活期存款、流动性监管与银行风险承担  

Current Deposit,Liquidity Regulations and Bank Risk-taking

作　　者：卞志村[1] 王颖[1] 

机构地区：[1]南京财经大学金融学院

出　　处：《金融监管研究》2015年第6期1-18,共18页Financial Regulation Research

基　　金：国家社科基金重大项目"基于物价调控的我国最优财政货币政策体制研究"(12&ZD064)的阶段性成果;教育部"新世纪优秀人才支持计划"(NCET)和江苏高校优势学科建设工程(PAPD)的资助

摘　　要：活期存款作为银行流动负债的主要构成部分,其不稳定性一直没有得到相关部门的足够重视。本文利用面板VAR模型,分析了我国商业银行活期存款比率与上市银行风险承担之间的关系,以及流动性监管指标对活期存款的监管效果。结果表明:活期存款比率的增大会造成银行的风险水平上升;不同的流动性监管工具对于银行活期存款风险的监管效果不同:流动性比例无法提示活期存款风险变动,同时提高流动性比例不能有效地降低活期存款风险;存贷比与活期存款比率的相互反应并不明显;降低银行的流动性缺口能够抑制活期存款规模的过度扩张,因而流动性缺口率是目前控制活期存款风险最有效的流动性监管指标。Although current deposit is the main part of current liabilities of commercial banks, its instability has not raised enough attentions. This paper analyzes the relationship between current deposit, liquidity regulations and bank risk-taking by constructing a PVAR model. The results show that the current deposit ratio has a positive influence on bank risk-taking and different liquidity regulatory tools have different effects on bank risk-taking Liquidity ratio has little effects on predicting and preventing current deposit risk, and the reaction between loan-to- deposit ratio and current deposit ratio is not significant. Most importantly, liquidity gap ratio has proved to be the best regulatory tool in our paper, since it can effectively foretell and reduce current deposit scale when necessary

关 键 词：活期存款 流动性指标 银行稳定性 

分 类 号：F832.33[经济管理—金融学]