流动性视角下中国银行业系统性风险的测度  

Measuring systemic risk in China banking industry from a liquidity perspective

作　　者：张少华 陈鑫 林灿 ZHANG Shaohua;CHEN Xin;LIN Can(School of Economics and Statistics,Guangzhou University,Guangzhou 510006,China)

机构地区：[1]广州大学经济与统计学院,广东广州510006

出　　处：《辽宁工程技术大学学报（社会科学版）》2024年第6期408-415,共8页Journal of Liaoning Technical University(Social Science Edition)

基　　金：国家统计局全国统计科学研究项目(2023LD006);广东省普通高校创新团队项目(人文社科)(2023WCXTD014);广州大学研究生创新能力培养资助计划项目(JCCX2024-002)。

摘　　要：基于2011—2019年中国商业银行的资产负债表数据,结合Bootstrap法,使用流动性剩余指标估计商业银行的流动性风险,利用风险贡献度指标计算商业银行的系统重要性。研究表明:样本中的绝大多数银行2016年、2017年的相对流动性剩余高于其9年间的均值,其余年份基本低于均值,说明在2015年股市危机后,宽松的经济政策降低了银行的流动性风险。中国工商银行、中国建设银行、中国银行、中国农业银行是国内系统重要性银行,风险贡献度合计高达77.4%。研究结论为银行业防范系统性风险提供参考。Based on the balance sheet data of Chinese commercial banks from 2011 to 2019,combined with the Bootstrap method,the liquidity risk of commercial banks is estimated by using the liquidity surplus index,and the systemic importance of commercial banks is calculated by using the risk contribution index.The results show that the liquidity surplus of most banks in the sample is higher than the mean of the banks over the past nine years in 2016 and 2017,and basically lower than the mean in other years,indicating that the relaxed economic policy reduced the liquidity risk of banks after the stock market crisis in 2015.Industrial and Commercial Bank of China,China Construction Bank,Bank of China and Agricultural Bank of China are systematically important banks in China,with a combined risk contribution of 77.4%.The research conclusion provides reference for the prevention of systemic risk in the banking industry.

关 键 词：商业银行 系统性风险 流动性风险 系统重要性银行 资产负债表 

分 类 号：F832.3[经济管理—金融学] F830.3