商业银行偿付能力风险、流动性风险与银行体系风险
发布时间：2018-07-16 15:54
【摘要】：宏观审慎监管需要微观基础。研究商业银行偿付能力风险与流动性风险和银行体系风险的关系,有助于监管当局制定合适的监管工具,有效管理银行业的系统性风险。中国未曾爆发过真正意义的银行业危机,因而研究影响银行业系统性风险的因素成为难题。在借鉴风险二维定义属性基础上,本文对商业银行偿付能力风险和流动性风险如何影响银行业稳定进行了实证分析。分析结果表明,当商业银行偿付能力上升时,银行风险承担会上升,进而增加银行倒闭的预期损失;商业银行流动性风险的上升也会增加银行倒闭的预期损失;商业银行偿付能力提高时,流动性风险会降低;商业银行流动性风险上升时,偿付能力风险也上升。
[Abstract]:Macro-prudential regulation needs micro-foundation. The study of the relationship between solvency risk liquidity risk and banking system risk of commercial banks is helpful for the regulatory authorities to formulate appropriate regulatory tools to effectively manage the systemic risks in the banking sector. China has never broken out a real banking crisis, so it is difficult to study the factors that affect the systemic risk of banking. Based on the attributes of two-dimensional definition of risk, this paper makes an empirical analysis on how solvency risk and liquidity risk of commercial banks affect the stability of banking industry. The results show that when the solvency of commercial banks increases, the risk assumption of banks will rise, and then the expected losses of bank failures will be increased, and the increase of liquidity risk of commercial banks will also increase the expected losses of bank failures. When the solvency of commercial banks increases, the liquidity risk will be reduced; when the liquidity risk of commercial banks increases, the solvency risk will also increase.
【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(15CJY083)
【分类号】：F832.33
本文编号：2126881
[Abstract]:Macro-prudential regulation needs micro-foundation. The study of the relationship between solvency risk liquidity risk and banking system risk of commercial banks is helpful for the regulatory authorities to formulate appropriate regulatory tools to effectively manage the systemic risks in the banking sector. China has never broken out a real banking crisis, so it is difficult to study the factors that affect the systemic risk of banking. Based on the attributes of two-dimensional definition of risk, this paper makes an empirical analysis on how solvency risk and liquidity risk of commercial banks affect the stability of banking industry. The results show that when the solvency of commercial banks increases, the risk assumption of banks will rise, and then the expected losses of bank failures will be increased, and the increase of liquidity risk of commercial banks will also increase the expected losses of bank failures. When the solvency of commercial banks increases, the liquidity risk will be reduced; when the liquidity risk of commercial banks increases, the solvency risk will also increase.
【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(15CJY083)
【分类号】：F832.33
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