后金融危机时期我国商业银行流动性风险研究  

Research on the Liquidity Risk of China's Commercial Banks in Post-Financial Crisis Period

作　　者：史贞[1] 刘娅茹 王森[1] Shi Zhen;Liu Yaru;Wang Sen

机构地区：[1]山西财经大学经济学院 [2]山西财经大学工商管理学院

出　　处：《国际金融研究》2019年第3期65-75,共11页Studies of International Finance

基　　金：国家社科基金项目"中国收入分配的益贫性统计研究"(15BTJ012)资助

摘　　要：商业银行的流动性风险是中国经济稳定运行需要密切关注的重要方面。本文以2010—2017年的季度数据作为研究区间,以我国商业银行业总体数据为研究样本,选取流动性缺口等指标,建立VAR模型考察商业银行流动性风险的情况。结果显示,影响商业银行流动性风险的因素来源于商业银行自身和宏观经济环境两个方面,防范商业银行的流动性风险不可能只在商业银行内部解决。本文的对策建议是重视宏观经济政策有效性,重塑健康的微观经济基础,丰富流动性风险监管指标,优化配置资产负债结构,大力发展中间业务,不断推动我国金融市场优化改革。The liquidity risk of commercial banks is an important aspect of China's stable economic operation. This paper takes the quarterly data of 2010?017 as the research interval, takes the overall data of China's commercial banking industry as the research sample, selects the liquidity gap and other indicators, and investigates the liquidity risk of commercial banks by establishing the VAR model. The results show that the factors affecting the liquidity risk of commercial banks come from the commercial banks themselves and the macroeconomic environment. This means that it is impossible to prevent the liquidity risks of commercial banks by only relying on the banks themselves. The countermeasures proposed for this purpose are: paying attention to the effectiveness of macroeconomic policies, reshaping the healthy microeconomic foundation, enriching the regulatory indicators of liquidity risk, optimizing the allocation of assets and liabilities, vigorously developing intermediary business, and continuously promoting the optimization of China's financial market.

关 键 词：后金融危机时期 商业银行流动性风险 VAK模型 影响因素 

分 类 号：F830[经济管理—金融学]