流动性风险、信用风险与商业银行流动性创造  

Liquidity Risk,Credit Risk and Commercial Bank Liquidity Creation

作　　者：李硕 侯晓辉[1] LI Shuo;HOU Xiaohui(School of Economics and Finance,Xi'an Jiaotong University,Xi'an 710061,China)

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《经济经纬》2020年第4期168-176,共9页Economic Survey

基　　金：国家自然科学基金项目(71473189)。

摘　　要：基于2011—2017年我国74家银行的微观数据,通过构建动态面板数据模型,实证检验流动性风险、信用风险对银行单位资产流动性创造的影响。研究结果表明:(1)流动性风险的提高会减少我国银行业单位资产流动性创造,而信用风险的上升却增加了银行的流动性创造水平。(2)对于不同所有权性质的银行,流动性风险和信用风险对流动性创造的影响存在显著差异。大型国有银行和股份制银行,流动性风险对其单位资产流动性创造的影响并不显著,而这一关系在区域性经营的城市商业银行和农村商业银行中显著为负。无论是大型国有银行、股份制银行还是地方性商业银行,信用风险的提高均显著地增加了单位资产流动性创造。(3)资产规模抵消了部分流动性风险对流动性创造的负向影响,但信用风险对流动性创造的影响并不依赖于银行的资产规模大小。Based on the micro-data of 74 banks in China from 2011 to 2017,this paper empirically tests the impact of liquidity risk and credit risk on the liquidity of bank unit assets by constructing a dynamic panel data model.The research results show that:(1)The increase of liquidity risk will reduce the liquidity creation of China’s banking sector;while the increase of credit risk increases the bank’s liquidity creation level.(2)For banks of different ownership structure,there are significant differences in the impact of liquidity risk and credit risk on liquidity creation.Large state-owned banks and joint-stock banks have no significant impact on the liquidity creation of their unit assets,and this relationship is significantly negative in regionally operated urban commercial banks and rural commercial banks;whether it is a large state-owned bank,Joint-stock banks or local commercial banks,and the increase in credit risk has significantly increased the creation of liquidity of unit assets.(3)Asset size offsets the negative impact of liquidity risk on liquidity creation,but the impact of credit risk on liquidity creation does not depend on the size of the bank’s assets.

关 键 词：流动性风险 信用风险 流动性创造 

分 类 号：F832.2[经济管理—金融学]