商业银行动态流动性管理研究  

A Study of Dynamic Liquidity Management in Commercial Banks

作　　者：谢志华[1] 杨瑾[2] 

机构地区：[1]北京工商大学 [2]中央财经大学

出　　处：《国际金融研究》2007年第9期20-25,共6页Studies of International Finance

摘　　要：商业银行动态流动性管理的目标是将流动性水平维持在一个合理的范围内,以实现安全性、流动性和盈利性的有机统一。本文分析了动态流动性管理的目标、基本方法以及相应的数学模型,从我国商业银行的现状出发,提出我国商业银行进行动态流动性管理的基本思路。本文还以浦东发展银行为例进行实证分析,讨论了如何建立数学模型,并用该模型指导商业银行进行动态流动性管理。The objective of liquidity management in commercial banks is to maintain liquidity in a reasonable range, so that the requirements of security, liquidity and profitability can be well integrated. In this paper, we analyze the objective, basic methods, mathematic models of dynamic liquidity management, and propose some ideas for commercial banks to dynamically manage the liquidity based on the reality of China. We apply our methods to the case of Shanghai Pudong Devel- opment Bank Co. in order to illustrate how to establish mathematic model and manage liquidity according to the results of the model.

关 键 词：流动性管理 动态管理 向量误差修正模型 

分 类 号：F831[经济管理—金融学]