商业银行流动性结构对其主被动融资行为的影响研究

《巴塞尔协议Ⅲ》修订工作尚无定论,但我国已经取消存贷比监管指标。文章选用净稳定资金比率、核心融资比率和存贷比三个指标测度我国商业银行的流动性结构,并以2007-2016年我国112家商业银行为研究样本检验商业银行流动性结构对其主被动融资行为的影响。研究发现,商业银行被动融资对其主动融资有着较大的负向冲击,而流动性结构更加强化了这一效应。进一步挖掘表明,这一效应更多地源于负债端,相反资产端则起到弱化作用。因素分析证实,提高其他有息负债的比重、贷款比重和投资资产比重可有效减弱商业银行流动性结构对其主被动融资行为的影响程度。最后,提出了相关监管建议。

Effect of Liquidity Structure of Commercial Bank on Its Active and Passive Financing

Basel III revision work is incomplete, but China has abolished the supervision index of deposit-loan ratio. This paper measures the liquidity structure of China's commercial banks by using three indicators: net stable capital ratio, core financing ratio and deposit-loan ratio, and examines the impact of liquidity structure on active and passive financing behavior of 112 commercial banks in China from 2007 to 2016. The study finds that passive financing of commercial banks has a greater negative impact on their active financing, and the liquidity structure strengthens this effect. Further exploration shows that this effect is more from the debt side, on the contrary, the asset side plays a weakening role. Factor analysis confirms that increasing the proportion of other interest-bearing liabilities, loans and investment assets can effectively reduce the impact of liquidity structure of commercial banks on their active and passive financing behavior. Finally, this paper puts forward relevant regulatory recommendations.