商业银行核心存款的估算与流动性管理被引量：13

Estimation of Core Deposits and Liquidity Management of Commercial Banks

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摘要流动性管理是商业银行经营管理的重要内容;而从全部存款中估算出核心存款,对于商业银行加强流动性管理具有十分重要的意义。本文借鉴西方商业银行普遍采用的流动性缺口模型,利用HP滤波方法估算出存款变动的长期趋势,在此基础上估算出核心存款,以计算流动性缺口,衡量银行的流动性状况。本文还以上海浦东发展银行为例进行实证分析,分析结果进一步验证了该方法的有效性。 Liquidity management is one of the most important tasks for a commercial bank, and how to figure out core deposits from the whole deposits plays an important role in liquidity management. In this paper, drawing lessons from western countries and using liquidity gap model, we make use of HP filter to work out the long-term trend of the deposits＇ fluctuation, and on the basis of which, we calculate the core deposits and measure the liquidity conditions. We also apply this method to the case of Shanghai Pudong Development Bank Co., Ltd, and the results justify the effectivity of the proposed method.

作者杨瑾王烁

机构地区中国银行总行财会部中国银行总行风险管理部

出处《国际金融研究》 CSSCI 北大核心 2005年第9期36-41,共6页 Studies of International Finance

关键词核心存款波动存款 HP滤波流动性缺口 Core Deposits Volatile Deposits HP Filter Liquidity Gap.

分类号 F831 [经济管理—金融学]

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