数字化转型能降低银行流动性风险吗?——基于A股上市银行的实证分析

Can Digital Transformation Reduce the Liquidity Risk of Banks?—Empirical Analysis Based on A-Share Listed Banks

随着数字技术的广泛应用,银行业也正进行数字化转型。本文以2010~2021年38家A股上市银行为研究样本,实证分析上市银行数字化转型对其流动性风险的影响及其作用机制。结果表明:数字化转型能降低银行流动性风险;机制分析发现,盈利能力发挥中介作用,数字化转型通过提高银行盈利能力而降低流动性风险;调节效应分析发现,资本充足率对数字化转型降低银行流动性风险有正向调节作用;异质性分析发现,银行数字化转型降低流动性风险的作用显著存在于城商行和国有行;考虑到2015年股市冲击以及2020年、2021年新冠疫情对上市银行流动性风险存在影响,通过调整样本时间区间进行稳健性检验,结果仍然成立。进一步研究发现,通过运用随机森林模型,银行的管理数字化转型对流动性风险的降低影响更大。With the wide application of digital technology, the banking industry is also undergoing digital transformation. Taking 38 A-share listed banks from 2010 to 2021 as research samples, this paper empirically analyzes the impact of digital transformation of listed banks on their liquidity risk and its mechanism. The results show that digital transformation can reduce the liquidity risk of banks;Mechanism analysis shows that profitability plays an intermediary role, and digital transformation reduces liquidity risk by improving bank profitability;The regulatory effect analysis shows that the capital adequacy ratio has a positive regulatory effect on reducing the liquidity risk of banks in digital transformation;Heterogeneity analysis shows that the role of digital transformation of banks in reducing liquidity risk exists significantly in city commercial banks and state-owned banks;Considering the impact of the stock market shock in 2015 and the COVID-19 epidemic in 2020 and 2021 on the liquidity risk of listed banks, the results are still valid by adjusting the sample time interval for robustness test. Further research shows that by using the stochastic forest model, the digital transformation of bank management has a greater impact on reducing liquidity risk.