商业银行流动性创造与系统性风险--基于中国32家上市银行的经验证据

Liquidity Creation and Systemic Risk:Empirical Evidence based on 32 Listed Banks in China

立足我国商业银行流动性创造的现实环境以及不同银行的实际状况,运用国外先进理论梳理我国银行流动性创造影响系统性风险的内在机理,探索其政策价值。基于我国32家上市商业银行的季度数据,运用非平衡面板对理论假说进行实证研究。研究结果表明:在我国特殊国情下,银行流动性创造会抑制系统性风险;进一步研究发现,我国流动性创造与系统性风险的负相关性由尾部风险驱动。在异质性分析中发现,银行流动性创造对全国性银行、低股东权益银行、低存款银行的负向影响更为明显。研究结论对于我国审慎监管选择与协调具有一定的参考价值,对于防止银行脆弱性聚集、金融高质量运行和维护金融稳定有一定的启示作用。

Based on the realistic environment of liquidity creation in China and the actual situation of different banks,this paper cites advanced foreign theories in order to explore the internal mechanism of China s bank liquidity creation and the way in which it affects systemic risk,while also assessing whether this mechanism can provide policy value to China s bank regulators.To test the theoretical hypothesis,we analyze unbalanced panel data based on the quarterly data of 32 listed commercial banks in China.The empirical results show that in the special case of China,the creation of bank liquidity restrains systemic risk.Moreover,it is found that the negative correlation between liquidity creation and systemic risk in China is also driven by tail risk,and in the heterogeneity test it is found that the impact of bank liquidity creation on national banks,low shareholders equity banks,and low deposit banks is more pronounced.The conclusions of this study has certain reference value for the selection and coordination of prudential supervision in China,and has certain enlightenment for preventing bank vulnerability agglomeration,high-quality financial operation and maintaining financial stability.