商业银行流动性风险的同业间影响与金融体系稳定

发布时间：2018-04-13 08:09

本文选题：商业银行 + 流动性风险　；参考：《中央财经大学学报》2017年08期

【摘要】：在银行体系中,流动性风险具有传染性,同业之间的流动性风险状况会相互影响。即使只有一家商业银行倒闭概率上升,也意味着金融体系的不稳定性上升。笔者使用KMV模型测度了每家中国上市商业银行的倒闭概率并将其作为刻画银行体系稳定程度的指标,进而研究同业流动性风险对金融体系风险的影响。实证分析表明,中国上市商业银行同业之间流动性风险存在相互正向影响,这表明中国上市商业银行之间业务同质性较高,存在相互模仿的竞争战略;但国有大型商业银行之间相互负向影响,存在流动性风险的自动稳定机制。整体来看,中国上市商业银行流动性风险间的同业影响更多体现在资产流动性风险方面。国有大型商业银行和股份制商业银行能够根据同业的整体流动性风险状况自动调整经营策略来降低倒闭风险;融资流动性风险的同业间影响对银行倒闭概率的影响不是非常明显。
[Abstract]:In the banking system, liquidity risk is contagious, and liquidity risk conditions between peers interact with each other.Even a rise in the probability of failure of only one commercial bank means an increase in instability in the financial system.The author uses KMV model to measure the failure probability of every listed commercial bank in China and regards it as an indicator to describe the stability of the banking system, and then studies the influence of interbank liquidity risk on the financial system risk.The empirical analysis shows that the liquidity risk among listed commercial banks in China has a positive impact on each other, which indicates that there is a high homogeneity of business among listed commercial banks in China, and there is a competitive strategy of mutual imitation.However, large state-owned commercial banks have negative influence on each other, and there is an automatic stabilization mechanism for liquidity risk.On the whole, the interbank influence of liquidity risk of Chinese listed commercial banks is more embodied in the aspect of asset liquidity risk.Large state-owned commercial banks and joint-stock commercial banks can automatically adjust their management strategies according to the overall liquidity risk of their peers to reduce the risk of bankruptcy;The effect of interbank financing liquidity risk on the probability of bank failure is not obvious.
【作者单位】：东北师范大学经济学院;
【基金】：国家社会科学基金青年项目“中国银行业宏观审慎监管政策工具组合及有效性研究”(项目编号:15CJY083)
【分类号】：F832.33

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