基于流动性覆盖率的商业银行压力测试实证研究

The Empirical Research of Pressure Testing of Commercial Banks Based on Liquidity Coverage Ratio

在对2007—2014年不同业务模式商业银行流动性覆盖率和同期我国宏观经济年度数据进行统计和整理之后,本文选用了压力测试这一风险管理量化工具,将流动性覆盖率作为承压指标,建立了多元线性回归模型,发现影响不同业务模式商业银行流动性覆盖率的因素并不相同。在此基础上,本文将ARMA模型对宏观经济指标的预测结果作为参考,设置了宏观压力情景,通过建立传导模型测试在不同压力情景下不同业务模式商业银行流动性覆盖率的变化情况。实证研究发现,在宏观压力情景下,存贷业务占比较高的传统型商业银行在轻度冲击下受到的影响较大;而同业业务占比较高的成长型商业银行则在中度和重度冲击下受到的影响较大。

After collecting and filing the data of liquidity coverage ratio of commercial banks of different business models and the annual macroeconomic data between 2007 and 2014,this paper develops multiple linear regression models with stress test as the quantitative tool and the liquidity coverage ratio as the indicator of sustainability,and finds that the liquidity coverage ratios of different business models are influenced by various factors.Then this paper estimates the performance of liquidity coverage ratios of commercial banks' different business models under different stress scenarios,which are constructed with the forecast results of macroeconomic variables by an ARMA model.The results show that under the macro stress scenarios,a mild shock have a relatively large influence on the deposit and loan business of commercial banks,while moderate and severe shocks have great effects on inter-bank business in growth-type commercial banks.