The Empirical Analysis Of The Impact Of Monetary Policy On Bank Liquidity Creation In China

Liquidity creation,as one of the basic functions of commercial banks,has an important impact on the development of the real economy.Excess and lack of liquidity can cause fluctuations of the market economy,thus affecting national income and expenditure.Therefore,it is necessary to study the mechanism of the liquidity creation of commercial banks,so as to strengthen the management of the commercial banks' liquidity creation.On the one hand,the central bank as a maker and executor of monetary policy,regulating the liquidity creation of commercial banks by monetary policy tools;On the other hand,the commercial bank's own factors and macroeconomic factors will have an impact on the bank's liquidity creation.This paper aims to study the impaction of monetary policy on the banks' liquidity creation,and analysis different types of banks,hoping to make the central bank use more targeted monetary policy.This paper has an analysis of the balance sheet of 34 banks in China from 2008 to 2015.According to the "cat-fat" model created by Berger and Bouwman(2009)to measure the liquidity creation,based on liquidity strength to divide bank balance sheet business and off-balance sheet business and give its own weights,come to the value of liquidity creation of the commercial banks ultimately.The results show that:(1)the value of the liquidity of commercial banks is increasing year by year;(2)The different types of commercial banks are different in the level of liquidity creation caused by asset size,non-performing loan ratio and their own factors.Among them,the state-owned banks create the largest amounts of liquidity creation,followed by joint-stock banks,and finally the city commercial banks.However,joint-stock banks have the highest level on average assets' liquidity creation,indicating that joint-stock banks have the higher utilization of capital.Based on the effective measurement for the liquidity creation of commercial banks,this paper studies the impact of monetary policy on the liquidity creation.Firstly,we select five kinds of monetary policy tool variables to make the principal component analysis,and obtain two principal component factors.Secondly,carry out the unit root test on the macroeconomic factors,the bank's own factors and the monetary policy factors that affect the liquidity creation level of commercial banks to make them stable.Then,establish unblanced dynamic panel model about banks' liquidity creation and use DGMM to estimate this model.next,judge the validity of the tool variables by Hansen test and the rationality by Arellano-Bond test.Finally,we obtain the results of the regression analysis.The results show that:(1)Monetary policy has a significant impact on the liquidity creation of the overall commercial banks,the more relaxed the monetary policy,the stronger the bank's liquidity creation ability.The current liquidity creation of the overall commercial banks is positively related to the previous period of liquidity creation and the core capital adequacy ratio,which is negatively related to the growth rate of bank assets.(2)The effect of monetary policy on different types of banks is different.The liquidity creation of stste-owned banks is mainly affected by the negative impact of the structural characteristics of monetary policy.The liquidity creation of joint-stock banks is mainly affected by the negative effects of monetary policy size factor.While the liquidity creation of urban commercial banks is affected by the negetative effects of monetary policy size factor and shape factor,the more relaxed monetary policy,the more liquidity is created by urban commercial banks.