超额贷款、不良率与商业银行流动性——流动性螺旋还是流动性权衡

Excess Lending,Non-performing Loan Ratio and Liquidity:Liquidity Spiral or Liquidity Trade-off?

随着我国商业银行市场竞争程度不断加剧,流动性管理的重要性日益凸显。本文采用我国112家商业银行2011—2016年的财务面板数据,实证分析超额贷款和不良率对商业银行流动性的影响,并检验了流动性两大假说。结果显示:当期超额贷款和前期不良率对商业银行流动性具有先负向后正向的U型影响关系,体现出流动性权衡策略;当期不良率对商业银行流动性具有负向的影响,体现出流动性螺旋特征;当考虑超额贷款与不良率的交互效应时,商业银行会提高流动性权衡策略的阈值,更为积极地补充流动性,避免二者的叠加效应引发流动性风险。最后,本文从商业银行流动性管理策略的完善和政府监管角度提出了相关启示。

Liquidity management is becoming more and more important to commercial banks under the financial environment of descending interest rate and tightening macro liquidity in China.Based on the financial data of 112 commercial banks in China from 2011 to 2016,a panel regression model is established to analyze the effect of excess lending and NPL on commercial bank liquidity.The results show that current excess lending and previous NPL have a U.shaped influence on commercial bank liquidity,which reflects the liquidity trade.off strategy.Current NPL has a negative effect on commercial bank liquidity,which reflects the liquidity spiral phenomenon.Furthermore,when the excess lending and NPL increase at the same time,commercial banks will raise the threshold of liquidity trade.off strategy,and supplement liquidity more actively,to avoid the liquidity risk.Finally,some suggestions are put forward from the perspectives of improving the liquidity management strategy of commercial banks and the government supervision.