A Study On The Liquidity Risk Regulation And Supervision Of Chinese Commercial Banks

The commercial banks must always pay more attention to the liquidity risk.The liquidity risk will not only lead to operating difficulties,but also a huge negative impact on the financial system and the real economy.In practice,because there are many factors promoting liquidity risk,it is difficult to accurately capture the liquidity risk,so the difficulty of liquidity risk regulation and supervision also increased.During the financial crisis,many banks which have adequate capital and well-functioning risk management system also face liquidity crisis,and the global banking industry suffered huge losses.It also exposed the global liquidity risk supervision system has many loopholes.Since then,the national regulatory authorities and scholars began to reflect on and explore the original liquidity risk supervision system,and gradually promote the global reform of liquidity risk regulation and supervision.Based on lessons learned in the crisis,the Basel Committee first proposed two military uniform,independent and quantitative liquidity risk regulatory indicators:the liquidity coverage ratio and the net stable funding ratio.After that,including our country,the Basel Committee Member States began to introduce the Basel III liquidity risk regulatory indicators.At present,the global economy is in a deep adjustment period,China's economy has entered a "new normal".The rapid development of interest rate market,internet finance and other have also put forward new challenges to commercial banks' liquidity management.Therefore,after the implementation of the Basel ? liquidity risk regulatory indicators,whether China 's commercial banks' Basel ? liquidity risk regulatory indicators is up to the standard?Whether the new regulatory indicators show a new feature about the commercial banks' liquidity risk in China that the original indicators don't reflect?At the same time,in the new macro economic environment,how the new regulatory indicators will affect the credit supply,profitability and capital adequacy level of China's commercial banks.These problems will be the concern of this paper.The study on these problems has important theoretical value and practical significance.For the commercial banks,the study can help them to better deal with the new regulatory environment and enhance the international competitiveness.For regulatory authorities,it can help them to more effectively implement supervision of liquidity risk,and improve China's financial stability.Based on the theoretical analysis of the commercial banks' liquidity risk supervision,this paper gave a review and analysis of the new situation that the global banking liquidity risk regulation and supervision is facing before and after the 2008 financial crisis,and the reforms of liquidity risk supervision that authorities has practiced.Especially,the paper summarized the liquidity supervision pressure for China's commercial banks in the new normal period and the reforms of the liquidity risk regulatory framework by China 's regulatory authority.The paper thinks that the rules of liquidity risk supervision in Basel III will be the global liquidity risk regulatory guidelines.Although the two regulatory indicators created is based on the experience of developed countries,but it is necessary to carry on the digestion and absorption,and improve the liquidity risk regulation and supervision.Secondly,the measure of China's commercial banks' Basel III liquidity risk regulatory indicators shows that China's commercial banks' LCR and NSFR remain high and the probability of extreme short-term liquidity risk and term conversion risk is small.Some banks'LCR and NSFR is not stable,the need to focus on monitoring.But in regard to the classification,the details of the two indicators are relatively different.The measure of the liquidity coverage ratio shows that:local commercial bank's short-term liquidity risk is low;small and medium-sized banks' high-quality liquid assets are cash,central bank deposits and loans accounted for absolute position;small and medium-sized banks' cash outflow project mainly concentrated in the inter-bank deposits.And the measure of the net stable funding ratio shows that:the maturity transformation risk of state-owned banks is lower;the source of funding for local commercial banks concentrated on customer deposits and equity,and the source of funds is single;small and medium-sized banks' net loans are relatively low,and capital flows more diverse.Thirdly,this paper empirically analyzes the effectiveness of the three regulatory indicators based on the panel model.Among them,the effectiveness of the net stable funding ratio in China is high,and the effectiveness of liquidity ratio and liquidity coverage ratio is weak.With regard to classification of the bank,the liquidity ratio of the state-owned banks will be more effective,and the regulatory effectiveness of joint-stock banks and local banks will be relatively low.The liquidity coverage ratio of state-owned banks and local banks is more effective,and the net stable funding ratio will be more effective for joint-stock banks and local banks.Finally,from the perspective of bank's credit supply,profitability,capital adequacy level and so on,this paper analyzes the influence of the liquidity coverage ratio and the net stable funding ratio through the panel model.On the bank's credit supply,in the face of tight monetary policy,if the two ratios are lower,the loans decreased more;if the two ratios are higher,the loans decreased less,and vice versa.On the bank's profitability,the two ratios will weaken China's commercial bank's profitability,but the net stable funding ratio has weaker effects.On the banks,capital adequacy level,the implementation of the liquidity coverage ratio is not conducive to increase banks' capital adequacy level,and the implementation of the net stable funding ratio can effectively promote banks' capital adequacy level.