| ZHANG Yong,RUAN Peiheng,LIANG Yiyan,ZOU Wei.Macroeconomic Uncertainty and Liquidity Creation Divergence[J].The Journal of quantitative and technical economics,2022,(12):132-152 |
| 宏观经济不确定性与银行流动性创造分化 |
| Macroeconomic Uncertainty and Liquidity Creation Divergence |
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| DOI： |
| 中文关键词: 宏观经济不确定性 流动性创造分化 银行规模 |
| 英文关键词: Macroeconomic Uncertainty Liquidity Creation Divergence Bank Size |
| 基金项目:本文获得国家社科基金一般项目“宏观经济不确定性下货币政策传导梗阻机制与调控政策研究”（22BJL022）的资助。 |
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| 中文摘要: |
| 我国银行业在向经济系统提供流动性的过程中，长期存在存贷业务流动性创造收缩和影子银行业务流动性创造扩张的分化趋势，进而表现出流动性在银行体系内部空转而实体经济发展却面临流动性短缺的“脱实向虚”效应。本文从宏观经济不确定性视角对流动性创造分化机制及其规模异质性特征展开分析。研究发现：宏观经济不确定性会导致银行流动性创造分化从而产生“脱实向虚”效应。银行规模越小，宏观经济不确定性所引致的分化趋势更为明显，从而在规模上表现异质性特征，这表明小型银行的“脱实向虚”效应更为显著。进一步研究发现，金融脱媒会强化规模异质性，而旨在治理影子银行业务的金融监管会弱化规模异质性。研究结论表明，在当前以推动银行业高质量发展为重心的金融供给侧结构性改革中，需要防范宏观经济不确定性引致银行流动性创造分化的“脱实向虚”效应，尤其是引导小型银行流动性创造回归本源，服务实体经济。 |
| 英文摘要: |
| Background:With the proceeding of the ongoing reform for the financial system, taking the opportunity of the Fourth Central Financial Working Conference in 2012, China's banking business model has undergone a transformation from the deposit and loan business model to the shadow banking business model, forming a pattern of coexistence of both models. Under the shadow banking business model, banks issue highly liquid, non-monetary credit instruments through inter-bank deposit, inter-bank financing and other wholesale financing methods, and create liquidity within the banking system by investing in less liquid financial assets through bank-trust cooperation, repurchase, and other businesses. Currently, the liquidity created under the shadow banking business model is not directly invested in the real economy, and its development faces the problem of liquidity shortage. It is not difficult to see that the creation of bank liquidity was reflected in the differentiation trend between the contraction of liquidity creation in deposit and loan business and the expansion of liquidity creation in shadow banking business, thereby creating an effect “from real to virtual”. The accurate identification of the deep-rooted causes of the differentiation of bank liquidity creation between deposit and loan business and shadow banking business, has become a hot topic in academic circles, which focus on how to guide bank liquidity creation to return to its origin and serve the real economy.Since the outbreak of the international financial crisis in 2008, macroeconomic uncertainty in China has significantly increased. In fact, this not only actually constitutes a key factor that hinders enterprise investment, household savings, and bank credit, further worsening the economic recession, but also may encourage shadow banking rather than engaging in deposit and loan business activities, thereby exacerbating the differentiation of liquidity creation.Based on this background, in this study, we used the annual data of 212 banks in the BankFocus database from 2007 to 2020 to examine the impact of macroeconomic uncertainty on the differentiation of liquidity creation across banks. First, we revealed the mechanism of differentiation of liquidity creation caused by macroeconomic uncertainty from the perspective of intensification of the motivation of bank regulatory arbitrage. Then, we further explored the heterogeneity characteristics of differentiation of liquidity creation in different bank scale scenarios, and deeply investigated the specific performance of the heterogeneity of this scale. On the basis of the disintermediation trend of capital flow from deposit and loan business to shadow banking business since the deepening reform of the financial system in 2012, and of the introduction to a series of harsh regulatory policies by the relevant authorities in 2017, we also explored the governance of shadow banking business as the core.Research Findings: (1) Macroeconomic uncertainty will lead to a contraction in the creation of deposit and loan business liquidity and an expansion of the creation of shadow banking business liquidity, which will entail a divergent trend in the liquidity creation of banks. This shows that uncertainty will cause bank liquidity creation to produce the effect “from real to virtual”.(2) The smaller the size of the bank, the more pronounced the trend of divergence caused by macroeconomic uncertainty, thereby indicating the existence of heterogeneity in scale. This shows that the effect of small-scale banks will be more significant than that of large-scale banks. (3) Financial disintermediation will strengthen scale heterogeneity, while financial supervision aimed at governing shadow banking business will weaken it.Research Contributions:In the current supply-side structural reform of finance focusing on the promotion of the high-quality development of the banking industry, it is necessary to warn against the effect “from real to virtual” of the divergence of bank liquidity creation caused by macroeconomic uncertainty, especially to guide the return of the liquidity creation of small banks to their origins and to serve the real economy. |
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