摘要
本文对银行流动性风险计量和监管进行了理论分析,给出了流动性危机概率、流动性风险的外在影响的计量方法,论证了流动性覆盖率、净稳定资金比例的经济学合理性,揭示了其中监管参数的经济学含义,并讨论了如何通过流动性风险调整项来实现流动性风险监管目标。本文认为,应该在流动性覆盖率、净稳定资金比例中引入宏观审慎监管因素。本文最后对完善银行流动性风险监管提出了政策建议。
This paper analyzes the measure and regulation on the banks＇ liquidity risk with a theoretical approach.First,we propose methods to measure the probability of liquidity crisis and the external impact of liquidity risk.Then,we provide the economic rationale for Liquidity Coverage Ratio（LCR） and Net Stable Funding Ratio（NSFR） from the perspective of a central regulator.We discuss the meaning of regulatory parameters in LCR and NSFR and how to regulate liquidity risk through liquidity risk adjustment items.Finally,we propose the introduction of macro-prudential tools into liquidity risk regulation and discuss relevant policy implications.
出处
《金融监管研究》
2016年第7期1-17,共17页
Financial Regulation Research
