| Liquidity risk isone of the main risksfor commercial banks.The Subprime Mortgage Crisis in 2008 deeply exposed the disastrous consequences of liquidity risk.After the crisis,the imbalance of macroeconomic policies and the absence of financial supervision have attractedtheconsideration.How to effectively prevent liquidity risk has also become the focus of banking industry in the world.Chinese governmenthas also responded positively.In recent years,whether the report of the19 th CPC National Congress or the government work report in 2021,preventing and resolving systemic financial risks and firmly holding the bottom line of not having systemic financial risks have been placed in an important position in China.In this context,it is particularly important for commercial banks to maintain sufficient liquidity and achieve stable profit growth to better serve the economic development through effective liquidity risk management.Based on the theoretical origin,risk management is the cornerstone of liquidity risk management of commercial banks.The classical theory of risk management emphasizes appropriate management strategies and management tools are the important ways to realize the aim of risk control.The application and embodiment of this theory in the liquidity risk management involves the formulation,implementation and evaluation of a complete set of management plans,including not only the identification and measurement of risks,but also the supervision and control of risks.However,existing literature mainly focused on one segment and ignored the discussion of the whole process of liquidity risk management.In view of this,this paper studies the formation mechanism,measurement and evaluation,stress test and supervision efficiency of liquidity risk and put forward targeted suggestions to optimize and improve the liquidity risk management of Chinese commercial banks.According to the existing literature and the differences in liquidity risk management among different countries,this paper first examines the formation model and inner relationship of liquidity risk for commercial banks in Chinatheoretically and empirically.Based on the improved model of Diamond &Dybvig(1983)and Cifuenteset al.(2005),the findingsindicate that the shortage of liquidity will accelerate the liquidity risk,which will result of the increase of liquidity risk.Meanwhile,the sale of assets without demand elasticity by banks will cause the fall of asset price if the bank has liquidity shortage,which aggravates the market liquidity risk.Moreover,by selecting the daily data from October 9,2006 to December 31,2020,the empirical test based on DCC-GARCH model shows that there is a very significant spiral evolution trend between market liquidity and financing liquidity.Secondly,combined with the cross-sectional data from 2007 to 2020,this paper uses the Principal Component Analysis and liquidity mismatch index to measure the liquidity risk.The result shows there is no intrinsicdivergence between the two methods,which also confirms the effectiveness of the two measurement methods.On this basis,this paper uses the panel data of 32 banks from 2012 to 2020 to test determinants of liquidity risk.The findings illustrate that the higher of the loan provision rate,the GDP growth rate and the ratio of M2 to GDP,the lower the liquidity risk faced by commercial banks.If the deposit loan rate,the payof gross assets and the growth rate of fixed asset investment are high,then the the liquidity risk faced by commercial banks is also high.The above conclusions remain unchanged after the robustness test.Next,using the quarterly data of 14 commercial banks from 2013 to 2020,the paper selects the relevant stress factors from economic development,financial market and international market,and performs stress test of the liquidity risk for Chinese commercial banks.The sensitivity analysis based on Vector Auto-Regressive model and the function of impulse responseindicates,the stress factors have a significant impact on the liquidity risk of Chinese banking system.Different scenario analysis results also imply that the impact caused by the short-term economic slowdown will affect the liquidity risk of the banking system,but the impact caused by the introduction of counter cyclical monetary policy and the obstruction of international trade hasnoeffect on liquidity risk.Finally,combined with the double-edged sword effect of liquidity supervision,the paper establishes a mathematical model to analyze the relationship between liquidity supervision and liquidity risk,and compares the risk of bank bankruptcy in the absence of supervision and the presence of supervision.It indicates that stricter supersivion has a positive inpact on the mitigation of liquidity risk of commercial banks,which also explains the positive significance of liquidity regulation of commercial banks.In addition,this paper also performances atestempirically fortheefficiency of liquidity regulation from the macro and micro levels.The positive test at the macro level is based on a co-integration model.Using the data from the first quarter of 2011 to the fourth quarter of 2020,it is found that macro prudential supervision helps to manage the liquidity risk.While the micro empirical test based on the panel data formed by 30 commercial banks from 2012 to 2020 shows that,both capital adequacy ratio regulation and net stable capital ratio regulation contribute to the reduction of liquidity risk of commercial banks.In brief,according to the different contents of liquidity risk management,the dissertation not only tests the mechanism andrelationship of liquidity risk theoretically and empirically by distinguishing different liquidity,alsoexamines the effectiveness of liquidity supervision based on the double-edged sword effect.In terms of the content,the dissertation realizes the transformation of liquidity risk management from single factor discussion to generalinvestigation.It forms a complete liquidity risk management framework and expands the foresight of liquidity risk management,which provides a useful reference for the commercial banks and supervising authorities in China.In brief,according to theoretical analysis and empirical research,the main contributions of this paper are as follows:(1)this paper discusses the whole process of liquidity risk management and breaks through the previous paradigm of which only consider a single element of the liquidity resk management;(2)It identifies the formation mechanism of liquidity risk,which provides empirical evidence to understand the conversion modes of different liquidity risk and the infection channels of liquidity crisis;(3)Starting from the “double-edged sword”effect,this paper evaluates the effectiveness of liquidity supervision the oretically and tests the implementation effect of supervision policy at the macro and micro levels,which provides positive evidence for enhancing the effectiveness and foresight of supervision policy. |
