银行流动性创造与系统性风险——基于同业视角的研究

Bank Liquidity Creation and Systemic Risk-From the Perspective of Interbank Business

本文基于2011~2021年期间中国上市银行数据,在现有研究关于中国银行流动性创造对系统性风险存在U型非线性影响的基础上,将流动性创造拆分成同业和非同业两个部分,补充了流动性创造结构影响系统性风险的相关研究。实证结果表明,流动性创造较多的银行对系统性风险的影响较大。从结构来看,流动性创造的系统性风险效应基本来源于同业流动性创造。影响机制表现为流动性创造加剧银行的个体风险,而同业流动性创造会同时增加银行的个体风险与系统关联度。基于2017年流动性创造骤减典型事实的分析发现,强监管政策能够抑制银行过多的流动性创造,起到化解系统性风险的效果。研究还发现流动性创造的风险效应在规模较小、同业参与程度较高和盈利水平较高的银行中更为明显。当经济增速放缓、股票市场动荡时,该效应相应增强;而宽松的货币政策则能够缓解流动性创造的风险效应。

This article uses data of listed banks in China from 2011 to 2021,to examine the impact of bank liquidity creation and its structure on systemic risks.The empirical results show that banks that create more liquidity have a greater impact on systemic risk.From the perspective of structure,the systemic risk effect of liquidity creation basically comes from the interbank liquidity creation.The impact mechanism is that liquidity creation intensifies the individual risks of banks,while the interbank liquidity creation increase both the individual risks and systemic linkage.Based on the facts that liquidity creation plummeted in 2017,it is found that intensive financial supervision has restrained banks'excessive liquidity creation and defused systemic risks.Finally,this article also finds that the risk effect of liquidity creation is more pronounced in banks with smaller scales,higher inter-bank participation,and higher profitability.When the economic growth slows down and the stock market is turbulent,this effect will increase;and loose monetary policy can alleviate the risk effect.Based on the interbank business perspective,this paper complements related research on the impact of liquidity creation structure on systemic risk.