我国商业银行流动性影响因素实证分析

The Empirical Analysis on the Liquidity Influencing Factors of Commercial Bank in China

文章基于中国103家商业银行2004-2015年的数据,以净稳定融资比率和存贷比作为结构流动性的度量指标,从银行最基本的借、贷及收入出发,研究银行资金来源之存款和同业拆借,风险承担之不良贷款和风险加权资产,以及绕开银行传统借贷的非利息收入对银行结构流动性的影响,并进一步讨论了各种不同类型的商业银行,及其在不同阶段影响的差异。研究显示,各类银行流动性的影响各不相同,但存款对银行业的流动性至关重要,同业拆借比率的提高会降低银行业结构流动性。对于国有银行,风险承担来自于不良贷款,非利息收入占比的提高会提升其流动性水平;股份制银行风险承担来源于风险加权资产,在经济进入"新常态"后非利息收入促进流动性的作用得以体现;农商行风险承担来源于不良贷款;城商行风险承担则来自风险加权资产和不良贷款。

Based on the micro data from 103 Chinese commercial banks during 2004-2015; by using Net Stable Funding Ratio(NSFR) and loan-to-deposit ratio as the measure index for liquidity; started from the bank's most basic of debit,credit,and revenues; this paper investigated the sources of funding-deposit and interbank lending,risk taking-Risk-Weighted Assets and NPLs,and bypasses the effect of the traditional bank lending's non-interest income on Banks' liquidity.Then it further discussed the different types of commercial banks,and its effects in different phase.Conclusions showed that:the liquidity influences of different banks are different from each other,the deposit is crucial for banking industry's liquidity,the increase of interbank lending rate will reduce the structure of banking industry's liquidity.For State-Owned Commercial Banks,the risk-taking is from bad loans,and the improvement of non-interest income's proportion boosted its liquidity level.For Joint-stock Banks,the risk-taking is from Risk-Weighted Assets,as the economy enters the New Normal,the effect of non-interest income improves liquidity becomes significant.For Rural Commercial Banks,the risk-taking is from NPLs,but for Municipal Commercial Banks,the risk-taking is from NPLs and Risk-Weighted Assets.