摘要
2016年以来,我国金融市场“钱荒”现象频发,个别银行甚至因流动性危机破产。本文通过LMI模型,计算上市银行流动性错配指数,并以流动性错配指数体现的流动性风险状况为被解释变量,通过随机森林模型,分析流动性风险影响因素,为有效防控流动性风险提供理论依据。研究显示,同业净利差等经营环境因素,存款结构、收入结构等业务结构因素,以及业务发展、风险管理、财务管理等内部管理因素都会影响银行流动性风险。本文最后结合流动性风险影响因素,从经营环境、业务结构、内部管理3个维度提出防范化解建议,形成较为完善的银行流动性风险对策框架。
Since 2016,the phenomenon of“money shortage”in China's financial market has occurred frequently,and some banks even went bankrupt due to liquidity crisis.In order to provide theoretical basis for effective prevention and control of liquidity risk,the liquidity mismatch index of listed banks is calculated through LMI model,and the influencing factors of liquidity risk are analyzed through random forest model,in which the liquidity risk situation reflected by the liquidity mismatch index is taken as the explanatory variable.The research shows that business environment factors such as interbank net interest margin,business structure factors such as deposit structure and income structure,as well as internal management factors such as business development,risk management and financial management will all affect bank liquidity risk.Finally,combined with the liquidity risk factors,the paper puts forward prevention and resolution suggestions from three dimensions of business environment,business structure and internal management,then forms a relatively complete countermeasure framework of liquidity risk for commercial banks.
作者
郭立仑
周升起
Lilun Guo;Shengqi Zhou(School of Economics,Qingdao University)
出处
《经济学报》
2023年第3期59-83,共25页
China Journal of Economics
基金
国家自然科学基金青年项目(71803122)
山东省青创科技支持计划项目(2020RWE006)的资助。