规模、资产负债结构与商业银行流动性风险——基于流动性创造视角

Size, Asset Liability Structure and Commercial Banks’ Liquidity Risk——From Liquidity Creation Perspectives

虽然巴塞尔委员会确定规模为评估一家商业银行系统重要性程度的主要指标之一,但并没有明确表明规模究竟与商业银行哪类风险有关。本文在研究规模因素时,既考虑总量维度,有考虑了资产负债结构维度。在使用最新提出的流动性创造指标测度商业银行流动性风险后,本文实证分析表明规模越大的商业银行,流动性创造越多,即流动性风险越大;定期存款占比越高的商业银行,流动性风险低;贷款结构对流动性风险影响不显著;贷款存款比率显著影响商业银行流动性创造。

Though Basel Committee has set the size factor as one of the main systemic importance assessment indicators, it did not clears declare that which kinds of risk the size factor correlates with. This paper studies how the size factor affects commercial banks’ liquidity risk, both from the aggregate and asset and liability structure perspectives. Measuring liquidity risk by liquidity creation, this paper empirically proves that the larger the commercial bank, the more liquidity it creates and the higher risk it has;more term deposit means less liquidity risk;the structure of loans do not significantly affect commercial banks’ liquidity risk;loan to deposit ratio affects commercial banks’ liquidity risk.