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| 商业银行期限错配下流动性风险测度及影响因素分析 |
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冉瑞沛
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中国人民银行万州中心支行
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| 摘要: |
| 本文立足于我国新的宏观经济金融形势，梳理分析商业银行期限错配与流动性风 险的相互关系。在此基础上，以某城市商业银行为例，通过H-P滤波流动性缺口分析方法对其 期限错配下的流动性风险进行了测度，通过测量发现该商业银行在近几年存在一定的流动性 风险。随后通过建立面板数据模型进一步分析了外部相关因素对商业银行期限错配下流动性 风险的影响关系和程度。研究表明，宏观经济增长、同业拆借利率、不良贷款以及存款准备金 率等因素都会对流动性产生不同程度的影响。据此提出相应的对策建议。 |
| 关键词: 期限错配；流动性风险；H-P滤波；VAR |
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| 基金项目:无 |
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| Analysis of Liquidity Risks Measurement and Influencing Factors in Light of the Maturity Mismatch of Commercial Banks |
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RAN Ruipei
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The PBOC，Wanzhou Central Sub-Branch
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| Abstract: |
| Based on China’s new macroeconomic and financial situation, this paper analyzes the relationship between the maturity mismatch of commercial banks and liquidity risks. On this basis, taking a city commercial bank as an example, the HP liquidity analysis method is used to measure the liquidity risks under the maturity mismatch circumstance. The result shows that the commercial bank has certain liquidity risks in recent years. Then, through the establishment of the panel data model, the influence of external related factors on the liquidity risks under the maturity mismatch of commercial banks are further analyzed. Studies have shown that macroeconomic growth, interbank offered rates, non-performing loans, and deposit reserve ratios have varying degrees of impact on liquidity. Accordingly, the corresponding countermeasures are proposed. |
| Key words: Maturity Mismatch; Liquidity Risks; Hodrick-Prescott Filter; VAR |
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