摘要
本文基于HP滤波法和2007—2016年16家上市商业银行的季度数据,使用流动性错配指数对银行流动性风险进行了测度,应用面板门限模型对其与非利息收入业务发展之间的关系进行了考察。结果表明,银行非利息收入对流动性风险的影响呈现出非线性特征,大规模银行非利息收入业务有助于降低流动性风险,而小规模银行相应业务的发展却会导致流动性错配程度加剧。这种效应与货币政策紧密相关,小规模银行在紧缩货币政策时期的效应强于宽松货币政策时期,而大规模银行的相应效应仅在宽松货币政策时期显著。监管当局既要重视规模效应,又需结合货币政策的状况,还应关注商业银行不同业务的差异化效应,制定合理有效的管理政策,加强商业银行流动性风险的监管和系统性风险的防范。
Based on HP filter method and the quarterly data of 16 listed commercial banks in China from 2007 to 2016, this paper uses the liquidity mismatch index to measure the liquidity risk of listed commercial banks and analyz- es the relationship between the non-interest income and banks liquidity risk by using a panel threshold model. Results show that the non-interest income and liquidity risk of banks are nonlinearly correlated. The development of large- scale commercial banks＇ non-interest income business will reduce the liquidity risk of banks, while smaller commer- cial banks will lead to an increasing effect. The above effect is related to the state of monetary policy. Under tight mon- etary policy state, the promotion of non-interest income from large-scale banks can effectively disperse liquidity risks. Under loose monetary policies, the increase in non-interest income of small-scale banks will lead to an increase in the liquidity risk of banks. The supervisory authority should not only pay attention to the scale effect and the monetary policy, but also attach importance to the different effect of various business to ensure the sustained and healthy development of the banking industry.
作者
黄哲
邵华明
Huang Zhe1;Shao Huaming2
出处
《财经科学》
CSSCI
北大核心
2018年第8期44-55,共12页
Finance & Economics
基金
国家自然科学基金面上项目“基于经济金融关联网络的系统性风险动态监管机制研究”(71673225)
