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Monetary policy, bank leverage and liquidity
International Journal of Managerial Finance Pub Date : 2020-09-22 , DOI: 10.1108/ijmf-06-2020-0284
Van Dan Dang , Khac Quoc Bao Nguyen

Purpose

The study explores how banks design their financial structure and asset portfolio in response to monetary policy changes.

Design/methodology/approach

The authors conduct the research design for the Vietnamese banking market during 2007–2018. To ensure robust findings, the authors employ two econometric models of static and dynamic panels, multiple monetary policy indicators and alternative measures of bank leverage and liquidity.

Findings

Banks respond to monetary expansion by raising their financial leverage on the liability side and cutting their liquidity positions on the asset side. Further analysis suggests that larger banks' financial leverage is more responsive to monetary policy changes, while smaller banks strengthen the potency of monetary policy transmission toward bank liquidity. Additionally, the authors document that lower interest rates induce a beneficial effect on the net stable funding ratio (NSFR) under Basel III guidelines, implying that banks appear to modify the composition of liabilities to improve the stability of funding sources.

Originality/value

The study is the first attempt to simultaneously examine the impacts of monetary policy on both sides of bank balance sheets, across various banks of different sizes under a multiple-tool monetary regime. Besides, understanding how banks organize their stable funding sources and illiquid assets amid monetary shocks is an innovation of this study.



中文翻译:

货币政策、银行杠杆和流动性

目的

该研究探讨了银行如何设计其金融结构和资产组合以应对货币政策变化。

设计/方法/方法

作者在 2007-2018 年期间对越南银行市场进行了研究设计。为了确保得出可靠的结果,作者采用了静态和动态面板的两个计量经济学模型、多个货币政策指标以及银行杠杆和流动性的替代措施。

发现

银行通过提高负债端的财务杠杆和削减资产端的流动性头寸来应对货币扩张。进一步的分析表明,大型银行的金融杠杆对货币政策变化的反应更灵敏,而小型银行则加强了货币政策向银行流动性传导的效力。此外,作者指出,根据巴塞尔协议 III 的指导方针,较低的利率会对净稳定资金比率 (NSFR) 产生有益影响,这意味着银行似乎会修改负债构成以提高资金来源的稳定性。

原创性/价值

该研究首次尝试在多工具货币制度下同时研究货币政策对银行资产负债表两侧的影响,涉及不同规模的银行。此外,了解银行如何在货币冲击下组织其稳定的资金来源和非流动性资产是本研究的一项创新。

更新日期:2020-09-22
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