| The U.S. subprime mortgage crisis has made commercial banks all over the world recognized the importance of bank liquidity once again. The control of liquidity risk of banks has been in the limelight again. According to the definition of the CBRC, commercial banks liquidity risk means"the risk of lack of liquidity or cannot get sufficient liquidity at reasonable cost to meet the needs of asset growth or debt payments". The reason of why commercial bank liquidity risk should be paid more attention could be summarized into three aspects. First of all, the funds of commercial bank are mostly from the bank deposits and loans. The bank must be able to meet the needs of customers'extraction of deposits and return of bank loans at any time. Commercial banks should maintain a certain liquidity to meet these funding requirements by selling assets at a necessary time. Secondly, as long as the commercial banks develops, there will be more and more off-balance sheet business, and the risk of these business will eventually shown as the form of liquidity risk. Finally, the liquidity of commercial banks will be affected by the macroeconomic. With the change in the macroeconomic environment the price of assets will fluctuate, the price of asset will affect the realization of assets and the loss rate, thereby affecting the liquidity of commercial banks. Therefore, the study of the measurements of commercial bank's liquidity risk is significantly important.At the beginning, this paper discussed the factors that affect the liquidity risk of commercial bank. These factors are divided into internal factors and external factors. The internal factors are mainly represented by the operating conditions inside commercial banks, including the asset structure, capital quality and operation quality etc. External factors including the macroeconomic condition, the central bank's monetary policy, the changes of interest rate, financial market development and so on. Then, introduce the static indicators and dynamic measurement methods used in this paper. Static indicators reflect the state of bank liquidity at a certain time, using the relations between the balance sheet items to measure the liquidity of commercial banks. Dynamic measurement methods are focused on the potential needs of commercial bank liquidity and the ability to fulfill these needs, so it relates the off-balance sheet business. At last, this paper analyzed the differences among the three types of commercial banks in China by using deposit growth rate, loan growth rate and the ratio of deposit to loan.In order to measure the risk of commercial bank liquidity, this paper selected liquid assets and short-term debt ratio as the indicators, take the return on average assets (ROAA), return on average equity (ROAE), ratio of equity to total assets, gap between deposit and lending interest rate and quasi-money growth as the explanatory variables, using a panel data fixed effects model analyzed the liquidity risk of 27 commercial banks from different types, drew out the solution that banking system's capital quality profitability and liquidity are significantly positive correlate, while the gap between deposit and lending interest rate and bank liquidity are negative correlate. Then using a quantile regression model analyzed the liquidity risk in banking system, under the condition of extreme lack of liquidity, the return on average assets (ROAA) and ratio of equity to total assets are significant negative correlate to bank liquidity. Finally, use the quantile regression on the state-owned and joint-stock banks and city commercial banks respectively, and analyzed the difference through the empirical results. |
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