管理评论

›› 2016, Vol. 28 ›› Issue (2): 35-48,73.

• 经济与金融管理 • 上一篇    下一篇

单个银行短期稳定性水平测度研究——基于修正的流动性缺口率指标

顾晓安, 朱书龙   

  1. 上海理工大学管理学院, 上海 200090
  • 收稿日期:2013-12-31 出版日期:2016-02-28 发布日期:2016-03-01
  • 作者简介:顾晓安,上海理工大学管理学院副教授,硕士生导师;朱书龙,上海理工大学管理学院硕士研究生.

A Study on the Measurement of Short-term Stability of Individual Banks——Based on the Indicators of Modified Liquidity Gap Rate

Gu Xiaoan, Zhu Shulong   

  1. School of Management, University of Shanghai for Science and Technology, Shanghai 200090
  • Received:2013-12-31 Online:2016-02-28 Published:2016-03-01

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摘要：

流动性缺口是衡量商业银行流动性风险大小和短期稳定性水平的核心指标之一.传统的流动性缺口指标在计算时没有考虑未到期信贷资产提前变现以及未到期存款提前支取对流动性状况的影响.本文引入信用违约互换模型,计算未到期信贷资产提前买卖所增加的流动性来源;同时模拟未到期存款在三种压力情景下提前支取所增大的流动性缺口,构建了"修正的流动性缺口率"指标衡量银行的短期稳定性,并提出按照各银行修正的流动性缺口率指标数值大小将稳定性水平划分为"优、良、差"三个等级的设想,以便为各银行和监管部门提供量化管理流动性风险状况及短期稳定性水平的依据,且以2004-2012年我国10家主要上市银行的面板数据进行实证分析.研究表明:股份制商业银行的短期稳定性总体上好于国有大型商业银行;中长期存款占比的增加有利于改善流动性,与流动性缺口率呈正相关关系;中长期贷款占比高会加大流动性缺口,呈负相关关系;而银行的资产收益率(ROA)、存贷净息差、广义货币供应量M2、国内生产总值GDP增长率与银行短期稳定性的相关性不显著.

关键词: 银行短期稳定性, 修正的流动性缺口率, 信贷买卖, 稳定性等级, 情景模拟

Abstract:

Liquidity gap is one of core indicators to measure liquidity risk of the bank as well as its short-term stability. Traditionally, the calculation of liquidity gap does not take account of the outstanding assets liquidated and outstanding liabilities withdrawn in advance. This paper introduces the model of credit default swaps to calculate the raised liquidity sources increased by credit assets traded ahead of time. At the same time, it pays attention to simulating the expanded liquidity gap led by outstanding deposits withdrawn through three stress testing, trying to build the indicator of "the modified liquidity gap ratio" to measure the bank's stability in short term. Moreover, this paper proposes an idea to rank the liquidity level based on the modified rate of bank liquidity gap, trying to classify stability into three grades, including EXCELENT, GOOD and POOR, which could provide a support of quantifying liquidity risk management and short-term stability for the banks and market supervisors. Therefore, this paper makes an empirical analysis of 10 major listed banks based on the panel data from 2004 to 2012. The results are as follows: compared to the large state-owned commercial banks, joint-stock commercial bank do a better performance in short-term stability; the rise of long-term deposits proportion can improve mobility while liquidity gap ratio is positively correlated; high proportion of long-term loans will increase the liquidity gap with a negative correlation; however, the relationship between the bank's return on assets (ROA), as well as net interest margin deposits, loans and the growth rate of GDP and short-term stability is not significant.

Key words: bank short-term stability, the modified liquidity gap ratio, the credit trading, rank of stability, scenario simulation