粤港澳大湾区商业银行流动性风险差异研究

A Study on the Differences in Liquidity Risk of Commercial Banks in Guangdong,Hong Kong and Macao Bay Area

从商业银行流动性风险的外部影响和内部影响两个方面,分析了粤港澳大湾区商业银行流动性风险的差异。进行内部分析时,基于广发银行、中国澳门国际银行2014—2021的年度数据中的的8个相关的流动性风险指标,运用主成分分析法计算出流动性风险综合得分来进行比较,结果显示:广发银行的流动性风险主要与不良贷款率、存款结构比率、资产利润率有关;中国澳门国际银行的流动性风险主要与流动性比率、拆出资金比例、资本充足率有关,且广发银行的流动性风险高于中国澳门国际银行。

This paper analyses the differences in liquidity risk of commercial banks in Guangdong,Hong Kong and Macao Bay Area in terms of both external and internal influences on commercial banks'liquidity risk.In conducting the internal analysis,mainly using the annual data of Guangfa Bank and International Bank of Macao from 2014—2021,eight liquidity risk-related indicators were selected,and the principal components were extracted based on the principal component analysis to calculate the composite score for comparison.The results show that:Guangfa Banks liquidity risk is mainly related to the non-performing loan ratio,deposit structure ratio and asset margin ratio;Banco Internacional de Macao's liquidity risk The liquidity risk of Banco Internacional de Macao is mainly related to the liquidity ratio,the ratio of funds removed and the capital adequacy ratio,and the liquidity risk of Guangfa Bank is higher than that of Banco Internacional de Macao.