单个银行短期稳定性水平测度研究——基于修正的流动性缺口率指标
|
摘要
流动性缺口是衡量商业银行流动性风险大小和短期稳定性水平的核心指标之一。传统的流动性缺口指标在计算时没有考虑未到期信贷资产提前变现以及未到期存款提前支取对流动性状况的影响。本文引入信用违约互换模型,计算未到期信贷资产提前买卖所增加的流动性来源;同时模拟未到期存款在三种压力情景下提前支取所增大的流动性缺口,构建了"修正的流动性缺口率"指标衡量银行的短期稳定性,并提出按照各银行修正的流动性缺口率指标数值大小将稳定性水平划分为"优、良、差"三个等级的设想,以便为各银行和监管部门提供量化管理流动性风险状况及短期稳定性水平的依据,且以2004-2012年我国10家主要上市银行的面板数据进行实证分析。研究表明:股份制商业银行的短期稳定性总体上好于国有大型商业银行;中长期存款占比的增加有利于改善流动性,与流动性缺口率呈正相关关系;中长期贷款占比高会加大流动性缺口,呈负相关关系;而银行的资产收益率(ROA)、存贷净息差、广义货币供应量M2、国内生产总值GDP增长率与银行短期稳定性的相关性不显著。
Liquidity gap is one of core indicators to measure liquidity risk of the bank as well as its short-term stability. Traditionally,the calculation of liquidity gap does not take account of the outstanding assets liquidated and outstanding liabilities withdrawn in advance.This paper introduces the model of credit default swaps to calculate the raised liquidity sources increased by credit assets traded ahead of time. At the same time,it pays attention to simulating the expanded liquidity gap led by outstanding deposits withdrawn through three stress testing,trying to build the indicator of"the modified liquidity gap ratio"to measure the bank's stability in short term. Moreover,this paper proposes an idea to rank the liquidity level based on the modified rate of bank liquidity gap,trying to classify stability into three grades,including EXCELENT,GOOD and POOR,which could provide a support of quantifying liquidity risk management and short-term stability for the banks and market supervisors. Therefore,this paper makes an empirical analysis of 10 major listed banks based on the panel data from 2004 to 2012. The results are as follows: compared to the large state-owned commercial banks,joint-stock commercial bank do a better performance in short-term stability; the rise of long-term deposits proportion can improve mobility while liquidity gap ratio is positively correlated; high proportion of long-term loans will increase the liquidity gap with a negative correlation; however,the relationship between the bank's return on assets( ROA),as well as net interest margin deposits,loans and the growth rate of GDP and short-term stability is not significant.
Liquidity gap is one of core indicators to measure liquidity risk of the bank as well as its short-term stability. Traditionally,the calculation of liquidity gap does not take account of the outstanding assets liquidated and outstanding liabilities withdrawn in advance.This paper introduces the model of credit default swaps to calculate the raised liquidity sources increased by credit assets traded ahead of time. At the same time,it pays attention to simulating the expanded liquidity gap led by outstanding deposits withdrawn through three stress testing,trying to build the indicator of"the modified liquidity gap ratio"to measure the bank's stability in short term. Moreover,this paper proposes an idea to rank the liquidity level based on the modified rate of bank liquidity gap,trying to classify stability into three grades,including EXCELENT,GOOD and POOR,which could provide a support of quantifying liquidity risk management and short-term stability for the banks and market supervisors. Therefore,this paper makes an empirical analysis of 10 major listed banks based on the panel data from 2004 to 2012. The results are as follows: compared to the large state-owned commercial banks,joint-stock commercial bank do a better performance in short-term stability; the rise of long-term deposits proportion can improve mobility while liquidity gap ratio is positively correlated; high proportion of long-term loans will increase the liquidity gap with a negative correlation; however,the relationship between the bank's return on assets( ROA),as well as net interest margin deposits,loans and the growth rate of GDP and short-term stability is not significant.
引文
[1]Hyman P.Minsky.The Financial Instability Hypothesis:Capitalist Processes and the Behaviour of the Economy,Financial Crises:Theory,History and Policy[M].Cambridge:Cambridge University Press,1982
[2]Diamond D.W.,Dybvig P.H.Bank Runs,Deposit Insurance and Liquidity[J].The Journal of Political Economy,1983,91(3):401-419
[3]高国华,潘英丽.基于动态相关性的我国银行系统性风险度量研究[J].管理评论,2013,25(1):9-15
[4]Fisher I.The Debt-deflation Theory of Great Depressions[J].Econometric:Journal of the Econometric Society,1933,1(4):337-357
[5]Friedman M.The Quantity Theory of Money:A Restatement[J].University of Chicogo,1956,4(2):281-308
[6]Laeven L.,Levine R.Bank Governance,Regulation and Risk Taking[J].Journal of Financial Economics,2009,93(2):259-275
[7]Martinez-Miera D.,Repullo R.Does Competition Reduce the Risk of Bank Failure?[J].Review of Financial Studies,2010,23(10):3638-3664
[8]Malherbe F.Self-Fulfilling Liquidity Dry-Ups[J].The Journal of Finance,2014,69(2):947-970
[9]Calmès C.,Théoret R.The Impact of Off-balance-sheet Activities on Banks Returns:An Application of the ARCH-M to Canadian Data[J].Journal of Banking&Finance,2010,34(7):1719-1728
[10]Uhde A.,Michalak T.C.Securitization and Systematic Risk in European Banking:Empirical Evidence[J].Journal of Banking&Finance,2010,34(12):3061-3077
[11]Allen F.,Gale D.Competition and Financial Stability[J].Journal of Money,Credit and Banking,2004,36(3):453-480
[12]Hellmann T.F.,Murdock K.C.,Stiglitz J.E.Liberalization,Moral Hazard in Banking,and Prudential Regulation:Are Capital Requirements Enough?[J].American Economic Review,2000,90(1):147-165
[13]NicolóG.D.,Bartholomew P.,Zaman J.,et al.Bank Consolidation,Internationalization,and Conglomeration:Trends and Implications for Financial Risk[J].Financial Markets,Institutions&Instruments,2004,13(4):173-217
[14]Acharya V.V.,Mora N.A Crisis of Banks as Liquidity Providers[J].The Journal of Finance,2015,70(1):1-43
[15]Carlstrom C.T.,Samolyk K.A.Loan Sales as a Response to Market-based Capital Constraints[J].Journal of Banking&Finance,1995,19(3):627-646
[16]Duffie D.Innovations in Credit Risk Transfer:Implications for Financial Stability[J].SSRN Electronic Journal,2008,68(3):1-18
[17]Nijskens R.,Wagner W.Credit Risk Transfer Activities and Systemic Risk:How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time[J].Journal of Banking&Finance,2011,35(6):1391-1398
[18]Gande A.,Saunders A.Are Banks Still Special When There Is a Secondary Market for Loans?[J].The Journal of Finance,2012,67(5):1649-1684
[19]Imbierowicz B.,Rauch C.The Relationship between Liquidity Risk and Credit Risk in Banks[J].Journal of Banking&Finance,2014,40(1):242-256
[20]Parlour C.A.,Winton A.Laying off Credit Risk:Loan Sales Versus Credit Default Swaps[J].Journal of Financial Economics,2013,107(1):25-45
[21]孙安琴.信用风险转移与银行体系稳定性研究[J].金融研究,2011,(11):102-111
[22]庄毓敏,孙安琴,毕毅.信用风险转移创新与银行(体系)的稳定性——基于美国银行数据的实证研究[J].金融研究,2012,(6):83-94
[23]张金清,张健,吴有红.中长期贷款占比对我国商业银行稳定的影响:理论分析与实证检验[J].金融研究,2011,(9):78-92
[24]顾晓安,张涛.利率市场化进程中商业银行财务稳定性研究[J].南方金融,2013,(10):20-25
[25]Fahlenbrach R.,Prilmeier R.,Stulz R.M.This Time Is the Same:Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis[J].The Journal of Finance,2012,67(6):2139-2185
[26]Gary B.Gorton.Misunderstanding Financial Crises:Why We Don’t See Them Coming[M].Oxford:Oxford University Press,2012
[27]Lando D.Credit Risk Modeling:Theory and Application[M].Princeton:Princeton University Press,2009
1在信用违约互换交易中,希望规避信用风险的一方称为“信用保护购买方”、“信用风险的卖方”或者“违约互换购买者”,另一方向风险规避方提供信用保护,承担信用风险,被称为“信用保护出售方”、“信用风险的买方”或者“违约互换的出售者”。
2通常根据贷款出售对权利、义务转让程度的不同将贷款出售分为买断型和回购型。本文中的无追索权买断型贷款出售即转让双方根据协议约定转让信贷资产,借款人向受让方承担还本付息的义务,贷款买方对卖方无追索权,也叫做“真实出售”。
3债务人C没有违约时,在贷款到期日C偿还银行A贷款合同金额F,银行A支付给银行B合同金额剩余部分(1-α)F,银行A的现金流为αF。
4本文在案例中根据违约概率和违约损失率,计算了贷款合同金额的剩余部分,对未到期贷款提前转让(贷款买卖)合同中第一笔支付的金额占合同总金额的比例做了人为假设,如前文所述,合同金额的第一笔支付比例应由贷款买卖双方协商之后,在贷款转让合同中确定。
5测算公式中并没有使用传统流动性缺口统计口径:一是因为传统流动性资产科目和负债科目余额在银行总资产和总负债中占比较小,如现金、向中央银行借款等科目相对银行贷款余额和存款余额在总资产和总负债中的占比来说,比重很小;二是当银行面临挤兑风险时,通过同业拆借、其他外部融资等方式缓解流动性困境将异常困难,而如果此时借款人的信用状况正常的话,银行通过出售信用等级较高的信贷资产来应对存款挤兑则是比较可行、有效的方法之一,而本文研究的重点正是信贷资产交易和存款的提前支取对银行流动性的影响。我们所测度的单个银行稳定性是对1年期及以内的贷款和存款不区分具体期限,一律视为零时刻到期,全额作为现金流入和现金流出计算,对1年以上的中长期贷款利用信用违约互换模型折算到第一年年初的价格,把1年以上的中长期存款的提前支取进行了三种情景模拟。当然也可以根据各银行风险管理要求,分别测算不同期限的短期稳定性,如1、3、6、9个月的短期稳定性。
6由信贷资产交易定价模型中的公式(2)代入公式(3)推导得出。
7违约概率取自标准普尔全球受评发行人的平均累积违约率(1981-2010年)。
82004年建设银行因数据缺失而未计算出修正的流动性缺口率。需要说明的是:上述判断是建立在本文所构建的修正流动性缺口率
9需要说明的是:上述判断是建立在本文所构建的修正流动性缺口率指标及根据本文所划定的等级区间的基础之上得出的,这种等级的划分若有大样本数据的验证则更具可靠性和实际价值,但目前国内缺少这类相关研究及数据,我国上市银行也尚未发生不稳定的情形,所以,本文的等级划分及各等级区间值的确定只是一种尝试和探索,其合理性有待今后验证,这也是本文后续研究的方向之一。
10计量模型中的流动性缺口率我们选择的是具有代表性的情景二下的流动性缺口率。
11 2004年建设银行数据缺失。
[2]Diamond D.W.,Dybvig P.H.Bank Runs,Deposit Insurance and Liquidity[J].The Journal of Political Economy,1983,91(3):401-419
[3]高国华,潘英丽.基于动态相关性的我国银行系统性风险度量研究[J].管理评论,2013,25(1):9-15
[4]Fisher I.The Debt-deflation Theory of Great Depressions[J].Econometric:Journal of the Econometric Society,1933,1(4):337-357
[5]Friedman M.The Quantity Theory of Money:A Restatement[J].University of Chicogo,1956,4(2):281-308
[6]Laeven L.,Levine R.Bank Governance,Regulation and Risk Taking[J].Journal of Financial Economics,2009,93(2):259-275
[7]Martinez-Miera D.,Repullo R.Does Competition Reduce the Risk of Bank Failure?[J].Review of Financial Studies,2010,23(10):3638-3664
[8]Malherbe F.Self-Fulfilling Liquidity Dry-Ups[J].The Journal of Finance,2014,69(2):947-970
[9]Calmès C.,Théoret R.The Impact of Off-balance-sheet Activities on Banks Returns:An Application of the ARCH-M to Canadian Data[J].Journal of Banking&Finance,2010,34(7):1719-1728
[10]Uhde A.,Michalak T.C.Securitization and Systematic Risk in European Banking:Empirical Evidence[J].Journal of Banking&Finance,2010,34(12):3061-3077
[11]Allen F.,Gale D.Competition and Financial Stability[J].Journal of Money,Credit and Banking,2004,36(3):453-480
[12]Hellmann T.F.,Murdock K.C.,Stiglitz J.E.Liberalization,Moral Hazard in Banking,and Prudential Regulation:Are Capital Requirements Enough?[J].American Economic Review,2000,90(1):147-165
[13]NicolóG.D.,Bartholomew P.,Zaman J.,et al.Bank Consolidation,Internationalization,and Conglomeration:Trends and Implications for Financial Risk[J].Financial Markets,Institutions&Instruments,2004,13(4):173-217
[14]Acharya V.V.,Mora N.A Crisis of Banks as Liquidity Providers[J].The Journal of Finance,2015,70(1):1-43
[15]Carlstrom C.T.,Samolyk K.A.Loan Sales as a Response to Market-based Capital Constraints[J].Journal of Banking&Finance,1995,19(3):627-646
[16]Duffie D.Innovations in Credit Risk Transfer:Implications for Financial Stability[J].SSRN Electronic Journal,2008,68(3):1-18
[17]Nijskens R.,Wagner W.Credit Risk Transfer Activities and Systemic Risk:How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time[J].Journal of Banking&Finance,2011,35(6):1391-1398
[18]Gande A.,Saunders A.Are Banks Still Special When There Is a Secondary Market for Loans?[J].The Journal of Finance,2012,67(5):1649-1684
[19]Imbierowicz B.,Rauch C.The Relationship between Liquidity Risk and Credit Risk in Banks[J].Journal of Banking&Finance,2014,40(1):242-256
[20]Parlour C.A.,Winton A.Laying off Credit Risk:Loan Sales Versus Credit Default Swaps[J].Journal of Financial Economics,2013,107(1):25-45
[21]孙安琴.信用风险转移与银行体系稳定性研究[J].金融研究,2011,(11):102-111
[22]庄毓敏,孙安琴,毕毅.信用风险转移创新与银行(体系)的稳定性——基于美国银行数据的实证研究[J].金融研究,2012,(6):83-94
[23]张金清,张健,吴有红.中长期贷款占比对我国商业银行稳定的影响:理论分析与实证检验[J].金融研究,2011,(9):78-92
[24]顾晓安,张涛.利率市场化进程中商业银行财务稳定性研究[J].南方金融,2013,(10):20-25
[25]Fahlenbrach R.,Prilmeier R.,Stulz R.M.This Time Is the Same:Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis[J].The Journal of Finance,2012,67(6):2139-2185
[26]Gary B.Gorton.Misunderstanding Financial Crises:Why We Don’t See Them Coming[M].Oxford:Oxford University Press,2012
[27]Lando D.Credit Risk Modeling:Theory and Application[M].Princeton:Princeton University Press,2009
1在信用违约互换交易中,希望规避信用风险的一方称为“信用保护购买方”、“信用风险的卖方”或者“违约互换购买者”,另一方向风险规避方提供信用保护,承担信用风险,被称为“信用保护出售方”、“信用风险的买方”或者“违约互换的出售者”。
2通常根据贷款出售对权利、义务转让程度的不同将贷款出售分为买断型和回购型。本文中的无追索权买断型贷款出售即转让双方根据协议约定转让信贷资产,借款人向受让方承担还本付息的义务,贷款买方对卖方无追索权,也叫做“真实出售”。
3债务人C没有违约时,在贷款到期日C偿还银行A贷款合同金额F,银行A支付给银行B合同金额剩余部分(1-α)F,银行A的现金流为αF。
4本文在案例中根据违约概率和违约损失率,计算了贷款合同金额的剩余部分,对未到期贷款提前转让(贷款买卖)合同中第一笔支付的金额占合同总金额的比例做了人为假设,如前文所述,合同金额的第一笔支付比例应由贷款买卖双方协商之后,在贷款转让合同中确定。
5测算公式中并没有使用传统流动性缺口统计口径:一是因为传统流动性资产科目和负债科目余额在银行总资产和总负债中占比较小,如现金、向中央银行借款等科目相对银行贷款余额和存款余额在总资产和总负债中的占比来说,比重很小;二是当银行面临挤兑风险时,通过同业拆借、其他外部融资等方式缓解流动性困境将异常困难,而如果此时借款人的信用状况正常的话,银行通过出售信用等级较高的信贷资产来应对存款挤兑则是比较可行、有效的方法之一,而本文研究的重点正是信贷资产交易和存款的提前支取对银行流动性的影响。我们所测度的单个银行稳定性是对1年期及以内的贷款和存款不区分具体期限,一律视为零时刻到期,全额作为现金流入和现金流出计算,对1年以上的中长期贷款利用信用违约互换模型折算到第一年年初的价格,把1年以上的中长期存款的提前支取进行了三种情景模拟。当然也可以根据各银行风险管理要求,分别测算不同期限的短期稳定性,如1、3、6、9个月的短期稳定性。
6由信贷资产交易定价模型中的公式(2)代入公式(3)推导得出。
7违约概率取自标准普尔全球受评发行人的平均累积违约率(1981-2010年)。
82004年建设银行因数据缺失而未计算出修正的流动性缺口率。需要说明的是:上述判断是建立在本文所构建的修正流动性缺口率
9需要说明的是:上述判断是建立在本文所构建的修正流动性缺口率指标及根据本文所划定的等级区间的基础之上得出的,这种等级的划分若有大样本数据的验证则更具可靠性和实际价值,但目前国内缺少这类相关研究及数据,我国上市银行也尚未发生不稳定的情形,所以,本文的等级划分及各等级区间值的确定只是一种尝试和探索,其合理性有待今后验证,这也是本文后续研究的方向之一。
10计量模型中的流动性缺口率我们选择的是具有代表性的情景二下的流动性缺口率。
11 2004年建设银行数据缺失。