地方政府债券对上市地方商业银行流动性风险的影响

Impact of local government bonds on listed local commercial banks’liquidity risks

基于2009—2018年地方政府债券规模及上市地方商业银行的数据,通过主成分分析法构建商业银行流动性衡量指标,分析地方政府债券发行对商业银行流动性风险的影响。结果表明:商业银行流动性指标的滞后项与商业银行流动性指标在1%显著性水平下存在明显的正相关关系,证明商业银行流动性存在明显的时间惯性;商业银行流动性与地方政府债券规模之间在5%显著性水平下存在负相关关系,地方政府债券规模每增加1个单位,商业银行流动性指标下降0.075个单位,证明地方政府债券发行会明显增加商业银行流动性风险。此外,商业银行流动性指标与GDP、货币存量M2也存在正相关关系。

Based on the data of the scale of local government bonds and listed local commercial banks from 2009 to 2018,the article analyzes the impact of issuing local government bonds on commercial banks'liquidity risks.by constructing commercial banks’liquidity indexes through principal component analysis.Empirical results show a significant positive correlation exists between the lagged item of the commercial bank’s’liquidity index and the commercial bank’s liquidity index at the 1%significance level,proving the existence of a significant time inertia in the commercial bank liquidity;and a negative correlation between the commercial banks’liquidity and the scale of local government bonds at a 5%significance level.For every 1 unit increase in the size of local government bonds,the liquidity index of commercial banks decreases by 0.075 units,demonstrating that issuing local government bonds will evidently increase the commercial banks’liquidity risks.Additionally,a positive correlation can also be found among the commercial banks’liquidity index the scale of GDP and the currency stock M2.