中国上市商业银行市场流动性风险研究——基于流动性调整的在险价值模型  

Research on the Market Liquidity Risk of China Listed Commercial Banks——Based on La-VaR Model

作　　者：胡方琦 宋琴[1] 

机构地区：[1]华中师范大学经济与工商管理学院,湖北武汉430000

出　　处：《金融发展研究》2016年第9期17-22,共6页Journal Of Financial Development Research

摘　　要：本文以16家上市商业银行的股价为样本数据,选取2007—2015年为样本区间,建立GARCH-LaVa R模型,分析我国上市商业银行的市场流动性风险。实证结果表明:大型国有银行更易受到市场流动性风险冲击,且银行业的整体风险水平的波动与宏观经济的走势趋同。La-Va R模型的使用给商业银行的流动性风险监管提供了新的思路与方法。This article adopts the stock price of 16 listed commercial Banks as the sample data, selects the years from 2007 to 2015 as the sample interval, and establishs a GARCH-La-VaR model to analyze the market liquidity risk of China＇s listed banks. The empirical results show that with respect to the joint-equity commercial banks, the large state-owned banks are facing greater market liquidity risk and the overall risk level of banking industry is consistent with the macro-economic operation. In addition, there is no doubt that the La-VaR model provides new ideas and meth- ods to the supervision on the liquidity risk of commercial banks.

关 键 词：上市商业银行 市场流动性风险 LA-VAR模型 

分 类 号：F830.33[经济管理—金融学]