流动性创造与中国商业银行流动性风险关系研究——基于动态面板联立系统的经验与证据  

The Relationship between Liquidity Creation and Liquidity Risk in Chinese Commercial Banks——Based on the Dynamic Panel Simultaneous System Estimation

作　　者：崔婕[1] 黄杰 姚智勇 

机构地区：[1]山西财经大学财政金融学院,副教授博士山西太原030006 [2]山西财经大学研究生学院,博士研究生山西太原030006

出　　处：《经济体制改革》2018年第2期172-179,共8页Reform of Economic System

基　　金：国家自然科学基金资助项目"基于新监管标准的我国商业银行资本和流动性监管研究"(71173140)

摘　　要：本文以2007~2016年中国57家商业银行相关数据为样本,实证分析流动性创造与商业银行流动性风险的关系。研究结果表明:就银行业整体而言,流动性创造是导致商业银行流动性风险的一个主要原因,即银行向实体经济创造较多的流动性会产生较高的流动性风险;反之,银行流动性风险水平对其创造的流动性影响因银行的不同类别而表现出显著差异。对于大型国有银行,流动性风险对其流动性创造没有显著影响;而对于股份制和城市商业银行,较高的流动性风险水平会导致其创造的流动性降低。From a perspective of liquidity management, this paper analyzes the relationship between liquidity creation and liquidity risk of commercial banks based on a sample of 57 Chinese banks from 2007 to 2016. It draws the conclusions as follows ： For the whole sample bank, liquidity creation is a major cause of commercial bank liquidity risk. That is, banks create more liquidity to the real economy, the greater potential liquidity crisis. Conversely, under the sub-sample, the effect of liquidity risk on liquidity creation differs widely in different types of banks. It shows that different types of commercial banks have to balance the relationship between liquidity creation and liquidity risk in terms of liquidity management. In this paper, it enriches the theoretical literature of bank liquidity management and provides reference for the choice of differentiated regulatory policies in practice.

关 键 词：商业银行 流动性管理 流动性创造 流动性风险 

分 类 号：F830[经济管理—金融学]