商业银行流动性风险、信用风险与盈利能力——基于16家上市商业银行的实证检验

The Liquidity Risk,Credit Risk and Profitability of Commercial Banks——Based on the Test of 16Commercial Banks of China

本文以中国16家上市商业银行为研究对象,选取2007年至2013年数据为样本,实证研究了中国商业银行流动性风险与信用风险之间的关系以及两者对盈利能力的影响。研究结果表明,流动性风险和信用风险之间并不存在统计上的显著相关性,但是两者都会独立地对银行盈利能力产生显著的影响。值得注意的是,在流动性风险和信用风险共存的情况下,两者的交互作用会抵消信用风险对盈利能力的正向显著作用。因此,管理者们只有将流动性风险和信用风险进行综合管控,才能保障银行盈利能力的稳步增长。

This paper empirically tests the relationship between the liquidity risk and credit risk of Chinese commercial banks as well as their impact on profitability, with the sample of the data of 2007 to 2013 years of 16 commercial banks of China. The results presented in the test suggest that there is no statistically significant correlation between LR and CR, but both have significant effect on banks＇ profitability independently. However, in the case of coexistence of LR and CR, the interaction would offset the credit risk＇s positive impact on profitability. Therefore, only when bank managers control liquidity risk and credit risk comprehensively, can ensure the steady development of bank＇s profitability.