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金融危机以来,主要国家中央银行采用了一系列非常规货币政策(资产负债表政策)为金融体系注入大量流动性,缓解了金融机构面临的流动性危机,事实上履行了最后贷款人职责。另一方面,中央银行通过最后贷款人政策提供的流动性势必对银行间市场的流动性交易产生影响,故可以通过银行间市场对中央银行流动性供应的反应判断中央银行最后贷款人政策的实施效果。本文从需求——供给理论出发,对中央银行流动性提供对银行间市场的影响进行分析,并运用VAR模型实证研究美联储资产负债表政策对联邦基金市场的影响,以期为中央银行判断最后贷款人政策有效性并决定其退出时机提供参考。
Since the financial crisis, the central banks of major countries have adopted a series of unconventional monetary policies (balance sheet policies) to inject a great deal of liquidity into the financial system, easing the liquidity crisis facing financial institutions and actually fulfilling the role of the lender of last resort. On the other hand, the liquidity provided by the Central Bank through the policy of the lender of last resort will inevitably have an impact on liquidity transactions in the interbank market. Therefore, the implementation of the policy of the lender of last resort of the Central Bank can be judged through the reaction of the interbank market to the liquidity supply of the Central Bank effect. Based on demand-supply theory, this paper analyzes the influence of central bank liquidity on interbank market, and uses VAR model to empirically study the impact of Fed’s balance sheet policy on the federal funds market, in order to determine the final lender Policy effectiveness and determine the timing of its withdrawal to provide a reference.