流动性覆盖率监管会影响货币政策风险承担渠道吗

Does Liquidity Coverage Ratio Regulation Affect Channels for Monetary Policy Risk-taking?

本文从流动性覆盖率(LCR)监管要求出发,探究商业银行微观行为对货币政策风险承担渠道产生的影响及其作用机制。本文创新性地将LCR监管约束引入DLM的模型框架下,推导出商业银行资产负债结构调整对货币政策传导效率的影响及其作用机制。在此基础上,采用我国116家商业银行2012—2021年的面板数据进行实证检验。本文发现,货币政策的风险承担渠道在中国显著存在,商业银行的风险承担会对存款准备金率的变动做出负向反馈。LCR监管要求对货币政策传导效率的影响取决于商业银行短期流动性管理行为的选择:商业银行囤积流动性资产将会减弱宽松货币政策带来的风险承担效应,而对融资渠道管理、提高负债质量的行为则会增强宽松货币政策带来的风险承担效应。LCR与净稳定资金比例(NSFR)监管要求和资本监管要求存在显著的交互作用。因此,应合理引导商业银行的流动性管理行为,提高商业银行经营的稳健性、安全性。

This paper explores the impact and mechanism of commercial bank micro behaviors on the channels of monetary policy risk-taking,starting from the regulatory requirements of the liquidity coverage ratio(LCR).It innovatively incorporates LCR regulatory constraints into the model framework of the Dynamic Leverage Model(DLM),deriving the effects and mechanisms of commercial bank asset-liability structure adjustments on the transmission efficiency of monetary policy.Based on this,panel data from 116 commercial banks in China from 2012 to 2021 are empirically tested.The study finds that the channels of monetary policy risk-taking exist significantly in China,and commercial banks'risk-taking behavior shows a negative feedback to changes in reserve requirement ratios.The impact of LCR regulatory requirements on the transmission efficiency of monetary policy depends on the choices of commercial banks'short-term liquidity management behaviors:hoarding liquidity assets weakens the risk-taking effect of loose monetary policy,while behaviors such as managing financing channels and improving liability quality enhance the risk-taking effect of loose monetary policy.There is a significant interaction between LCR requirements and requirements of the Net Stable Funding Ratio(NSFR)and capital regulation.Therefore,it is necessary to guide commercial banks'liquidity management behaviors reasonably to improve the stability and safety of their operations.