内生视角下构建地方中小银行流动性风险监测指标可行性研究  

Feasibility Study on Establishing Liquidity Risk Monitoring Indicators for Local Small and Medium-sized Banks from Endogenous Perspective

作　　者：侯书威[1] Hou Shuwei(PBC Zibo Central Sub-branch,Shandong Zibo 255000)

机构地区：[1]中国人民银行淄博市中心支行

出　　处：《金融发展研究》2019年第7期77-83,共7页Journal Of Financial Development Research

摘　　要：本文通过分析中央银行最优流动性管理和银行最优流动性资产持有量的差异,认为中央银行应当约束外生的固定商业银行流动性资产比重,这一比重应显著高于银行自身的最优化决策。但目前的流动性监管指标时点性较强,难以及时、准确反映商业银行流动性资产比重变化及由此形成的潜在流动性风险。据此设计一套流动性监测指标,通过每日监测商业银行流动性资产比重的变化反映商业银行流动性风险,并通过实证检验其有效性,为有效监测商业银行流动性资产变化和风险波动提供了一种新的思路。By analyzing the difference between the optimal liquidity management of the central bank and the optimal liquidity holdings of the bank,it is considered that the proportion of the liquid assets of the fixed commercial banks that the central bank generates should be significantly higher than the optimal decision of the bank itself.However,the current liquidity supervision indicators are more time-consuming,and it is difficult to timely and accurately reflect the changes in the proportion of commercial banks' liquid assets and the potential liquidity risks thus formed.Based on this,a set of liquidity monitoring indicators is designed to reflect the liquidity risk of commercial banks by monitoring the changes in the proportion of liquid assets of commercial banks on a daily basis.This paper also empirically tests its effectiveness and provides a new approach to effectively monitoring the changes of liquidity assets and risk fluctuations of commercial banks.

关 键 词：流动性 指标体系 中央银行 地方中小银行 

分 类 号：F832[经济管理—金融学]