商业银行资金成本变动与流动性水平的动态效应

The Dynamic Effects between the Changes in the Cost of Financial Assets and the Level of the Liquidity of Commercial Bank

本文对商业银行资金成本变动与流动性水平的动态关系进行了实证分析,结果表明:商业银行资金成本变动对流动性水平存在明显的冲击,信贷资金成本变动对银行流动性水平影响较为显著,而由于银行信贷资产比重较高以及市场利率的变动幅度较窄,非信贷资金成本变动对银行流动性水平的影响不明显;银行流动性水平变化对银行资金成本也存在影响,但影响程度小于资金成本变动对流动性水平的影响;在资金成本与流动性水平之间相互影响的动态响应中,存贷比作为反映银行流动性水平的指标其作用不显著。

This paper empirically analyses the dynamic relationship between the changes in the cost of financial assets and the level of the liquidity of commercial bank. The results show that the changes in the cost of the financial assets of commercial bank obviously impacts the level of liquidity and the influence of the changes in the cost of credit assets on the level of liquidity is relativly obvious; but the influence of the changes in the cost of non-credit assets on the level of liquidity is not obvious be- cause the credit asset ratio is relativly high and the range of the change in market interest rate is relativly narrow; the changes in the level of liquidity has influence on the cost of financial assets as well, but it less than that of the cost of financial assets on the level of liquidity; in the dynamic response to the reciprocal influence between the changes in the cost of financial assets and the level of liquidity, the ratio of loan to deposit, an indicator reflecting the level of the liquidity of a bank, does not show significant effects.