An Empirical Study On Liquidity Risk Of Banking System From The Perspective Of Macroprudential

The prevention of liquidity risk is a major financial issue for both central Banks and commercial Banks.Liquidity risk,credit risk,interest rate risk and exchange rate risk are listed as the main risks that banks guard against.However,liquidity risks are multi-layered,hidden,contagious and complex,and are easily ignored until the accumulation of systemic financial risks reaches a certain level.The 2008 financial crisis made people realize that: In the case of excess liquidity and the establishment of a relatively perfect micro-prudential supervision system for large financial institutions,the “domino effect” caused by liquidity shock will cause huge losses.Therefore,after the financial crisis,the macro-prudential supervision has attracted the attention of international institutions and governments.As the representatives,Basel ? comprehensively to strengthen the supervision of capital adequacy and liquidity requirements.The CBRC has revised the?Guidance on liquidity risk management of commercial Banks?several times since they were issued in September 2009,and finally started to formally implement the regulations in July 2018?It can be seen that liquidity risk has received unprecedented attention after the financial crisis,and the research on liquidity risk from the perspective of macro-prudential is in line with academic trends and practical needs.It can be seen from the existing articles that the research on liquidity risk is relatively dispersed,and the research combined with the macroprudential perspective is even less.Liquidity can usually be divided into three levels: macro liquidity,bank liquidity and market liquidity.Macro-prudential analysis of systemic financial risk can be divided into time dimension and space dimension.From the perspective of macro-prudential,this paper constructs a multi-level and multi-dimensional research framework of liquidity risk in the banking system.This paper takes China's banking system as the research object,but also focuses on the macro-liquidity and microindividual bank's liquidity regulation behavior,and tries to combine macro-prudential and microprudential research ideas.But its aim is to serve macro-prudential purposes and prevent systemic liquidity risks.The research contents of each part are summarized as follows.The second chapter analyzes the dependency structure between macro liquidity and banking system liquidity.In June 2013,the "money shortage" event attracted people's attention.In the context of adequate macro money supply,commercial Banks experienced a series of liquidity strains and the overnight interbank offered rate soared.What is the enlightenment of this event? Through theoretical analysis and combined with the calculation of Copula model,it can be seen that Chinese commercial Banks have been accustomed to the loose monetary policy,and foreign exchange outstanding funds have a two-way regulating effect on liquidity,which can be verified by statistical data and models.The third and fourth chapters mainly discuss the analysis of time dimension and space dimension of liquidity risk in banking system.In this paper,the stress test method is applied to analyze the time dimension characteristics of liquidity risk in banking system.The liquidity indicators of 19 listed Banks from 2007 to 2017 were used to construct the liquidity index BLI of China's commercial banking system.On this basis,the stress test model between macroeconomic variables and BLI was established by applying the dynamic regression model.The stress test shows that among many macroeconomic variables,GDP,reserve requirement ratio,PPI and quarterly growth of import and export are the main indicators affecting the liquidity level of the banking system.The influence of the above variables on BLI was simulated by sensitivity test.Scenario analysis shows that the short-term severe economic recession has the greatest impact on the liquidity of the banking system.But on the whole,the liquidity of China's banking system is stable,which can be reversed within 3 periods after being impacted.In order to prevent the occurrence of liquidity risks in the banking system in the spatial dimension,it is necessary to control commercial Banks to excessively concentrate important financial resources,such as credit,in a single field.At present,the inter-bank business,real estate industry and local government financing platform are the most noteworthy.The research shows that commercial Banks,real estate industry and local government financing platform are in a state of solidarity,and the adjustment of monetary policy and industrial policy should properly deal with the relationship among the three,to prevent the formation of liquidity shock to cause losses to the economy.Based on data and other reasons,the network relationship formed by Banks and other financial institutions in the spatial dimension is still uncertain.The evaluation of systemically important Banks is an effective tool for regulators to grasp the overall risk.In this paper,the index system of FSB is combined with the entropy method to evaluate the systemically important Banks of China's listed Banks.The combination of macro-prudential and micro-prudential has always been valued.Macroprudential policies can be most effective only when the microeconomic individual influencing mechanism is clearly defined.Commercial Banks bear the policy risks from monetary policy and macro-prudential regulation,and they must weigh between profit maximization and regulatory requirements repeatedly.Their liquidity regulation mechanism under regulatory constraints is an important micro-foundation for formulating macro-prudential regulatory policies.Research shows that the capital buffer of Chinese commercial Banks is counter-cyclical.The influencing factors of "too big to fail" exist objectively.Small Banks are more sensitive to financing costs,while large banks are strict with liquidity management.Liquidity shock has an impact on the next phase of bank credit.At present,China is gradually improving its own macro-prudential management framework and has formed a management system with the central bank as the core.From the international experience of macro-prudential development,the establishment of macro-prudential committee parallel to the central bank is a trend.The new liquidity management tools created by the central bank,such as MLF and SLF,originated from the rescue measures in the financial crisis.The current liquidity management tools are not worthy of praise,which is not conducive to promoting the marketization of interest rates and exchange rates.Macro-prudential policies should be coordinated with monetary,fiscal and industrial policies to avoid any policy interference.