市场模式、政府模式与城商行流动性风险化解——一个三期博弈的分析框架  

Market Method,Government Method,and Liquidity Risk Resolution of City Commercial Banks:An Analytical Framework for a Three-Stage Game

作　　者：刘向明[1] 邓翔欧 藏波 LIU Xiangming;DENG Xiangou;ZANG Bo(School of Finance,Renmin University of China;Industrial and Commercial Bank of China)

机构地区：[1]中国人民大学财政金融学院,北京100872 [2]中国工商银行,北京100032

出　　处：《金融研究》2020年第4期131-146,共16页Journal of Financial Research

摘　　要：分析城商行流动性风险化解中的政府手段和市场机制,对于下一步规范城商行营商环境、化解流动性风险具有参考意义。本文首先通过银行间的博弈模型,发现政府持股比例越高会增加城商行同业负债比例,进而提高流动性风险发生的可能性;当经济处于下行周期时,全社会资金需求不足,大型银行资金投放的机会成本降低,有利于城商行获得同业负债,但却进一步积累了流动性风险。其次,通过系统GMM对2011-2018年80家城商行的非平衡面板数据进行分析,实证结果验证了理论假说。最后,结合理论与实证分析,进一步提出政府行为边界,破除隐性担保,建立城商行资金内部定价机制以及完善城商行监管体系等方面的政策建议。In recent years,the asset scale of urban commercial banks has grown rapidly,and the liquidity risk of individual urban commercial banks has attracted market attention.Therefore,it is important to standardize the business environment and reduce the liquidity risk of urban commercial banks by analyzing how the government and market can reduce this risk and exploring the key factors that lead to increased liquidity risk.In response to liquidity risk,urban commercial banks can choose the market model,and ask for help from large banks,borrow money from another bank,sell and buy back,etc.Alternatively,they can choose the government model and solve their short-term difficulties by increasing the government shareholding ratio.It is worth noting that the government shareholding ratio not only includes the direct investment of financial funds,but also the introduction of government support by becoming a state-owned enterprise:examples include China Construction Bank taking over Baoshang Bank or the Industrial and Commercial Bank of China taking over Jinzhou Bank.It can be seen that in this case,China’s state-owned big banks embody both the market model and the government model.In the normal course of operations,large commercial banks carry out inter-bank business with urban commercial banks according to the market model.However,in extreme cases,some large commercial banks need to rescue urban commercial banks according to the government model.Because liquidity risk is a complex concept,there are many indicators for measuring it.Foreign scholars have included inter-bank liability in liquidity risk analysis.The China Banking and Insurance Regulatory Commission has also used the inter-bank liability ratio as an indicator for liquidity risk monitoring.Although in theory,there is no direct relationship between inter-bank liabilities and liquidity risk,due to the phenomenon of inter-bank dependence,the inter-bank payable bonds of some city commercial banks account for more than one fifth of their total liabilities.In addition,

关 键 词：同业负债 城商行 政府模式 市场模式 流动性风险 

分 类 号：D630[政治法律—政治学] F832.33[政治法律—中外政治制度]