The Research On The Liquidity Risk Of Chinese Commercial Banks On Macro-prudential Framework

Liquidity risk has always been the inherent and fundamental risk of commercial banks.In the global financial crisis of 2008,market liquidity,more than expected deterioration and rapid depletion caused the commercial banks bankruptcy,fully exposed the liquidity of commercial banks risk management deficiencies,making commercial banks liquidity risk become the focus of attention of the academic circles again,and lead to reflection and discussion on the liquidity risk management of financial institutions and regulatory authorities.Since 2008,the Basel Committee(BCBS)has issued a series of guidance documents specifically aimed at liquidity risk management,and introduced a global regulatory standard for liquidity.Worthy of note is that although new regulatory standards of liquidity risk in micro Prudential level to strengthen the single commercial bank liquidity risk management,but some key issues still being ignored on macro Prudential level.On the one hand,the new regulatory standards neglected the impact of macroeconomic vulnerability on the liquidity risk of commercial banks,especially the procyclicality issue of commercial banks liquidity risk.On the other hand,the new regulatory standards play a limited role in managing liquidity risk of commercial banks.In this paper,China's commercial banks as the research object,focusing on the analysis of the relationship between liquidity risk and the macro economy of China's commercial banks,as well as the existence of commercial banking system liquidity risk and its measurement and other issues.Firstly,this paper focuses on summarizing the research results of liquidity risk management and supervision on the micro prudent level since the crisis.The results showed that: first,the rapid development of financial innovation and financial market has made the nature of liquidity risk changed.The dependence of commercial banks on the traditional financing sources of deposits is reduced,and the dependence on the financial market is strengthened.In this process,commercial banks tend to neglect the systemic characteristics of liquidity risk.Secondly,at the micro Prudential level,most liquidity supervision and monitoring indicators(including BCBS proposed LCR and nsfr)in world's commercial banks,still having a wide gap with dynamic monitoring indicators which was perfect and linked to financial markets and macroeconomic fluctuations.In addition,the determination of the minimum liquidity buffer of the bank has not fully considered the impact of macroeconomic vulnerability on the liquidity of commercial banks.In view of this,along with the new norm of Chineseeconomy and the promotion of commercial banks' participation in the financial markets,it is necessary to analysis the liquidity risk of commercial banks from the two dimensions of time and space,in the macro Prudential perspective,.In the time dimension,this paper discusses the relationship between the liquidity risk of commercial banks and the macro economy.Dynamic model is established based on the management structure of representative commercial banks,deposit and loan market,financial market and interbank market were included at present stage of Chinese banking,comparing the impact of macroeconomic changes to different market interest rates,analysis of the liquidity of banking.The results showed that: in the macroeconomic expansion period,the commercial banks' level of liquidity mismatch is declining,in the period of economic contraction,the commercial banks' level of liquidity mismatch is increasing.Based on the theoretical model,this paper further empirically test the relationship between Chinese commercial banks liquidity risk and macroeconomic,we also observed the macroeconomic fluctuation which may have asymmetric effect and heterogeneous effect on liquidity risk.It is show that in Chinese commercial banks liquidity risk significantly exists procyclical characteristics;economic downturn will have a more significant effect on commercial banks;listed or not,the level and size of capital adequacy ratio will weaken the commercial bank procyclicality and the promotion of leverage will increase liquidity risk.In the dimension of space,this paper focuses on the liquidity risk of Chinese commercial banking system.From the perspective of "group effect",the existence of liquidity risk of commercial banks in China is tested by two methods: the index analysis and the econometric model.Empirical results show that: liquidity risk of commercial banks in China significantly exist in the form of "group effect",mainly manifesting in the consistent behavior when they choose liquidity risk preference.Through further analysis,it is found that the same group effect is more significant in the urban commercial banks and rural financial institutions.On this basis,this paper measures the size of the liquidity risk of China's commercial banking system.Referring to the foreign research results,the system liquidity risk is defined as the conditional probability of the overall liquidity surplus of the banking system,which is lower than a certain critical value.Through the construction of banking system liquidity mismatch index to measure the banking system overall liquidity surplus,using independent component analysis(ICA)to expand the sample size of the index,to simulate the distribution function of the banking system liquidity mismatch index,and accordingly calculate conditional probability of the system liquidity risk in a liquidity mismatch level.The empirical results show that the current China's banking system liquidity risk increased in recent years,the overall risk can be controlled,but can not be neglected.According to the conclusion of the whole research,this paper puts forward the corresponding policy recommendations from the micro level.First,under the new economic norm,a single commercial bank should pay close attention to the macroeconomic situation,and establish liquidity buffer mechanism of counter-cycle;the second,a single commercial banks should pay more attention to the influence of market liquidity on bank liquidity,in liquidity risk stress testing,give full considerations to the more than expected changes in the market liquidity and other factors,establish a dynamic liquidity risk measurement index system;third,optimize structure and duration of commercial bank assets and liabilities.