Banks’ liability structure and monetary policy transmission: evidence from a quasi-natural experiment in China
利用2016年中国宏观审慎评估（MPA）改革作为外生冲击，研究发现对批发融资的严格监管增强了银行贷款对政策利率的敏感性，且对高风险、高市场势力、低资本充足率的银行影响更大；批发融资减少放大了货币政策的实际效应，尤其对融资约束严重的私营企业。
This study investigates how banks’ liability structure affects the bank lending channel of monetary policy transmission. Using a two-period model, we argue that deposit-funded banks are more inclined to provide credit than wholesale-funded banks due to a lower liquidity risk, resulting in more efficient transmission of monetary policy. To identify this causality, our difference-in-differences estimate exploits the introduction of Macro Prudential Assessment (MPA) into China’s bank regulatory system in 2016 as an exogenous shock, in which tougher regulation on wholesale funding was imposed in small banks. We find that the reform consolidates the negative sensitivity of bank loans to policy interest rate, and this effect is stronger for banks with higher risk, greater market power and lower capital adequacy. Further, using the bank-firm loan-level data, we find that a reduction in wholesale funding amplifies the real effects of monetary policy, particularly for private firms with more serious financial constraints. Our findings confirm the active role of banks’ liability structure in the effectiveness of monetary policy transmission.