我国商业银行流动性风险空间集聚实证分析  

Empirical Analysis on the Spatial Agglomeration of Liquidity Risk of Commercial Banks in China

作　　者：刘树宪[1] 孙晓丹[1] 杨玉明[2] Liu Shuxian;Sun Xiaodan;Yang Yuming(Haerbin Central Sub-branch,the People’s Bank of China;Qitaihe Central Sub-branch,the People’s Bank of China)

机构地区：[1]中国人民银行哈尔滨中心支行 [2]中国人民银行七台河市中心支行

出　　处：《金融发展评论》2019年第5期107-121,共15页Financial Development Review

摘　　要：流动性风险不仅会导致商业银行经营困难,而且会对金融系统和实体经济带来巨大的负面冲击。然而在实践业务中,商业银行和监管当局更多关注单一区域流动性风险成因,而忽略了受地理溢出影响导致区域性流动性风险集聚的情况,导致很难准确捕捉和防范潜在的流动性风险。故,本文通过趋同理论分析我国商业银行流动性风险的集聚情况,并结合当前我国监管政策,分析流动性覆盖率(LCR)和净稳定资金比例(NSFR)监管政策对不同区域流动性风险集聚区域监管效果。通过研究发现:我国存在区域性的流动性风险集聚,LCR流量类监管指标对我国整体金融领域的流动性风险监管效果明显,NSFR存量类监管指标对低值地区的流动性风险效果要好于发达地区的流动性风险的监管。最后,结合实证结论给出相应对策建议。Liquidity risk will not only make commercial banks difficult to operate,but also bring huge negative impact on financial system and real economy.However,in practice,commercial banks and regulatory authorities pay more attention to the causes of single regional liquidity risk,while ignoring the agglomeration of regional liquidity risk caused by geographical spillovers,which makes it difficult to accurately capture and prevent potential liquidity risk.Therefore,this paper uses convergence theory to analyze the agglomeration of liquidity risk in China,and combined with the current regulatory policies in China,to analyze the regulatory effects of LCR and NSFR regulatory policies on different regions of liquidity risk agglomeration.Through the research,it is found that there is regional liquidity risk concentration in China,LCR flow monitoring indicators have obvious effect on liquidity risk supervision in the whole financial field of China,and NSFR stock monitoring indicators have better effect on liquidity risk supervision in low-value areas than in developed areas.Finally,combined with the empirical conclusions,the corresponding countermeasures and suggestions are given.

关 键 词：金融监管 流动性风险 空间集聚 

分 类 号：F832.33[经济管理—金融学]