宏观审慎视角下存贷期限错配流动性风险的识别与控制
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引用本文:彭建刚,王佳,邹克.宏观审慎视角下存贷期限错配流动性风险的识别与控制[J].财经理论与实践,2014,(4):2-8
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彭建刚,王佳,邹克 (1. 湖南大学 金融与统计学院湖南 长沙4100792. 湖南大学 金融管理研究中心湖南 长沙410079) 
中文摘要:存贷期限错配的流动性风险存在顺周期性与传染性,有必要从宏观审慎视角分析存贷期限错配流动性风险与系统性风险的关系。通过测算期限错配流动性缺口,对我国商业银行业资产占比很大的15家商业银行的存贷期限错配流动性风险进行识别,得出存贷期限错配流动性风险是2013年“钱荒”事件发生的重要导因的结论。采用适当的变量并通过面板回归模型分析,能够识别存贷款期限错配流动性风险的主要宏观影响因素和微观影响因素。因此,应从国家金融管理部门的外部控制和商业银行的内部控制两个方面控制存贷期限错配的流动性风险。
中文关键词:宏观审慎管理  存贷期限错配  流动性风险  识别  控制
 
The Recognition and Control on Liquidity Risk of Deposit and Loan Maturity Mismatch From the Macro-prudential Perspective
Abstract:Due to liquidity risk's procyclicality and contagion, it is necessary to analyze the relationship between liquidity risk of deposit and loan maturity mismatch and systemic risk from the macro-prudential perspective. This paper measures the liquidity gap to recognize the liquidity risk caused by maturity mismatch of 15 commercial banks in China, these banks' assets account for a very large share of commercial banks. The results show that the liquidity risk of deposit and loan maturity mismatch is a significant reason for the 2013 “Money Shortage” event. Furthermore, panel regression model is introduced to recognize the macro factors, as well as the micro factors, influencing commercial banks' liquidity risk of deposit and loan maturity mismatch. On this basis, it is suggested to manage the liquidity risk of deposit and loan maturity mismatch by both external control from national financial departments and internal discipline from commercial banks.
keywords:Macro-prudential Management  Deposit and Loan Maturity Mismatch  Liquidity Risk  Recognition  Control
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