利率市场化视角下货币政策对银行流动性创造的影响——基于银行风险承担的中介效应检验
A Study on the Impact of Monetary Policy on Bank Liquidity Creation from the Perspective of Interest Rate Liberalization: A Mediating Effect Test Based on Bank Risk Taking

运用1997-2015年中国186家银行的非平衡面板数据，实证检验银行风险承担在货币政策影响银行流动性创造过程中所发挥的中介效应。结果发现:货币政策通过影响银行风险承担而对银行流动性创造产生影响，即银行风险承担在货币政策影响银行流动性创造的过程中起到了中介作用。此外，货币政策通过影响银行风险承担对银行表内流动性创造和表外流动性创造都会产生影响。采用四种货币政策度量指标、两种银行流动性创造度量指标和两种银行风险承担度量指标的稳健性检验均支持了以上结论。进一步的实证研究表明：货币政策对银行风险承担和银行流动性创造的作用都会受到利率市场化水平的影响，即随着利率市场化水平的提升，货币政策对银行风险承担的影响会有所减弱，价格型货币政策对银行流动性创造的影响也会降低。
In this paper, using unbalanced panel data of 186 banks in China from 1997 to 2015, we test the role played by bank risk taking in the process of monetary policy affecting bank liquidity creation. The empirical results show that through the bank risk taking, monetary policy has a significant effect on bank liquidity creation, namely that bank risk taking has played an intermediary role in this process. In addition, through the bank risk taking, monetary policy has a significant effect on both on-balance sheet liquidity creation and off-balance sheet liquidity creation. In this paper, we use four monetary policy measures, two bank liquidity creation measures and two bank risk taking measures to conduct robustness tests, whose results are all in favor of our conclusions. Further empirical studies show that the effects of monetary policy on bank risk taking and bank liquidity creation are affected by the level of interest rate liberalization: the impact of monetary policy on bank risk taking and liquidity creation has been weakened with the interest rate liberalization, and the impact of price-based monetary policy on bank liquidity creation will also be reduced.