基于时变模型的商业银行流动性风险度量研究  

Study on Measurement of Liquidity Risk of Commercial Banks Based on Time-varying Model

作　　者：刘精山 赵沛 田静 LIU Jingshan;ZHAO Pei;TIAN Jing(School of Economics, Nankai University, Tianjin 300071, China)

机构地区：[1]南开大学经济学院,天津300071

出　　处：《财经理论与实践》2019年第6期16-23,共8页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金青年项目(71703111);教育部人文社会科学研究青年基金(16YJC790049);国家社会科学基金重大项目(14ZDB124)。

摘　　要：流动性错配是流动性风险产生的根本,有必要从资产端和负债端研究和度量商业银行流动性风险。在综合外部因素的基础上,通过理论和实证两个层面构建我国商业银行流动性错配指数(LMI),并对我国18家上市银行的流动性风险进行度量、识别和压力测试。研究表明:我国商业银行流动风险存在异质性和时变性,LMI的压力测试结果显示,不同类型银行压力测试和抵御风险的能力具有显著的异质性。为有效地管理和防范商业银行流动性风险,需要严格控制流动性错配程度,密切关注宏观经济形势和资产价格的波动,并建立相应的风险监测和管理机制。Liquidity mismatch is the foundation of liquidity risk.It is necessary to study and measure the liquidity risk of commercial banks from the asset side and the liability side.Considering the external factors:the liquidity mismatch index(LMI)of China's commercial banks was constructed from the theoretical and empirical dimensions,and the liquidity risk of 18 listed banks in China was measured,identified and tested.The results show that the liquidity risk of commercial banks in China is heterogeneous and time-varying.The results of stress test based on LMI show that different types of bank stress tests and the ability to risk have significant heterogeneity.In order to effectively manage and prevent the liquidity risk of commercial banks,it is necessary to strictly control the degree of liquidity mismatch,pay close attention to macroeconomic situation and asset price fluctuations,and establish corresponding risk monitoring and management mechanisms.

关 键 词：流动性错配 流动性错配指数 流动性风险 压力测试 

分 类 号：F830.33[经济管理—金融学]