| In recent years, the domestic academic society has paid increasing attention to the risk management of banks. However, a majority of relevant research has focused on credit risk and the liquidity risk has not been given enough attention. A basic fact is that liquidity risk is one of the main risks faced by commercial banks; liquidity management is one of the most basic yet important activities in commercial banks. As been pointed out by Basel Committee:"measurement and management of liquidity is one of the most critical operations for commercial banks."Therefore, carrying out systematical and in-depth research on liquidity risk of commercial banks no doubt has both theoretical and practical significance.In this paper, the basic idea is from theory to practice, at the same time, combining empirical testing, qualitative analysis and quantitative study. On the one hand, combining with the analysis of the cause on the macro, we identify the influencing factors of liquidity risk of commercial banks, use panel data to make an empirical study of the factors. (1)It is found there is high correlation between the liquidity condition and the assets and liabilities structure. (2) The higher the profitability is, the better the liquidity is. (3) There is not distinctive relation between capital adequacy ratio and the liquidity profile of the bank.Empirical studies shown that even on the direct impact of China's virtual economy, facing with the impact of fluctuations in international markets, the real economy from financial institutions will fall down under the influence of the impact. The main part of the article has been carried out avoiding from the impact of external factors, conditions, expiration of the period to predict the future situation of the mobility; At the same time, we try to analysis of interest rates, exchange rates and the reserve ratio to predict the future of commercial bank liquidity gap under the extreme conditions in the impact model. In the market conditions, studies have shown that large fluctuations, in particular in the reserve ratio and exchange rate changes, can be enormous on commercial bank liquidity risk.Through studies from the domestic commercial banks and the foreign empirical, we draw on the main conclusions of this paper are: At first, banks characterized by"short-long loan-deposit"period are the causes of the liquidity risk. Second, the impact of external market volatility is caused by the external liquidity risk. Third, factors (in the reserve ratio, the exchange rate, interest)for the impact of dynamic pressure test condition, the study shows that the reserve ratio for commercial banks is the largest impact of the mobility, followed by the impact of interest rates, and the exchange rate depends on the impact of foreign exchange business proportion of cases. |
