Monetary Policy,Macroprudential Policy And Bank Liquidity Creation

From the subprime mortgage crisis in 2008,banks in many countries were caught in a liquidity crisis.By 2010,Basel III introduced the concept of macro-audit supervision,and in recent years,the “debt shortage” and “asset shortage” alternated.They have sounded the alarm for the liquidity management of China's banking system.The creation of liquidity in commercial banks means that commercial banks convert high-liquidity liabilities to low-liquid assets through on-and off-balance-sheet activities,thereby creating liquidity in society.This paper constructs a panel FMOLS estimate for the unbalanced panel data of 16 representative commercial banks in China from the first quarter of 2002 to the third quarter of 2018 by constructing macro-prudential index and bank liquidity creation index,based on the mediating effect test of bank credit channels.It studies the relationship between monetary policy and the creation of commercial banks' liquidity.Besides,for the first time in the framework of bank credit channel analysis of monetary policy transmission,the paper empirically tests the synergistic effect of monetary policy and macro-prudential policy on liquidity creation of commercial banks.The research shows that: first,China's monetary policy can have a significant impact on the bank's liquidity creation by affecting bank credit behavior;second,the expanded monetary policy will stimulate commercial banks to conduct more credit activities through bank credit channels so as to improve their liquidity creation level and vice versa;third,the increased intensity of the implementation of macro-prudential policies will reduce the liquidity creation of commercial Banks,weaken the impact of monetary policy tools on bank liquidity creation,thus improving the transmission efficiency of bank credit channels.The research in this paper can not only help us understand how the central bank regulates bank liquidity through dual pillars,but also provide important decision-making reference for subsequent monetary policy and macro-prudential formulation and implementation.At the same time,it is of great significance to improve the macro-prudential management mechanism and help us to comprehensively understand the relationship between price stability and financial stability.