商业银行流动性错配同群效应研究

Study on Peer Effects in Liquidity Mismatch of Commercial Banks

文章基于2008—2018年我国22家商业银行的数据,采用linear-in-means模型研究了导致系统性风险的银行流动性错配的同群效应问题,结果表明:我国商业银行流动性错配存在同群效应,而且银行流动性错配的同群效应是非对称的、具有“上去容易下来难”的棘轮效应;银行流动性错配同群效应存在“太大而不能倒”、管理者薪酬激励和信息学习的形成机制;银行市场势力因素弱化了流动性错配的同群效应。

Based on the data of 22 Chinese commercial banks from 2008 to 2018,this paper uses the linear-in-means model to study the peer effect of bank liquidity mismatch leading to systemic risk.The results go as below:The peer effect exists in the liquidity mismatch of China’s commercial banks,and the peer effect of bank liquidity mismatch is asymmetric and has the ratchet effect of“easy to go up,difficult to come down”.There are formation mechanisms of“too big to fail”,manager compensation incentive and information learning in the peer effect of bank liquidity mismatch.The factors of bank market power weaken the peer effect of liquidity mismatch.