利率市场化对上市商业银行流动性风险影响的实证分析

Empirical analysis on Influence of Marketization of Interest Rate to Liquidity Risk of Listed Commercial Bank

文章采用11家上市商业银行2013年年报数据,运用模糊数学的方法估计商业银行的流动风险承受水平的排序,以主成分分析法证论了浦发银行的流动风险承受能力较高,而四大国有商业银行的流动风险承受水平较低问题。且得出提高非利息收入的比例有利于提升商业银行流动性风险的承担水平的结论;南京银行和民生银行的分析结果显示:衡量商业银行流动性风险水平指标中非利息收入比例相对流动性比例更加重要;工商银行和农业银行的流动性风险评价值较低说明:利率市场化要求商业银行注重质量的提高,由此商业银行承担流动性风险的水平才会提高,不是一味的扩大规模。

According the data of 11 listed commercial banks in 2013,the article made a solution that the capacity of liquidity risks of Pudong Development Bank was higher than the four state-owned commercial banks which estimated and sorted by model of fuzzy mathematics. The conclusion of paper is that the promotion of liquidity risks capacity of commercial bank need improve the proportion of non-interest income in all profit of commercial bank. The analysis result on Nanjing bank and Minsheng bank shows that the proportion of non-interest income is more important than proportion of relative liquidity in indexes to weigh the level of commercial bank liquidity risks capacity. The lower capacity of ICBC and ABC shows that the marketization of interest rate demands commercial banks focus on the improvement of quality of service instead of scale expansion to promote the capacity of liquidity risks.