经济“新常态”下的商业银行流动性研究与压力测试

Commercial Banks' Liquidity and Stress Testing under the Economic New Normal

在经济"新常态"的影响下,我国商业银行赖以生存的金融环境发生着深刻的变革。通过对我国流动性风险的现状进行分析,选取了2006—2014年间我国16家上市银行的相关数据建立面板模型,从监管的角度对压力测试在商业银行流动性风险管理中的应用进行了研究,得出以下结论:我国商业银行的流动性比例受到非利息收入占比的影响较大,在重度压力测试下,非利息收入占比较低的银行流动性比率逼近监管红线。此外,一般性存款占比下降、净息差缩窄的趋势也将对商业银行流动性水平形成负面影响。长期来看,唯有更多发展创新性、综合性的非信贷业务,实现从单一服务模式向差别化综合服务模式转型,才能实现商业银行流动性水平在经济"新常态"的变革中的平稳过渡,从而避免大型金融风险的爆发。

Influenced by the economic New Normal, the financial environment that China＇ s commercial banks deeply rely on is experiencing great changes. This paper analyses the present sit- uation of China^s liquidity risk, chooses 16 listed banks between the year 2006 and 2014 to set up panel data model, and studies the application of stress testing in commercial banks＇ liquidity risk from the angle of supervision. Conclusion has been drawn that China^s commercial banks~ liquidity ratios have been greatly influenced by non-interest income proportion. Under heavy stress testing, the banks~ liquidity ratio with low non-interest income proportion approaches the supervision red line. Besides, the decline of general deposit proportion and the narrowing trend of net interest mar- gin would also bring negative impact on commercial banks＇ liquidity level. In a long term, to achieve a stable transition of commercial banks＂ liquidity level under the economic New Normal and avoid huge financial risks, we need to develop those innovative and comprehensive non-credit business and push the transition from simplex service mode to differential comprehensive mode.