces the interbank pledge market at the same time,and discusses the influence of interbank market frictions and special market structure on bank lending and monetary policy credit transmission in China.We find that the mechanism of interbank market frictions caused by information asymmetry hinders the transmission of monetary policy.(1)In the face of monetary policy shocks,different types of banks react differently.(2)The special market structure of heterogeneous banks further hinders the transmission of monetary policy.If interbank risks soar,large banks will sharply reduce the scale of fund lending,and the transmission of monetary policy will be blocked and money shortage will occur.Our empirical findings are:(1)In the face of tightening monetary policy,banks tend to reduce loans and increase securities assets,that is,a tightening monetary policy still has a certain effect.(2)The greater the interbank market frictions,the greater the buffering effect of securities,and the fewer the loans of small banks.(3)The more the interbank net assets of small banks,the weaker their response to the tightening monetary policy,which is opposite for large banks.(4)The greater the interbank market frictions,the more the interbank net assets of large banks,and the stronger their response to the tightening monetary policy.Based on the interbank market frictions and bank heterogeneity,this paper is the first to formally discuss the issue of bank credit decision-making and monetary policy transmission in China.At the academic level,the introduction of China’s bank heterogeneity has enriched the relevant research on the money market and monetary policy.At the micro level,this paper can deeply understand the asset allocation and credit decision-making behaviors of different types of banks in China,and at the macro level,it provides a new perspective and framework for understanding the operation of China’s interbank market and monetary policy transmission.The extended policy implications are:(1)The central bank needs to strengthen supervision and information disclosure,and weaken the impact of the mechanism of interbank market frictions.(2)The central bank needs to reform the existing banking system and monetary policy orientation system to reduce the impact of bank heterogeneity.(3)The central bank needs to carry out bolder policy instrument innovations,and build a new mechanism of monetary policy transmission that spans the interbank market.