The Impact Of Liquidity In Interbank Bond Market On Bank Credit

The liquidity problem of financial market was highlighted in the 2007-2009 financial crisis.The lack of liquidity not only affected the stability of the financial market,but also put commercial banks in a liquidity crisis,which affected the credit distribution of commercial banks and ultimately affected the development of the real economy.Interbank bond market is the main bond market in China,and it is also the main market for banks to allocate assets and finance.So,it has an important impact on bank funding.Thus,It is of great practical significance to study the impact of liquidity in interbank bond market on bank credit.Through theoretical analysis,this paper draws the impact mechanism of the interbank bond market liquidity on bank credit decision by affecting funding liquidity of banks.The “margin spiral” and “loss spiral” have strengthened the impact of liquidity in the interbank bond market on funding liquidity.Meanwhile,due to the objective needs of bank operations and liquidity regulatory requirements,funding liquidity of banks must be considered before lending.On the basis of theoretical analysis,this paper establishes models from both macro and micro levels for empirical analysis.First,the SVAR model is used to demonstrate the positive correlation between liquidity in the interbank bond market and bank credit,based on the monthly macro-level credit data from 2006 to 2018.Then,we use the FGLS method to estimate the non-balanced panel model,which is based on the quarterly micro-level data of the 16 listed banks from the first quarter of 2007 to the third quarter of 2018.The empirical analysis at the micro level not only proves the robustness of the empirical conclusions at the macro level,but also further analyzes the impact of bank heterogeneity on the relationship between liquidity in the interbank bond market and bank credit.The study on the impact of bank heterogeneity finds that bank type,self-liquidity,funding structure and business style all affect the relationship between liquidity in the interbank bond market and bank credit.First,state-owned commercial banks have stronger funding ability than small and medium-sized banks,and are not susceptible to the liquidity of the interbank bond market.Second,banks with insufficient liquidity are more susceptible to the liquidity of the interbank bond market.Third,banks whose funding structure relies on deposit financing are not susceptible to the liquidity of the interbank bond market.Finally,banks with higher operational risks are susceptible to the liquidity of the interbank bond market.