中国银行业系统流动性风险考察与控制——基于资产抛售价格视角

Investigation and Control of Systemic Liquidity Risk in Chinese Banking System-Based on the Perspective of Fire Sale of Assets

基于银行业在宏观风险来临时出现的流动性不足和系统性风险,通过建立DSGE-VAR模型,考量银行业在宏观经济运行框架下的系统流动性风险,结果发现:银行同业借贷、其他证券资产和交易性负债业务的综合作用会使得银行系统流动性风险总体增大,银行如果想要降低存款提取率对其流动性的影响,就要在银行间市场停止拆出资金、出售政府证券及其他流动资产,并出售潜在的流动性较低的资产。从监管层面来讲,应当通过监管的引导效应将交易性负债进行转化,引导同业借贷和其他证券资产业务向平衡区域集中,并在一定范围内减少银行其他证券资产业务的规模。

At the time of the macro risk,the banking system will have a lack of additional liquidity and the systemic liquidity risk of the bank.By constructing a DSGE-VAR model,we analyze the performance of the systemic liquidity risk of banking industry under the framework of macro-economic operation.The results show that the overall role of interbank lending,other securities assets and trading liabilities will increase the overall systemic liquidity risk of the banking system.If the bank wants to reduce the impact of the deposit rate on its liquidity,it is necessary to stop and dismantle the funds,sell government securities and other current assets,and sell potentially low liquidity assets in the interbank market.From the regulatory level,the transaction liability should be transformed,the business of interbank loan and other securities should be guided to the balance area,and the scale of other securities business of the bank should be reduced in a certain scope through the guiding effect of supervision.