| Bank liquidity creation play an important role on maintaining a country’s financial stability.The bank liquidity creation mainly refers to the process that commercial banks convert liquid liabilities into illiquid assets,in other words the bank inject liquidity to the society by sacrificing themselves liquidity.Now the monetary policy has a profound effect on our country commercial bank liquidity creation,and liquidity creation has a significant influence on our country’s economy development,so this article refers Berger and Bouwman(2009)method about building bank liquidity creation index then constructing the bank liquidity creation index and monetary policy proxy variable to analyze the influence of monetary policy on bank liquidity creation.Specific content is that first build liquidity creation index according to the liquidity status of bank assets and liabilities,then use descriptive analysis method to analyse this index,discovering state-owned commercial Banks liquidity creation plays a leading role in China’s overall liquidity creation,Secondly selecting bank assets,return on assets,capital adequacy ratio and non-performing loan ratio index as a control variable in regression analysis according to the theory of financial fragility－hypothesis,and the theory of liquidity spiral hypothesis,selecting the legal deposit reserve rate,the benchmark one-year deposit rate respectively as proxy variables of quantitative monetary policy and price monetary policy,Selecting M2 year-on-year growth rate and the one-year benchmark lending rate as the quantitative monetary policy and the price monetary policy agent variables in robustness test.In the model selection,as a result of this article selects 16 listed eommercial Banks in the third quarter of 2010 to 2017 in the fourth quarter of the quarterly data,FGLS model with fixed effect,which allows the existence of heteroscedastieity of disturbance terms of different individuals,and simultaneously deals with intra-group autocorrelation and inter-group contemporaneous correlation,is selected for regression analysis.Research findings:(1)The total liquidity creation of China’s commercial Banks increases year by year,and the total liquidity creation of China’s state-owned commercial Banks plays a leading role in the total liquidity creation of China’s commercial Banks.(2)As a whole to our country co1mercial bank,the quantitative monetary policy and price monetary policy can have a significant impact on our country commercial bank liqLiidity creation,and loose monetary policy to improve our overall liquidity creation ability,assets variables is not sensitive to commercial bank liquidity creation in our country,capital adequacy ratio coefficient is significantly negative,that can draw an conclusion that Chinese commercial Banks belong to financial fragility-extrusion hypothesis,non-perfor-ming loan ratio coefficient is significantly positive,shoxv that Chinese commercial Banks belong to liquidity spiral hypothesis.(3)Whether it is quantitative monetary policy represented by the legal deposit reserve or price monetary policy represented by 1-year benchmark lending and deposit rates all has a significant impact on state-owned commercial bank’s liquidity creation ability,when legal deposit reserve rate increase,our country state-owned commercial bank’s liquidity creation ability drop,when the benchmark one-year deposit and lending interest rates increase,our country state-owned commercial bank,s liquidity creation ability also presents the downward trend,the national joint-stock commercial Banks liquidity creation ability is not sensitive to the quantitative monetary policy,but is affected by the price type of monetary policy significantly,When the benchmark one-year deposit and lending rates rise,the liquidity creation capacity of the national joint-stock commercial Banks decreases.The liquidity creation ability of local commercial Banks is not sensitive to both quantitative monetary policy and price monetary policy,so it is necessary to implement looser quantitative monetary policy for local commercial Banks,so that local commercial Banks can improve their liquidity creation ability oii the premise that risks can be controlled.(4)The logarithm of asset size is inversely proportional to the liquidity creation ability of China’s state-owned commercial Banks、and is insensitive to the liquidity creation ability of national joint-stock commercial Banks and local colmercial Banks.(5)The capital adequacy ratio is inversely proportional to the liquidity creation capacity of national joint-stock commercial Banks,state-owned commercial Banks and local commercial Banks.Therefore.it can be inferred that China’s commercial Banks are more in line with the Financial fragility-squeeze hypothesis.(6)The rate of return on assets is inversely proportional to the liquidity creation ability of national joint-stock commercial Banks,and insensitive to the liquidity creation ability of state-owned commercial Banks and local commercial Banks.(7)The non-performing loan ratio is in direct proportion to the liquidity creation ability of national joint-stock commercial Banks,and is not sensitive to the liquidity creation ability of state-owned commercial Banks and local commercial Banks. |
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