Research On The Impact Mechanism Of Bank Liquidity Creation From The Perspective Of Prudential Supervision

After the outbreak of international finance,financial supervision has received unprecedented attention in the world.It has become a general consensus to strengthen and improve macro and micro financial supervision.The liquidity creation of commercial banks is related to the financial and economic stability of a country,and it is an urgent task for banks and regulatory authorities to pay attention to.From the global financial crisis in 2008 to the innovation of Basel III,and then to the "money shortage" in China's banking industry,the liquidity risk management has sounded the alarm,but also explained the importance of bank liquidity creation.Therefore,it is necessary to study the mechanism of liquidity creation in the current macro micro financial supervision environment.The report of the 19 th National Congress of the Communist Party of China stressed that we should deepen the structural reform of the financial supply side and enhance the ability of financial services to serve the real economy.Finance is the core of modern economy,and the ability of financial services to the real economy is the key factor to solve the problem of "unbalanced and inadequate" in China's economic development.In view of this,in-depth study of the service function of China's commercial banks and exploration of the liquidity creation mechanism from various aspects can not only enrich the liquidity creation theory,but also have positive theoretical and practical significance for the in-depth promotion of the supply side structure reform of China's banking industry and the operation and management practice of commercial banks.At present,China's commercial banks are facing unprecedented challenges and challenges: firstly,the liquidity supervision requirements issued by the Agreement III.After the 2008 financial crisis signifies that the supervision of the international banking industry has entered a new stage of dual constraints on capital and liquidity.The promulgation of Capital Adequacy Ratio Management Measures for Commercial Banks and Liquidity Risk Management Measures for Commercial Banks(Trial Implementation)also marks that China's banking industry has entered a dual supervision stage of capital and liquidity.Secondly,at present,the macroeconomic environment at home and abroad is complex and changeable,and in this severe global financial and economic situation,the pace of China's financial reform continues to accelerate.With the acceleration of economic globalization and financial liberalization,the relaxation of market access of foreign banks,the sudden emergence of Internet finance,and the increasingly fierce market competition in the banking industry.Third,with the advance of the Basel agreement,the supervision of financial institutions' liquidity risk has been unprecedentedly developed by using market forces.In line with the requirements of international information disclosure regulation,in order to strengthen the market constraint role of information disclosure and improve the level of risk management,China promulgated the "information disclosure method for liquidity coverage of commercial banks" in December 2015.The promulgation of this measure marks a milestone in the reform and development of China's liquidity risk management and information disclosure supervision.Under this circumstance,how to enhance the ability of commercial banks to serve the real economy and improve the level of liquidity risk management is an urgent problem to be solved.We can not help thinking: under the dual constraints of capital and liquidity,how to coordinate financial regulation and monetary policy,open the credit transmission mechanism of monetary policy,and affect the liquidity of the real economy? What is the mechanism between competition and liquidity creation,and how to enhance liquidity creation ability in a competitive external environment? As one of the specific manifestations of market constraints,how does voluntary disclosure affect bank liquidity creation under the new regulation of liquidity information disclosure?What is the linkage and derivation process between liquidity risk and liquidity creation,and what is the liquidity management strategy? All these questions deserve our deep consideration.Therefore,based on the framework of prudential supervision under the framework of Agreement III,this paper makes theoretical analysis and empirical tests on the above issues,and mainly discusses the mechanism of liquidity creation from the following aspects.The details are as follows:(1)The impact of the dual regulatory constraints on monetary policy liquidity creation is created,from the perspective of liquidity risk regulation from Basel III and capital regulation.Firstly,by building a model of the impact mechanism of deposit reserve on liquidity creation as a monetary policy tool,we analyze the impact mechanism of monetary policy on liquidity creation under dual regulatory constraints and the combined effect of the two.By calculating the ratio of net stable funds as the proxy index of liquidity regulation,a dynamic panel data model is constructed to study the effect of monetary policy on the transmission mechanism of liquidit y creation under dual regulatory constraints by using system GMM estimation method.Finally,we analyze the heterogeneity of sub-bank business and bank types.(2)From the perspective of regulation reform of market access policy of Agreement III,considering cost efficiency as an intermediary variable,we examine the new mechanism of liquidity creation and explore the relationship between competition and liquidity creation.Firstly,the panel stochastic frontier(SFA)method is used to measure the Lerner Index as the proxy index of competitiveness,and the heteroscedastic BC(95)model is used to estimate the cost efficiency.Secondly,the PVAR model under the stress test scenario is constructed to validate the hypothesis of "cost efficiency-liquidity creation".Thirdly,the structural equation(SEM)model is constructed to empirically test the cost efficiency in silver.The intermediary role between bank competition and liquidity creation is discussed.Finally,the heterogeneity of mechanism influence is discussed from the micro-characteristics of subdivided banks.(3)From the perspective of the reform of regulatory system for liquidity risk information disclosure,this paper takes the implementation of the new regulation of liquidity coverage disclosure regulation as an opportunity to start the study on the impact of voluntary disclosure on bank liquidity creation through the DID method,and provides a new path for improving the level of liquidity risk management and promoting the stability of banking system;secondly,voluntary disclosure is to enhance transparency.At the same time,it also reflects the ability of corporate governance.By studying the effect of voluntary disclosure on the new regulation,it provides new evidence to improve the ability of bank governance.Finally,this paper uses the propensity score matching method and the double difference method(PSM-DID)to test the conservativeness of the consequences of voluntary disclosure,and to reduce the endogenous problems that may exist in policy evaluation.(4)Starting from the new regulatory indicators proposed by Agreement III for liquidity supervision,the construction and comprehensive evaluation of the monitoring system of liquidity risk from the systemic level are carried out.Secondly,considering the mechanism of feedback mechanism between them,a dynamic panel linked cubic group model is established,which is compared by single equation estimation(OLS)and system estimation(2SLS and 3SLS).Finally,starting from the different types of ownership banks,the types of assets and liabilities business,this paper further explores the heterogeneity of the linkage between liquidity creation and liquidity risk.This paper draws the following concrete conclusions through empirical research on the impact mechanism of liquidity creation.(1)Different monetary policies have different effects on liquidity creation.Overall,tightening monetary policy will reduce bank liquidity creation.From the perspective of the impact of regulatory constraints on liquidity creation,financial regulatory constraints will restrict liquidity creation and weaken monetary policy.Under the single restriction of capital regulation or liquidity regulation,the effect of tightening monetary policy on liquidity creation will be strengthened;under the double restriction,supervision restriction will accelerate the reduction of bank liquidity creation,and the effect of monetary policy will be strengthened.From the combined effect of the two regulatory policies,the implementation of the two regulatory policies at the same time will weaken the effect of monetary policy.The empirical results of commercial banks with different ownership characteristics show significant heterogeneity.Capital regulatory constraints of large state-owned banks,rural commercial banks and foreign banks will strengthen the effect of tightening monetary policy on liquidity creation reduction,while capital regulatory constraints of joint-stock banks will weaken the effect of tightening monetary policy on liquidity creation reduction.(2)Cost efficiency has a positive and significant impact on liquidity creation,and China's "cost efficiency-liquidity hypothesis" has been verified.Competition acts on liquidity creation through cost efficiency,which plays an intermediary role in the process of competition affecting liquidity creation.The study also finds that the improvement of cost efficiency will weaken the negative impact of competition on liquidity creation.Further research finds that the mechanism of liquidity creation is heterogeneous in both external and external business and financial innovation.Asset(including off-balance sheet)business shows strong sensitivity.The impact of competition on liquidity creation is different for different innovative banks.Banks with less financial innovation are more sensitive to cost efficiency and competition,and their cost efficiency plays a greater role in liquidity creation.(3)Voluntary disclosure of bank liquidity creation has significantly decreased,but debt liquidity creation will significantly increase compared with opaque banks.Therefore,voluntary disclosure of liquidity risk is stronger than opaque banks in risk resilience.Actively reducing the liquidity supply,at the same time,increasing their own liquidity sources,further mitigating liquidity risk.Therefore,voluntary information disclosure,as a market restraint system,can play a good role in market restraint and fill the vacancy of bank supervision.At the same time,we also find that the bigger the size,the stronger the profitability and the more radical the banks are,the easier they are to choose transparency;the more robust the banks with weak liquidity management ability are,the easier they are to choose opacity.(4)The stronger the liquidity creativity of commercial banks,the smaller the liquidity risk they face;the greater the liquidity risk,the more liquidity they will transfer to the real economy.From the perspective of business types,the liquidity creation of assets(including off-balance sheet)of commercial banks has a significant positive impact on liquidity crisis;the stronger the liquidity creation ability of liabilities,the stronger the ability to resist risks.For different types of commercial banks,there are significant differences in the relationship between liquidity risk level and liquidity created by them.There is a significant negative correlation between liquidity creation and liquidity risk in urban commercial banks.The creation of other banks' liquidity has no significant effect on their risk.From the perspective of liquidity risk to create liquidity,city commercial banks show liquidity spiral characteristics,while other effects show liquidity trade-off characteristics.The conclusion of this study shows that liquidity creation mechanism is influenced by many factors.On the macro level,financial regulatory authorities and monetary policy authorities should pay close attention to the disturbance of regulatory policy adjustment on the transmission of monetary policy.In the conflict and coordination between macro-prudential regulatory policy and monetary policy,we should build a Dual-Pillar regulatory and regulatory framework of macro-prudential and monetary policy so as to achieve monetary policy.To enhance the effectiveness of monetary policy transmission mechanism through pertinence and synergy;from the medium level,improving cost efficiency is the basis of sustainable development of banks and effective resistance to the negative impact of competition.Adhering to the unshakable policy goal of improving the efficiency of China's banking industry is an important grasp of financial reform to effectively guarantee the stability of banks and better serve the real economy;from the micro level.As one of the regulatory pillars,market constraints have an important impact on banks' asset and liability management behavior,attaching importance to information disclosure and playing a certain role in alleviating financial crisis and filling regulatory gaps;from a systematic level,building a comprehensive evaluation index system of liquidity risk management reflects the level of liquidity risk management and the magnitude of liquidity risk faced.The level of liquidity risk management ability affects the liquidity creation ability of banks.The liquidity creation internalizes the derivative liquidity risk,and the two permeate each other.The research in this paper will help to dig into the mechanism of liquidity creation and make up for the deficiencies of macro,meso and micro mechanisms in this field.From the policy level,it provides strong evidence for the formulation and implementation of differentiated policies by our regulatory authorities,and provides reference for the reform of our banking system and financial system.