非核心负债业务、流动性渠道和银行业系统性风险:理论模型与经验分析  

Non-core Liabilities,Liquidity Channels and Banks'Systemic Risks:Theoretical Models and Empirical Analysis

作　　者：方意 和文佳[1,2,3] 王琦 FANG Yi;HE Wenjia;WANG Qi(National School of Development and Strategy,Renmin University of China;School of Economics,Beijing Technology and Business University;School of Finance,Central University of Finance and Economics)

机构地区：[1]中国人民大学国家发展与战略研究院,北京100872 [2]北京工商大学经济学院,北京100048 [3]中央财经大学金融学院,北京100098

出　　处：《金融研究》2024年第3期20-37,共18页Journal of Financial Research

基　　金：国家社会科学基金重大项目(23&ZD058)的资助。

摘　　要：非核心负债的非稳定性特征,是诱发银行系统性风险的关键因素。非核心负债突然中断(负债流动性下降),将导致银行不得不折价卖出非流动性资产予以偿还(资产流动性下降),进而诱发资本金损失及系统性风险上升。本文从理论模型和经验分析两个角度,剖析中国商业银行非核心负债对系统性风险的影响程度及机制。研究结果表明:首先,银行以非核心负债融资来投资非流动性资产是一种高风险行为,银行持有非核心负债的数量越多,其面临的系统性风险水平也将越高。其次,就影响机制而言,银行非核心负债通过资产抛售的折价水平(资产流动性)和非预期负债被收回的比例(负债流动性)影响系统性风险。当银行资产流动性水平或负债流动性水平下降时,同样的非核心负债数量会带来更高的系统性风险水平,反之亦然。最后,规模越大的银行,非核心负债对其系统性风险的影响越大。The interbank businesses of commercial banks serve as a crucial mechanism for managing short-term liquidity,adjusting fund surpluses and shortages,and optimizing resource allocation.However,these operations also entail various risks such as regulatory arbitrage,maturity mismatch,funds idling,and shadow banking.In recent years,it is not uncommon for domestic and foreign financial institutions to almost cause systemic risks due to the rapid growth of interbank businesses.For instance,in March 2023,Silicon Valley Bank and Signature Bank in the United States experienced consecutive crises due to liquidity problems stemming from unstable funding sources.According to the historical data from China's banking industry,the scale of non-core liabilities of deposit-taking financial companies increased from 1.66 trillion yuan to 13.95 trllion yuan from 2007 to 2016,while their proportion doubled during this period.Although deleveraging policies have reduced the proportion of interbank liabilities since 2017,its absolute scale remains high.The potential risk associated with excessive reliance on interbank liabilities of banks should not be underestimated.Interbank liabilities are classified as non-core liabilities,which possess inherent instability that can easily trigger liquidity risks on both the asset and liability sides of banks and liquidity risk is a significant contributor to systemic risk.In November 2023,the"Measures for the Capital Management of Commercial Banks"issued by China's General Administration of Financial Supervision increased the risk measurement weight assigned to interbank business,highlighting regulatory authorities'ongoing focus on preventing systemic risks associated with non-core liabilities.Starting from the perspective of non-core liabilities of banks,this paper discusses the theoretical mechanism and empirical evidence regarding the impact of non-core liabilities on banks'systemic risks through liquidity channels and draws the following conclusions.Firstly,banks relying on non-core liabilities f

关 键 词：商业银行 非核心负债 系统性风险 流动性风险 

分 类 号：F832.33[经济管理—金融学] F830.42