流动性监管对中国商业银行行为的影响——基于巴塞尔协议Ⅲ审慎监管视角  

The Impact of Liquidity Regulation on the Behavior of Chinese Commercial Banks——Based on the prudential supervision of Basel Ⅲ

作　　者：周露娜 曹前进[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《浙江金融》2017年第7期52-60,共9页Zhejiang Finance

基　　金：浙江工商大学校级创新项目(批准号:15020000106)

摘　　要：全球性金融危机爆发后,关于流动性监管对商业银行行为影响的研究成为热点。本文基于Basel Ⅲ流动性监管视角,利用2004-2015年70家中国商业银行数据,建立面板数据回归模型进行实证研究,结果表明,流动性监管对中国商业银行资产结构和负债结构调整有显著影响,具体来说,从资产方看,提高NSFR比率会促使商业银行降低贷款和二级资产比重,持有更多低风险资产;从负债方看,提高NSFR比率增强了商业银行调整活期与长期存款比重以满足外部监管要求、降低经营成本的动力,但对同业拆借无显著影响。本文的研究发现为后危机时代监管当局基于巴塞尔协议III视角实施流动性监管政策提供了经验证据。After the global financial crisis, the research about the impact of liqui behavior of c regulation on ommercial bank has B establishes the regulation has asel III, using static panel d panel become a hot spot. data of 70 Chinese ata regression model for significant effect on the adjustment of This article is based on the persp dity regulation on ective of liquidity commercial banks for the period from 2004 to 2015 and empirical research. The balance sheet structure. result shows that the liquidity To be specific, from the asset side, improving the NSFR ratio will urge the commercial banks to reduce the amount of loan and the proportion of the secondary assets, holding more low-risk assets. From the liability side, improving the NSFR ratio will increase the share of current deposit and term deposit. It meets the requirement of external supervision and reduces the operation cost but has insignificant effect on inter-bank borrowing. The study in this paper provides empirical evidence for the post-crisis era regulatory authorities to implement liquidity regulatory policies based on the perspective of Basel Ⅲ.

关 键 词：商业银行 NSFR比率 流动性监管 调整行为 面板数据模型 

分 类 号：F832.7[经济管理—金融学]