经济政策不确定性、风险规避与流动性创造结构性变动

Economic Policy Uncertainty,Risk Aversion and Structural Changes in Liquidity Creation

本文从风险角度出发,探讨了经济政策不确定性对商业银行流动性创造的结构性影响,并进一步分析了同业业务扩张的成因。结果显示,经济政策不确定性通过风险渠道抑制商业银行信贷业务流动性创造,促进同业业务流动性创造。风险规避动机是商业银行流动性创造结构性变动的重要原因,上述关系在同业杠杆率较高的小型商业银行中更加显著。进一步研究表明,商业银行流动性创造的结构性调整有利于商业银行规避个体企业违约风险,但增加了金融系统内部关联性。底层资产风险较高时可能形成风险转嫁,加剧潜在系统性风险。政策当局应致力于穿透式监管,注重底层资产风险的识别与披露,在不同类型资产业务间建立风险隔离机制,谨防同业业务风险溢出。

This article discusses the structural impact of economic policy uncertainty on the liquidity creation of commercial banks and analyzes the causes of the expansion of interbank business.The results show that economic policy uncertainty inhibits commercial banks’liquidity creation from lines of credit and promotes their liquidity creation from lines of interbank business liquidity.Risk aversion motivation is an important reason for the structural changes in the commercial banks’liquidity creation.The above relationship is more significant in small commercial banks with high interbank leverage.Further research shows that the structural adjustment of the commercial banks’liquidity creation helps them to avoid the default risk of individual enterprises,but increases the interlink complexity of the financial system.When the risk of underlying assets is high,the effect may induce risk shifting and aggravate the potential systemic risk.The policy authorities should enhance penetrating supervision and establish risk isolation mechanisms between different types of asset businesses to prevent the risk spillover from interbank businesses.