摘要
流动性风险作为商业银行风险管理中的重要内容,近些年来越来越受到商业银行和监管层的重视。采用上海银行间隔夜拆借利率报价数据(Shibor O/N),从宏观系统性角度,对我国银行业的流动性风险进行了面板实证研究。结果表明,人民币汇率变化及其波动率和宏观经济杠杆变化对于我国商业银行的流动性风险管理影响非常显著。因此,商业银行与监管当局需根据其具体运行情况,建立科学合理的机制,防范系统流动性危机的发生。
As an important part of commercial bank risk management,liquidity risk acquires more and more attention of both regulators and commercial banks themselves in recent years.In this paper,we make a empirical analysis on the liquidity risk main from the perspective of macro-systemic level of Chinese banking system by using panel data regression and the dataset of bid quotes of Shanghai Interbank Offered Overnight Rate（Shibor O / N）.the result indicate that change and volatility of the RMB exchange rate and change in leverage of macro-economy have significant effects on liquidity risk management of Chinese commercial banks.Both regulators and commercial banks themselves need to establish a scientific and reasonable mechanism based on their operation details to prevent the occurrence of system liquidity crisis.
出处
《经济问题》
CSSCI
北大核心
2016年第10期38-42,共5页
On Economic Problems
基金
国家自然科学基金项目“基于新监管标准的我国商业银行资本和流动性监管研究”(71173140)
山西省哲学社会科学“十二五”规划2015年度课题“基于Basel III的商业银行流动性风险研究”(晋规办字[2015]3号)
山西省重点学科建设专项项目“经济转型期金融产品创新及其风险控制研究”(晋教材[2013]289号)
关键词
商业银行
系统流动性风险
隔夜Shibor
commercial bank
systemic liquidity risk
Shanghai interbank offered overnight rate
