流动性创造、监管与系统性银行危机

Liquidity Creation,Regulation and Systemic Banking Crisis

本文使用1998—2011年期间93个国家和地区1043个观测值,运用Logit模型作为主要研究模型探究了商业银行流动性创造导致系统性银行危机发生的内在机制,以及银行监管是否会抑制其所带来的负面影响。研究结果显示,银行在创造流动性的过程中会增加自身风险,从而增大系统性银行危机的发生概率。具体而言,资产端创造过度的流动性以及表外业务创造的过度或过低的流动性均会引发系统性银行危机。该结论在考虑潜在的内生性问题并进行一系列稳健性检验后依然成立。进一步研究发现,加强资本监管可以适度降低因流动性创造而产生系统性银行危机的概率。据此,本文认为,在促发展、防风险的有机统一过程中,引导银行创造适度规模的流动性,并结合稳定的监管政策,是提升银行服务实体经济效率的关键。

In this paper,we conduct the first broad-based international study of systemic banking crises,including 93 countries or regions over 1998—2011,and introduce bank liquidity creation as a potential banking crises determinant.We find that bank liquidity creation is significantly and positively associated with the occurrence of systemic banking crises.The effects are through assets and off-balance sheet side components.In addition,we also find that the lack of off-balance sheet liquidity creation may also cause the occurrence of it.Government regulations,such as capital regulation,may mitigate the role of bank liquidity creation on banking crises.Findings are robust to accounting for endogeneity,using alternative economic models,and adding additional control variables.