Analysis And Countermeasures Of Commercial Banks' Liquidity Risk From Macro-prudential Perspective

The International financial crisis from 2008 reveals that the micro prudential supervision is difficult to effectively deal with the procyclical effect and contagion effect of liquidity risk. Liquidity risk is amplified with fluctuations in the economic cycle, which would threaten the stability of the entire financial system. Macro prudential supervision uses two angles of time dimension and cross section dimension to prevent systemic risk, which can effectively compensate for the lack of micro prudential supervision for containing the stability of the entire financial system. To provide the basis for the of control liquidity risk, the paper discerns the procyclicality and infectious of liquidity risk from the macro-prudential perspective, and further evaluates of the existing macro measures to ease the liquidity risk of procyclicality and infectious effect. In order to make up for the deficiency of control measures, this paper puts forward the countermeasures of the liquidity risk under the macro prudential and micro prudential coordination control.According the “Measures for the Liquidity Risk Management of Commercial Banks(for Trial Implementation)”, the paper constructs a liquidity risk index by principal component analysis of mismatch of assets and liabili ty, stability and capability of funding, liquidity reserve and credit risk. And then, it constructs a panel model to measure the procyclicality of liquidity risk and to test the asymmetric infect of cycle. The results show that state-owned commercial banks' liquidity risk is not significant procyclical and other banks' risk is opposite.Because of macro-prudential supervision focuses on the contagion effect of inter-bank liquidity risk, the paper measures the contagion effect between the 16 listed banks in China by adopting the network analysis method which combined with the improved liquidity gap index. According to the simulation, the “trouble” bank hardly trigged the contagion effect without the payment pressure of credit commitments. On the contrary, the contagion effect would significantly increase. The results mean that if there is not too much liquidity needs from the off-balance-sheet, liquidity risk will be controllable; but if the liquidity needs explosion, it is more likely that the liquidity risk turns into systemic risk.In order to effectively control liquidity risk, a model that is used to dynamically measure the effect of the countermeasures of the liquidity risk to 16 listed commercial banks has been constructed. The empirical results show tha t macro prudential supervision policy and monetary policy can effectively release the overall liquidity risk of banks in the reverse cycle; Macro prudential supervision policy can control the liquidity risk of commercial banks more effectively than the mon etary policy, especially in dealing with contagion risk; The effect of monetary policy on the liquidity risk of the state-owned commercial banks is more significant than that of the non- state- owned commercial banks.At last, some advices are offered for regulators and commercial banks to ease procyclicality and infectious effect of liquidity risk.