商业银行流动性风险的溢出效应——基于动态CoVaR的方法  

The Spillover Effect of Liquidity Risk in China's Commercial Banks:A Dynamic CoVaR Approach

作　　者：郑棣[1] 严予若[2] 雷蕾[3] Zheng Di;Yan Yuruo;Lei Lei

机构地区：[1]西南财经大学金融学院 [2]西南财经大学西部经济研究中心 [3]西南财经大学会计学院

出　　处：《财经科学》2019年第1期39-51,共13页Finance & Economics

摘　　要：本文尝试突破传统的研究思路,提出了"商业银行流动性风险的根源在于资产负债的结构性错配,而不仅限于期限错配",将流动性细分为资产的市场流动性和负债的融资流动性,以此去度量商业银行在时间维度下的流动性风险。接着,本文将构建的流动性指标嵌入分位数回归法中,优化了对CoVaR的估计方法,度量了商业银行流动性风险在空间维度的溢出效应,动态地刻画了银行间流动性风险的联动关系。经过测算,本文得到三个结论:第一,股份制商业银行对银行系统的流动性风险的溢出效应最强,体现为冲击力度大和波及范围广两个方面,同时,股份制商业银行自身也承受了最强的风险溢出。第二,股份制商业银行内部之间的风险溢出效应最强,远甚于其他不同类银行间的风险溢出效应。第三,资产规模对商业银行流动性风险的影响具有不确定性,同时,流动性风险的溢出效应还与资产负债的结构组成有着潜在的关联。This paper breaks through the traditional research ideas and puts forward that "the root of liquidity risk of commercial banks lies in the structural mismatch of assets and liabilities,rather than the mismatch of maturity",which is to measure the liquidity risk of commercial banks under the time dimension by subdividing liquidity into the market liquidity of assets and the financing liquidity of liabilities.Then,this paper embeds the liquidity index embedded in CoVaR,optimizes the estimation method based on the decimal number regression,measures the spillover effect of the liquidity risk of commercial banks in the spatial dimension,and dynamically depicts the linkage relationship between the liquidity risk between banks.In this paper,three conclusions are obtained:first,the spiUover effect of joint-stock commercial banks on the liquidity risk of the banking system is the strongest,which is embodied in two aspects:large impact intensity and wide spread range,at the same time,joint-stock commercial banks themselves have suffered the strongest risk overflow.Second,the risk spillover effect between joint-stock commercial banks is the strongest,far more than the spillover effect between other different banks.Third,the impact of asset size on the liquidity risk of commercial banks is uncertain,and the spiUover effect of liquidity risk is also potentially related to the structural composition of assets and liabilities.

关 键 词：商业银行 流动性风险 溢出效应 条件在险价值 

分 类 号：F830.33[经济管理—金融学]