| Currency crisis which occurred in 2013 highlights that the commercial bank liquidity risk management is insufficient. It also reflects the shortcomings of our country’s financial regulatory framework. Similar situation appeared in the US Subprime Crisis in 2008, bank’s imbalance of liquidity created triggered a global financial tsunami. The practice has proved that the liquidity risk is the direct cause of bank failures induced excess liquidity and shortages between Banks will be reversed in a short time, and spread to the entire capital market. In research of the relationship between bank liquidity creation, liquidity risk and banks’ capital is advantageous for commercial banks to improve the liquidity risk management system. It’s also provides a new perspective and theoretical supportance for regulators authorities to balance the problem between liquidity and capital adequacy of financial stability.According to the theories of commercial bank’assets and liabilities time transformation and vulnerability of financing, This article draw lessons from Berger and Bouwman (2009) to build the liquidity creation method of measurement, We measures 65 different types of commercial banks’liquidity creation in China, and do a regression analysis between liquidity creation and capital buffers, LDR, nonperforming loans, scale of Banks and ROA. And we get the following conclusion:(1) From 2005 to 2013, China’s commercial Banks’liquidity creation showed a trend of greater volatility. Liquidity creation during the Financial Crisis in 2008 is in a stable, and some city comercial banks’liquidity created fell. Commercial Banks create liquidity through off-balance-sheet activities are increasing gradually. State-owned Banks create liquidity through "catfat" and "cat nonfat" is accounted for the absolute amount, but showed a trend of decreasing year by year. The joint-stock banks and city banks have created liquidity ratio of the total sample bank liquidity to create increasing year by year.(2) Liquidity creation and banks’ liquidity risk was significantly positive phase relations, the source of money shortage is resources mismatch, it will lead commercial banks reluctant to lend money to corporate. The reduction of LDR and asset liquidity creation reflect a shortage of liquidity in China. (3) Bank capital buffers are negatively related with liquidity creation, which meet the "Financial fragility Monetary crowd Effect". Because of imperfect financial market and investors do not have a high level of segmentation, equity investment on deposits extrusion is obvious. So it will reduce liquidity creation as to improve the level of capital. China’s state-owned Banks, joint-stock Banks and city firms prefer to "Financial fragility-Monetary crowd Effect". (4) Liquidity creation of Chinese joint-stock Banks and City commercial Banks is pro-cyclical, that is when the economy is in a row, forward-looking banks will prevent the liquidity risk and reduce the liquidity creation. And due to the implicit insurance and extensive business, state-owned Banks liquidity prepare to create more during economic boom.This paper suggest that regulators enhance transparency of market information, establish a good financial order to reduce the spread of the liquidity panic. Regulatory authorities should impose heavy fines on the financial institutions that in the liquidity risk caused by the irregularities. We suggest that the State-owned Banks should attach importance to liquidity risk. And must strengthen the Liquidity Creation of assets and liabilities especially off-balance sheet at the same time for gain more profits. Banks have to match the quality of the assets and liabilities and reasonable structure, strengthen the risk of financial innovation test, and improve the control ability of the liquidity risk of commercial Banks. Pay attention to the scientific use of regulatory index. We suggest regulators setting different regulatory capital standards for different types of commercial Banks. |
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