欧债危机中商业银行流动性管理研究——主权信用评级变化差异的视角  

The Liquidity Management of Commercial Banks in EU under the European Sovereign Debt Crisis——From the Perspective of Difference in Sovereign Rating

作　　者：杨博[1] 魏先华[1] 杨晓光[2] 

机构地区：[1]中国科学院大学管理学院,北京100190 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理评论》2015年第5期9-18,共10页Management Review

摘　　要：本文根据危机期间主权信用评级的变化将欧盟国家分成信用平稳国家和信用降级国家,利用Euribor与US rate利差刻画流动性风险,研究商业银行储蓄存款、银行间存款、普通股和总资产等特征变量对其流动性调整(流动性资产和信贷规模)的影响。实证表明主权信用降级国家的银行流动性调整更显著受到银行特征的影响且调整不稳定;主权信用平稳国家的银行对于流动性调整更稳健并且更快消化流动性危害。研究对于主权下调预期下我国商业银行流动性管理以及参与国际合作有借鉴意义。The paper separates EU countries,by their sovereign rating changes during the debt crisis,into two types: credit-stable type and credit downgrading type. Using Euribor-US rate as liquidity risk indicator,the paper focuses on how commercial banks adjust their liquidity( liquid asset and loan) during European Debt Crisis based on customer's deposits,bank's deposits,common equity and total assets. The paper shows that banks in credit downgrading countries are more significantly affected by banks' features and with more unstable adjustment and banks in credit-stable countries are more robust and better able to digest liquidity risk. Such findings are applicable to the liquidity management and foreign cooperation of China's commercial banks when China's sovereign credit rating is expected to be downgraded.

关 键 词：欧债危机 主权信用 商业银行 流动性管理 

分 类 号：F831.2[经济管理—金融学]