活期存款与贷款承诺之间风险对冲机制分析--基于中美银行业的比较

Analysis of Risk Hedging Mechanism between Demand Deposits and Loan Commitments——based on the Comparison between Banks in China and the U.S.

活期存款和贷款承诺均要求银行应客户需求随时提供流动性,银行开展这两项业务会产生协同效应,降低银行风险。本文运用中美商业银行的微观数据,对不同市场条件下两国银行业活期存款与贷款承诺之间风险对冲机制进行实证分析。结果发现,活期存款可以显著对冲未使用贷款承诺项下的流动性风险,这一对冲效应在美国次贷危机期间尤为明显。但我国银行这两项业务之间的风险对冲效应在非危机期间受贷款承诺业务发展水平的限制,效果不显著;而次贷危机期间政府刺激政策促进了对冲机制发挥作用。我们的研究进一步丰富了银行风险管理理论,对利率自由化和银行市场化竞争进程中,我国银行业转型及预测业务创新伴生的风险具有一定的理论指导意义。

Both demand deposits and loan commitments require commercial banks to provide liquidity on demand, so there could be synergy effect between the two practices which can reduce bank risk. With the micro data from banks in China and the U.S, the paper empirically tests the risk hedging mechanism between demand deposits and loan commitments under different market conditions. The result shows that demand deposits can significantly offset liquidity risk stemming from loan commitments and the effect is more obvious during subprime crisis. However, the hedging effect between the two activities in China is insignificant during the non-crisis period due to the limited development of loan commitments. The effective function of hedging mechanism during the crisis resulted from government stimulation policies. This conclusion can help Chinese commercial banks carry out fine management of business structure and strengthen their risk control ability.