新形势下我国银行流动性风险的度量和管理研究
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摘要
运用流动性风险管理理论,从货币政策、资产证券化、外汇占款、利率市场化四个角度研究商业银行流动性风险在我国经济运行中的实际情况,分析新常态下所面临的新挑战。通过建立时间序列模型,采用部分流动性指标对商业银行流动性进行实证度量。实证结果表明:资本充足率对流动性影响偏弱,不良贷款率与商业银行流动性成负相关,商业银行应当重点关注对不良贷款率的控制。
Using the theory of liquidity risk management,this paper studies the actual situation of commercial banks' liquidity risk in China's economic operation from the perspectives of monetary policy,asset securitization,foreign exchange,and interest rate marketization,and analyzes the new challenges faced by the new normal.Through the establishment of a time series model,the partial liquidity index is used to empirically measure the liquidity of commercial banks.The empirical results show that the capital adequacy ratio has a weak influence on liquidity,and the non-performing loan ratio is negatively correlated with the liquidity of commercial banks.Commercial banks should focus on the control of non-performing loan ratio.
Using the theory of liquidity risk management,this paper studies the actual situation of commercial banks' liquidity risk in China's economic operation from the perspectives of monetary policy,asset securitization,foreign exchange,and interest rate marketization,and analyzes the new challenges faced by the new normal.Through the establishment of a time series model,the partial liquidity index is used to empirically measure the liquidity of commercial banks.The empirical results show that the capital adequacy ratio has a weak influence on liquidity,and the non-performing loan ratio is negatively correlated with the liquidity of commercial banks.Commercial banks should focus on the control of non-performing loan ratio.
引文
[1]金中夏,洪浩,李宏瑾.利率市场化对货币政策有效性和经济结构调整的影响[J].经济研究,2013,48(4):69-82.
[2]梁枫.金融安全视角下商业银行流动性风险监管路径选择[J].经济问题,2018(7):39-43+110.
[3]彭兴韵.流动性、流动性过剩与货币政策[J].经济研究,2007(11):58-70.
[4]Elena Loutskina.The role of securitization in bank liquidity and funding management[J].Journal of Financial Economics,2011(3):663-684.
[5]董积生,戴鉴雄.商业银行流动性过剩成因考察[J].财经科学,2007(1):10-16.
[6]李宏瑾.利率市场化对商业银行的挑战及应对[J].国际金融研究,2015(2):65-76.
[7]郭红玉,高磊,史康帝.资产证券化对商业银行流动性风险的影响——基于流动性缓冲视角[J].金融论坛,2018,23(2):9-19+34.
[8]贾丽平,李旭超.宏观金融视阈下我国商业银行流动性波动的影响因素研究[J].经济社会体制比较,2014(4):233-242.
[9]楼文龙.利率市场化进程中的商业银行流动性管理[J].金融论坛,2015,20(9):3-8.
[10]董建萍.我国商业银行流动性管理和统计监测研究[J].上海金融,2015(8):35-45.
[11]杨健,许思琦.后存贷比时代商业银行流动性风险监管研究[J].山西大学学报(哲学社会科学版),2018,41(2):119-127.
[12]李明辉,孙莎,刘莉亚.货币政策对商业银行流动性创造的影响——来自中国银行业的经验证据[J].财贸经济,2014(10):50-60.
[13]付强,刘星,计方.商业银行流动性风险评价[J].金融论坛,2013,18(4):9-16.
[14]方明,李云峰.我国商业银行流动性影响因素实证分析[J].金融教育研究,2017,30(2):9-18.
[15]孙璐,李建伟,谢太峰.我国上市商业银行流动性水平影响因素的实证研究[J].金融理论与实践,2018(8):12-16.
[16]张彦洋.新常态下我国城市商业银行流动性风险管理[J].金融发展研究,2015(8):87-88.
[2]梁枫.金融安全视角下商业银行流动性风险监管路径选择[J].经济问题,2018(7):39-43+110.
[3]彭兴韵.流动性、流动性过剩与货币政策[J].经济研究,2007(11):58-70.
[4]Elena Loutskina.The role of securitization in bank liquidity and funding management[J].Journal of Financial Economics,2011(3):663-684.
[5]董积生,戴鉴雄.商业银行流动性过剩成因考察[J].财经科学,2007(1):10-16.
[6]李宏瑾.利率市场化对商业银行的挑战及应对[J].国际金融研究,2015(2):65-76.
[7]郭红玉,高磊,史康帝.资产证券化对商业银行流动性风险的影响——基于流动性缓冲视角[J].金融论坛,2018,23(2):9-19+34.
[8]贾丽平,李旭超.宏观金融视阈下我国商业银行流动性波动的影响因素研究[J].经济社会体制比较,2014(4):233-242.
[9]楼文龙.利率市场化进程中的商业银行流动性管理[J].金融论坛,2015,20(9):3-8.
[10]董建萍.我国商业银行流动性管理和统计监测研究[J].上海金融,2015(8):35-45.
[11]杨健,许思琦.后存贷比时代商业银行流动性风险监管研究[J].山西大学学报(哲学社会科学版),2018,41(2):119-127.
[12]李明辉,孙莎,刘莉亚.货币政策对商业银行流动性创造的影响——来自中国银行业的经验证据[J].财贸经济,2014(10):50-60.
[13]付强,刘星,计方.商业银行流动性风险评价[J].金融论坛,2013,18(4):9-16.
[14]方明,李云峰.我国商业银行流动性影响因素实证分析[J].金融教育研究,2017,30(2):9-18.
[15]孙璐,李建伟,谢太峰.我国上市商业银行流动性水平影响因素的实证研究[J].金融理论与实践,2018(8):12-16.
[16]张彦洋.新常态下我国城市商业银行流动性风险管理[J].金融发展研究,2015(8):87-88.