经济“新常态”下的商业银行流动性研究与压力测试

发布时间：2018-01-12 04:03

本文关键词：经济“新常态”下的商业银行流动性研究与压力测试　出处：《现代财经(天津财经大学学报)》2016年02期 　论文类型：期刊论文

更多相关文章： 新常态 商业银行 流动性 压力测试

【摘要】：在经济"新常态"的影响下,我国商业银行赖以生存的金融环境发生着深刻的变革。通过对我国流动性风险的现状进行分析,选取了2006—2014年间我国16家上市银行的相关数据建立面板模型,从监管的角度对压力测试在商业银行流动性风险管理中的应用进行了研究,得出以下结论:我国商业银行的流动性比例受到非利息收入占比的影响较大,在重度压力测试下,非利息收入占比较低的银行流动性比率逼近监管红线。此外,一般性存款占比下降、净息差缩窄的趋势也将对商业银行流动性水平形成负面影响。长期来看,唯有更多发展创新性、综合性的非信贷业务,实现从单一服务模式向差别化综合服务模式转型,才能实现商业银行流动性水平在经济"新常态"的变革中的平稳过渡,从而避免大型金融风险的爆发。
[Abstract]:Under the influence of the "new normal" of economy, the financial environment on which Chinese commercial banks rely for survival is undergoing profound changes. This paper analyzes the current situation of liquidity risk in China. Select the relevant data of 16 listed banks in China from 2006 to 2014 to establish panel model, and study the application of stress test in liquidity risk management of commercial banks from the perspective of supervision. The following conclusions are drawn: the liquidity ratio of commercial banks in China is greatly affected by the proportion of non-interest income. Under the severe stress test, the liquidity ratio of banks with low non-interest income is close to the regulatory red line. The decline of the proportion of general deposits, the narrowing of net interest margin will also have a negative impact on the liquidity level of commercial banks. In the long run, only more innovative, comprehensive non-credit business can be developed. Only by transforming from a single service model to a differentiated comprehensive service model, can the liquidity level of commercial banks be smoothly transitioned in the transformation of the "new normal" of the economy, thus avoiding the outbreak of large-scale financial risks.
【作者单位】：首都经济贸易大学金融学院;
【基金】：北京高等学校教育教学改革面上项目(2015-ms179)
【分类号】：F832.33
【正文快照】： 一、引言“新常态”已成为财经界关注的重点。从某种程度上来说,金融领域对经济新常态的敏感度比实体领域还要强烈和复杂。随着中国经济步入“新常态”,金融领域正在进行着一场“悄无声息”的行业大洗牌。作为商业银行经营“三性”之一,流动性既是商业银行实现安全性的必要手

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