信贷扩张、资产多元化与商业银行流动性风险  

Credit Expansion, Asset Diversification and Liquidity Risk of Commercial Banks

作　　者：钱崇秀 宋光辉[1] 许林[2] Qian Chongxiu;Song Guanghui;Xu Lin(School of Business Administration,South China University of Technology,Guangzhou 510640;School of Economics and Commerce,South China University of Technology,Guangzhou 510006)

机构地区：[1]华南理工大学工商管理学院,广州510640 [2]华南理工大学经济与贸易学院,广州510006

出　　处：《管理评论》2018年第12期13-22,共10页Management Review

基　　金：广东省软科学研究计划项目(2016A070705005);中央高校基本科研业务费专项资金交叉项目(2015KXKYJ01);中央高校基本科研业务费专项资金重点项目(2017XZD11)

摘　　要：本文使用我国16家上市商业银行的财务数据和相关宏观经济数据,用超常贷款和不良贷款刻画信贷扩张特征,构建了包含148个观测样本的非平衡面板数据模型,实证考察我国商业银行信贷扩张和资产多元化对其流动性风险的影响,相应提出了三个研究假设。研究结果显示:在信贷扩张方面,超常贷款对商业银行流动性风险存在显著正向影响,且非国资控股商业银行更为显著;不良率上升使得商业银行采取保守的流动性转换策略,其面临的流动性风险得到降低,该保守型流动性转换策略在不同所有权性质的商业银行中均明显存在;资产多元化则对流动性风险存在显著负向影响,且国资控股商业银行更为显著;此外,以上影响关系在经济上行期均表现得更为明显。With the financial data of 16 listed commercial banks in China,credit expansion is described by excess lending and non-performing loan and a sample that contains 148 observations is built using the unbalanced panel data model.The influence of credit expansion and asset diversification on bank liquidity risk is empirically researched,together with three research hypotheses.The results show that excess lending has a significant positive effect on liquidity risk,while it is more significant in the non-state owned commercial banks;when non-performing loan ratio rises,commercial banks tend to adopt a conservative liquidity transformation strategy,which decreases their liquidity risk;this conservative liquidity transformation strategy is obvious in both state owned and non-state owned commercial banks;asset diversification has a significant negative impact on liquidity risk,and it is more prominent in state-owned commercial banks.In addition,the influence relationships above are more obvious in economic upturn cycle.

关 键 词：信贷扩张 资产多元化 流动性风险 所有权特征 商业银行 

分 类 号：F832.33[经济管理—金融学]