商业银行流动性与违约风险研究——基于PVAR模型的实证检验  

The Relationship between Commercial Bank Funding Liquidity and Default Risk——An Empirical Research Based on PVAR

作　　者：杜金岷[1] 李嘉文 吴非[1] 

机构地区：[1]暨南大学经济学院,广州510632

出　　处：《工业技术经济》2017年第11期79-87,共9页Journal of Industrial Technological Economics

基　　金：国家社会科学基金一般项目"股票流动性与企业创新研究"(项目编号:16BJY172)

摘　　要：本文使用11家上市银行的季度数据建立面板向量自回归(PVAR)模型,运用脉冲响应函数分析银行流动性对银行风险的动态影响。结果显示,内外部融资流动性对商业银行风险有显著影响,但二者作用于银行风险的时间路径和作用存在差异。银行风险之于外部流动性的响应较为迅速,对于内部流动性而言有一定滞后;外部流动性对银行风险的影响在时间序列上呈现衰弱周期,而内部流动性的影响则随着时间推移逐步加强。由此,在短期的流动性危机中,应更注重外部流动性的补充,但从长期来看,内部融资流动性才是商业银行风险的基础因素。This study examines the dynamic relationship between commercial bank funding liquidity and default risk with a PVAR model and its impulse response function. Using quarterly data for 11 listed banks from 2008 to 2016.,we show that both internal funding liquidity and external funding liquidity have significant influence on commercial bank default risk with different transmission mechanism and timeline. Bankruptcy risk response to external funding liquidity shock more quickly than an internal one. However,an internal funding liquidity shock impact default risk more persistently than an external one. The findings of this study have several implications. Firstly,injection to external funding liquidity is more effectively when facing with a liquidity crisis. Secondly,internal funding liquidity is a more determinately factor for default risk in the long run.

关 键 词：银行机构 流动性 风险水平 PVAR模型 脉冲响应 违约风险 

分 类 号：F812.4[经济管理—财政学]