摘要
银行流动性风险与清偿力风险之间存在着相互转化机制。利用中国商业银行2001～2012年度资产负债表数据进行再抽样及VaR测度的回归分析,得出存贷比、流动性缺口率、超额备付金率等监管指标具备显著的统计相关性。监管部门应充分重视金融传媒、利率市场化、影子银行等外部因素和银行业务创新、转型中潜在的流动性风险,不断改进和完善动态的、多元的、立体的流动性监管指标体系。
liquidity risks in banks are interchangeable. By resampling the statistics from the balance sheet 2001-2012 and conducting regression analysis of VaR measures,the pa-per concluded that there was distinct statistic correlation among the regulatory indexes, such as deposit/loan ratio, liquidity gap rate, and excess reserves rate. Supervision departments should give the full weight to the external factors, such as financial media ,market-oriented interest rate, and shadow banks etc. , as well as to latent liquidity risks lying in the innova-tion and transformation of banks. Dynamic, multiple and stereo liquidity supervision index system should be constantly improved and perfected.
出处
《金融经济学研究》
CSSCI
北大核心
2013年第2期120-128,共9页
Financial Economics Research
