流动性风险监管对商业银行风险承担的影响——基于净稳定资金比例的视角

The Impact of Liquidity Risk Supervision on Commercial Banks’Risk-Taking:Based on the Net Stable Funding Ratio Perspective

加强流动性风险监管对商业银行风险承担水平会产生何种影响及如何产生影响,这是一个值得思考的问题。本文从净稳定资金比例的视角出发,选取2015—2022年59家中国商业银行非平衡面板数据,通过构建连续型DID模型和机制检验模型,实证分析流动性风险监管对商业银行风险承担水平影响的净效应及传导机制。研究结果表明,在《商业银行流动性风险管理办法》出台后,流动性风险监管对商业银行风险承担水平有正向影响。机制检验结果显示,流动性风险监管可以通过净息差、商业银行竞争和商业银行资本充足率三个风险转移渠道影响商业银行风险承担水平。进一步的异质性分析则表明,流动性风险监管对商业银行风险承担水平的影响会因商业银行类型、杠杆率和资产回报率的不同而有所差异。本文在一定程度上揭示了流动性风险监管对商业银行风险承担水平影响的内在逻辑,有助于监管部门进一步完善流动性风险监管措施。

Since the outbreak of the 2008 financial crisis,the Basel Committee has realized the insufficiency in liquidity risk supervision and introduced the net stable funding ratio(NSFR)and liquidity coverage ratio(LCR)indicators to improve liquidity risk management.In May 2018,the China Banking and Insurance Regulatory Commission(CBIRC)also issued the Rules on Liquidity Risk Management of Commercial Banks(hereinafter referred to as the Rules)based on the relevant regulations and standards of the Basel III,listing the LCR and the NSFR as liquidity risk supervision indicators for commercial banks.Whether liquidity risk supervision effectively affects the risk‑taking of commercial banks and whether it still needs further improvement have sparked the authors’reflection.The data for this paper are sourced from the BankFocus database,the CEInet Statistics Database,and annual reports of commercial banks.Samples with three or more years of missing data for continuous variables are excluded.The NSFR indicator for Chinese commercial banks is calculated with reference to the official discount factor.A quasi‑natural experiment is constructed using the release of the Rules in 2018 as an exogenous shock,and a continuous difference‑in‑differences(DID)model is used to examine the impact of liquidity risk supervision on the risk‑taking of commercial banks.The empirical study reveals that liquidity risk supervision reduces the risk‑taking of Chinese commercial banks,and this conclusion still holds after conducting endogeneity tests and robustness tests.Mechanism analysis indicates that liquidity risk supervision reduces the risk‑taking of commercial banks through the channels of net interest income and the transfer of bank competition risks,as well as the risk absorption channel of the capital adequacy ratio.Heterogeneous analysis reveals that liquidity risk supervision exerts a differential impact on bank types,leverage ratios,and return on assets ratios.Compared to existing literature,this paper may have the following contributions.Based on the perspective of the NSFR,this paper employs the exogenous shock of the release of the Rules in 2018 to construct a quasi‑natural experiment,and a continuous DID model to evaluate policy effects,overcoming the endogeneity problem of sample self‑selection bias.By analyzing the changes in banks’risk‑taking levels before and after the policy implementation,the paper systematically assesses the net effects and heterogeneous effects of the NSFR supervision policy on banks’risk‑taking.Based on the risk transfer channels of net interest income and bank competition,as well as the risk absorption channel of capital adequacy ratio,this paper analyzes the micro‑mechanisms of how the NSFR supervision affects banks’risk‑taking.