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金融研究  2024, Vol. 528 Issue (6): 97-113    
  本期目录 | 过刊浏览 | 高级检索 |
基础货币投放结构、银行风险与流动性分层
何玉洁, 刘欣蕊
浙江工商大学金融学院,浙江杭州 310018;
杭州师范大学经济学院,浙江杭州 311121
Structure of Base Currency Injection, Bank Risk and Liquidity Stratification
HE Yujie, LIU Xinrui
School of Finance, Zhejiang Gongshang University;
School of Economics, Hangzhou Normal University
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摘要 我国基础货币投放机制逐步由外汇占款向创新型货币政策工具转变,给商业银行流动性管理带来重要影响。本文讨论央行基础货币投放结构如何影响商业银行流动性分层,并基于2013—2022年中国商业银行逐笔同业存单发行数据进行实证研究。本文发现,创新型货币政策工具投放基础货币的比重提高,会导致中小银行同业存单发行额度上升,但对国有大型银行没有显著影响,表明基础货币投放结构导致银行流动性分层;当同业存单发行银行更大、主体评级更高以及在疫情冲击时期,中小银行同业存单发行所受影响更大。风险承担机制检验表明,国有大型银行风险承担意愿越低,基础货币投放结构对中小银行同业存单发行额度的影响越强烈。本文对加快完善中央银行制度、完善基础货币投放机制具有一定参考意义。
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何玉洁
刘欣蕊
关键词:  基础货币投放结构  流动性分层  风险承担  同业存单发行  风险转移    
Summary:  The 20th National Congress of the communist party of China clearly states, “Deepening structural reform in the financial sector and modernizing the central bank system.” Base currency injection forms the foundation and core of credit expansion and liquidity creation within the financial system. The People's Bank of China (PBoC) also emphasizes the need to “improve the mechanism for base currency injection.” As China's economy enters a new normal phase, the mechanism for base currency injection is gradually shifting from the foreign exchange reserve mechanism to innovative monetary policy tools. However, current research on monetary policy focuses primarily on the quantity and price of base currency issuance, with little consideration given to the structural characteristics such as channels and recipients of base currency injection. Changes in the mechanism and recipients of base currency injection can profoundly impact the liquidity landscape of the banking sector. This paper explores how the structure of base currency injection contributes to bank liquidity stratification. Furthermore, this paper discusses how liquidity stratification affects the risks faced by small and medium-sized banks.
Compared to foreign exchange channel, innovative policy tools channel involves direct lending to commercial banks, resulting in a discriminatory effect on the recipients of base currency injection. State banks have a greater advantage in obtaining base currency. This creates a situation where state banks accumulate liquidity while non-state banks face liquidity shortages, thus leading to “liquidity stratification”. By constructing bank-panel data from 2013-2022, this paper finds that the increase in the proportion of claims on other depository corporations triggers a rise in issuance volumes of interbank negotiable certificate of deposit (NCD) by non-state banks (small and medium-sized banks). However, this increase does not affect the issuance volumes by state banks. This indicates that the structural change in the base currency injection leads to bank liquidity stratification. The impact of the base currency injection structure on NCD issuance volumes is more pronounced in larger issuing banks, for higher ratings, or during period of the COVID-19 pandemic. Mechanism suggests that as the risk aversion level of state-owned banks increases, the impact of base currency injection structure on the NCD issuance by non-state banks becomes more pronounced. Further analysis suggests that the base currency injection structure exacerbates risk exposure of non-state banks through liquidity stratification. And when the risk aversion of state banks is relatively high, the positive impact of the base currency injection structure on bank risk is more pronounced. The transition in the base currency injection mechanism also results in the risk transfer from state banks to non-state banks.
The main contributions of this paper are as follows. Firstly, it analyzes the structural characteristics of the evolution of China's basic monetary issuance mechanism. It integrates the unique “state-owned vs. non-state-owned” bank heterogeneity framework of China and explores the impact of the base currency injection structure on the bank liquidity stratification, through the NCD issuance samples. Secondly, this paper compares innovative monetary policy with the foreign exchange reserve from the perspective of mechanism transformation and the central bank's operational preferences for implementing tools. It comprehensively elucidates how innovative monetary policy shapes the structural changes in base currency injection and further influences bank liquidity stratification, thereby enhancing our understanding of innovative monetary policy tools. Thirdly, this paper further analyzes the risk-driving factors behind liquidity stratification and its impact on the risk of small and medium-sized banks. It finds a more important risk transfer feature in the liquidity stratification pyramid framework in which state-owned large banks transfer liquidity to small and medium-sized banks.
This paper offers the policy implications. Firstly, there is a need to further enhance the PBoC’s mechanisms for base currency issuance and liquidity management framework. The central bank should intensify the implementation of structural monetary policy tools, and lower barriers for members participating in innovative monetary policy tools such as MLF (Medium-term Lending Facility). Secondly, this paper proposes incentivizing state-owned banks to increase their risk-taking and systematically strengthening the performance evaluation of risk-taking and liquidity management. Simultaneously, larger banks should reinforce credit cooperation with small and medium-sized banks. Thirdly, this paper proposes strengthening the management and risk prevention of NCD issuance among small and medium-sized banks to avoid excessive competitive issuance and competitive rate increases.
Keywords:  Base Currency Injection    Liquidity Stratification    Risk-Taking    NCDs    Risk Transfer
JEL分类号:  E51   G21   E58  
基金资助: * 感谢国家社会科学基金项目(22CJY067)的资助。感谢匿名审稿人的宝贵意见,文责自负。
通讯作者:  刘欣蕊,经济学博士,讲师,杭州师范大学经济学院,E-mail:lxryyx1@163.com.   
作者简介:  何玉洁,经济学博士,讲师,浙江工商大学金融学院,E-mail:hyjyyx1@163.com.
引用本文:    
何玉洁, 刘欣蕊. 基础货币投放结构、银行风险与流动性分层[J]. 金融研究, 2024, 528(6): 97-113.
HE Yujie, LIU Xinrui. Structure of Base Currency Injection, Bank Risk and Liquidity Stratification. Journal of Financial Research, 2024, 528(6): 97-113.
链接本文:  
http://www.jryj.org.cn/CN/  或          http://www.jryj.org.cn/CN/Y2024/V528/I6/97
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