The Empirical Research On The Influence From Monetary Policy To The Liquidity Of The Commercial Banks

The commercial bank is one of the most important components in the financial system.Since the promulgation of Commercial Bank Law in 1995,commercial banks in China had entered into a new stage of development.Safety,liquidity and profitability are concluded as the operation principles of commercial banks.Liquidity is regarded as the lifeline of commercial banks,which is directly related to the bank's security and reputation.The central bank pays great attention to the liquidity risk of commercial banks,and its primary means of regulating the economic situation,including liquidity,are monetary policies.Recently,the academia has not got unified conclusions about the influence on the liquidity of commercial banks from monetary policy.At the present stage,China is adopting the policy of steadiness with a bit more relaxation,which proves that enhancing the liquidity has become one of the most important macroeconomic objectives recently.So,the research on the influence from monetary policy to the liquidity of commercial banks has important practice and theoretical implications.The liquidity of commercial banks can be divided into assets liquidity and liabilities liquidity.This paper focuses on the analysis of the effects of changes in monetary policy on the assets liquidity and liabilities liquidity of the bank from the perspective of considering listed banks as a whole and individual bank.Firstly,this paper selects the appropriate variables to build the model.The explained variables are the indices reflecting the liquidity of bank's assets and liabilities.This paper refers to the weighted index of liquidity creation introduced by Berger and Bouwman(2009)and calculates the assets and liabilities liquidity creation indices of each target bank in the sample period.The explanatory variables are proxy variables for monetary policy,including Shanghai Interbank Offered Rate,year growth rate of base currency,one-year benchmark lending rate and statutory deposit reserve ratio.Besides,in order to take full consideration of the impact of bank heterogeneity and macroeconomic volatility,this paper chooses rate of not-performing loan and capital adequacy ratio as the control variables of bank heterogeneity and chooses the inflation rate as the control variable of macroeconomic volatility.Then,this paper chooses VAR model to analysis the influence on listed banks'liquidity from monetary policy.Expansionary monetary policy can reduce listed banks' assets liquidity,and this impact will decay to zero as time goes by.The impact from assets liquidity on itself is larger than monetary policy.Besides,the impact from expansionary monetary policy on liabilities liquidity differs as the monetary policy tools change.The impact from liabilities liquidity on itself is larger than monetary policy in early period,but the situation reserves in late period.Finally,this paper chooses dynamic panel model to analysis the influence on bank's liquidity from monetary policy.The conclusions can be listed as follows.Expansionary or tight monetary policy may have influence of different directions on bank's assets and liabilities liquidity.Different monetary policy tools used by the central bank also have different influence on assets and liabilities liquidity.Besides,the influences are related to bank's NPL and CAR.The larger the two values are,the more significant the influences are.Moreover,the two ratios themselves can also affect the liquidity creation,but this effect will vary as the direction of monetary policy and monetary policy tools change.The main innovations can be concluded as follows.Firstly,this paper not only considers the influence of monetary policies on listed banks,but also considers the influence of the same monetary policy on different banks,whereas most of existing literature regard some banks or all the banks as a whole and ignore the influence of individual banks' heterogeneity.Secondly,this paper chooses the weighted index of liquidity creation introduced by Berger and Bouwman(2009),which takes all kinds of assets and liabilities possessed by banks into account and analyses banks'liquidity from a dynamic point of view,whereas most of domestic literature choose static indices.Finally,this paper divides the bank's liquidity into assets liquidity and liabilities liquidity and analyses the influence of monetary policy on them separately,whereas most of relevant literature don't consider the problem in this way.The main drawbacks can be concluded as follows.Firstly,this paper doesn't consider the bank's total liquidity.Secondly,listed banks and non-listed banks don't be considered separately.Finally,there is a certain gap between the sample size of this paper and the overall scale of bank industry.Future research can be taken from the point of these views.