摘 要

Abstract II

1 引论 1

1.1 研究背景 1

1.2 研究目的及意义 1

1.3 研究线路和研究方法 2

1.3.1 研究线路 2

1.3.2 研究方法 3

1.4 可能的创新点 3

2 文献综述 5

2.1 银行流动性创造 5

2.2 流动性创造与货币政策 6

2.3商业银行同业业务与流动性创造 7

2.4 对文献的简短评价 7

2.5 本文的研究假设 8

3 研究设计 9

3.1研究变量的设定 9

3.2 数据收集与样本挑选 11

3.3 实证模型 12

3.4 描述性统计 13

4 实证结果分析 14

4.1 货币政策对流动性创造的影响 14

4.2 同业业务对货币政策传导的异质性影响 16

4.3 稳健性检验 18

5 结论与建议 19

参考文献 21

致 谢 23

摘 要

历史长河中爆发的金融危机已经昭示其出现的非偶然性，数次金融危机也将核心问题聚焦到银行的流动性创造能力上。自2008年全球金融危机以来，流动性创造问题对于一个国家的金融稳定有着越来越举足轻重的作用。我国流动性创造的研究目前还处于不够完善和不够深入的阶段，本文的主要内容即以商业银行流动性创造为中心，在同业业务的非对称影响下，研究我国货币政策、银行流动性创造以及同业业务之间是否具有某类显著的关系。

本文在第一部分对国内外学者关于银行流动性创造与货币政策相关的理论进行了回顾和总结，并结合多个细分的研究方向认为同业业务的参与存在着继续研究的可能性。紧接着，通过我国银行业数据以及GMM回归模型实证检验货币政策对流动性创造的影响是否具有有效性，再基于货币政策的传导渠道受同业业务的非对称影响，构建数量指标，将商业银行同业以及非同业的流动性创造水平更直观的表示出来，根据商业银行进行同业业务的深度，以及官方实施的货币政策趋势作为重要变量，分析同业业务是否对货币政策的传导效果产生影响。本文的创新点在于一是分析有效性时使用了单位流动性创造，二是比较分析了货币政策对两组不同分类的流动性创造的影响，三是在检验同业业务对货币政策的影响时，使用了新的流动性参与程度分组方法。

本文的研究认为：第一，银行流动性创造的数量趋势和空间布局均受货币政策影响。具体表现在货币政策对各大商业银行总的流动性创造与同业流动性创造的影响在方向上是不同的，而对总体与非同业流动性创造的影响在方向上是相同的。其次，在同业业务的非对称影响下，对进行同业业务深度不同的银行，货币政策的传导效果存在异质性，进一步显现为当货币当局采取扩张的货币政策时，参与更多同业业务的银行的同业流动性创造增速放缓，而对于参与较少同业业务的银行而言，其同业流动性创造增速明显增加。

基于本文对我国货币当局实施货币政策对流动性创造的有效性分析，以及同业业务作用下货币政策传导的异质性检验，本文在最后给出货币当局一些政策建议：提高对商业银行同业和非同业业务的监管力度；结合各种货币政策工具的优点，进行更迅速更精细的预调微调；始终将促进我国金融市场的发展作为重要任务之一，营造具备创新意识的金融环境，减少银行过度依赖同业业务的现象。

关键字：货币政策；同业业务；流动性创造

Abstract

The financial crisis is inevitable, and several financial crises have also focused on the core issues of bank liquidity creation. Since the financial crisis, the issue of liquidity creation has played an increasingly important role in a country's financial stability. In China, the research on liquidity creation is still in its infancy and shallow level. The main content of this article regards the issue of liquidity creation in commercial banks as the core of research. Under the asymmetric influence of interbank business, whether there is a certain type of significant relationship.

In the first part, this article glances and generalizes the literatures at home and abroad, which are about the creation of bank liquidity and monetary policy. Combined with the research directions of multiple subdivisions, it is considered that there is the possibility of continuing research on the participation of interbank business. Secondly, the mechanism of monetary policy is affected by the asymmetry of interbank business. This paper constructs indicators to measure the interbank and non-interbank liquidity creation of commercial banks, and takes the participation of interbank business and the type of monetary policy as two important variables，to analyze whether monetary policy is heterogeneous to bank liquidity creation, and examine how interbank business under different monetary policies affects the growth rate of bank liquidity creation. The innovation of this article is that one is to use unit liquidity creation when analyzing the effectiveness, the other is to compare and analyze the impact of monetary policy on the creation of two groups of different types of liquidity, and the third is to use a new liquidity participation degree grouping method.

The research conclusions show that: First, structure and the quantitative trend of liquidity creation of different commercial banks are all affected by monetary policy. The shows that monetary policy impact has the opposite direction to the total interbank liquidity creation of the major commercial banks, and the impact on the total and non-interbank liquidity creation is the same in direction. Secondly, under the asymmetric effects of interbank business. The effect of monetary policy is heterogeneous for banks with different interbank business depths. Which is further manifested as loose monetary policy that decreases the inter-bank liquidity creation rate of high- participation banks，however ，increases the one of low-participation bank