A Research On The Influence Of Monetary Policy Stance On Commercial Banks Liquidity Risk In China

Banking plays a fundamental role in the finance system. The development of the national economy is closely related to the stable operation of commercial banks. Since the sub-prime mortgage crisis of America in 2008, liquidity risk has become one of the most important financial risks which is concerned by scholars and practitioners. In China, Central Bank influences national economy by releasing and recovering liquidity and for the banks, as the direct participator of national economy, their liquidity is influenced by the monetary policy profoundly. Therefore, the study of the monetary policy stance how to influence the liquidity risk of commercial banks has certain practical significance.First, this thesis expounds the connotation of the liquidity risk and monetary policy stance and the internal relations between them, then put forward three hypothesis: the change of monetary policy stance will influence the liquidity risk of commercial banks or not; how will banks with different management on liquidity risk perform when they are in face of the change of monetary policy stance; the gap among liquidity risk of commercial banks in different types is increasing or decreasing. Secondly, make a comparison on the evaluate method for liquidity risk.Then make analysis on twelve commercial banks during twelve years with the method of timing of global principal components analysis. Then conducting empirical analysis on those three hypothesis by fixed effects regression model、Panel quantile model and Unit Root Test. Research shows that the influence on liquidity risk in an easy monetary policy is less than that in a tight monetary policy; banks with inferior management on liquidity risk are more affected by the change of monetary policy stance; the gap between liquidity risk of joint-stock bank and state-owned bank is shrinking year by year.On the basis of empirical analysis, this paper put forward the corresponding suggestion to the commercial bank that how to control liquidity risk in response to changes of monetary policy stance from the perspective of macro and micro. From the perspective of macro policy, the central bank needs to takes account of financialstability and prevent the situation that too loose or tight; use the monetary policy flexibly to stabilize the market liquidity and achieve the goal of neutral monetary policy; promote the establishment of the deposit insurance system and interest rate market in order to reduce the impact of monetary policy. From the perspective of the bank, the commercial banks need to improve the liquidity risk management ability and establish the liquidity risk assessment system to response the change of monetary policy; establish the bank liquidity risk early warning and the emergency mechanism under different monetary policy stance...