新疆法人银行存贷期限错配的流动性风险影响因素实证分析——基于巴塞尔Ⅲ框架

A Empirical Analysis on Xinjiang Corporate Bank’s Liquidity Risk of the Mismatch of Deposit and Loan Maturity-Based on Basel Accord Ⅲ Framework

随着国际金融危机的爆发,巴塞尔协议Ⅲ应运而生,将流动性风险监管提到了与资本充足率同等高度。本文在国内外学者对流动性风险研究的基础上,基于巴塞尔协议DI审慎监管视角,结合新疆法人银行经营和资产负债表结构特点,分析流动性监管对新疆法人银行监管的有效性。参照Ryan and Hitoshi (2014)的模型,实证分析流动性监管对新疆法人银行资产结构和负债结构的影响,认为活期存款中的稳定存款与定期存款具有替代性,存贷款期限错配和资产规模增长对不同类型、不同阶段的银行机构的流动性影响不同,通过调控货币发行量可以有效调节地方法人银行业金融机构流动风险,资本充足率对地方法人银行业金融机构流动性具有显著影响。建议监管部门完善差别化监管指标体系,根据不同机构类型制定适合的监管指标平衡体系,通过监管约束引导银行业机构用好活期存款中的稳定部分,需适时进行宏观流动性的协调配合,实现流动性风险管理的平衡。

With the outbreak of the international financial crisis, Basel Accord Ⅲ emerge as the time require which promote the liquidity risk regulation to capital adequacy ratio ( CAR ) with the same level. Based on the research on liquidity risk of domestic and foreign scholars, combined with the structure characteristics of bank management and balance sheet of Xinjiang corporate bank, this paper study on the effectiveness of liquidity supervision on Xinjiang corporate bank from the perspective of Basel Accord III prudential supervision. Referring to the model of Ryan and Hitoshi (2014), this study empirically analyzes the influence of liquidity regulation on assets structure and debt structure of Xinjiang corporate bank. This model discovered a substitution relationship between the stable deposits in cunent deposit and fixed deposits;For different types and stages of banking institutions, the mismatch of deposit and loan maturity and asset growth led to different influence;By regulating the money supply can effectively regulate the liquidity risk of the local corporate bank;Capital adequacy ratio has a significant impact on the liquidity of the local corporate bank. Therefore, we suggest the supervision and management department should improve the index system of differential supeiwision, formulate a suitable equilibrium system of regulatory indicator according to different types of institutions, and guide the banking institutions to use the stable part of the current deposits through supervising restraint. And coordination between macro liquidity timely to achieve the balance of liquidity risk management.