| The explosion of financial crisis in 2008 reminded the global financial institutions of the damages caused by liquidity risks, the supervision of liquidity risks has come to a new level. Under this background, Basel III has published. Two new index, LCR and NSFR, have matched to the short term and medium, long term capital mobility of financial institutions, which proposed new requirement for supervision of liquidity risks. China financial supervision authority has proposed four supervision tools, named as “China Basel III”, to encounter liquidity risks under new situation and national conditions. The purpose is to follow the inte rnational standard and strengthen liquidity risks management of China's monetary.This paper investigated four big state-owned banks and seven joint-stock banks, selected loan-to-deposit ratio in liquidity risks supervision index as dependent variable to measure the liquidity, and selected deposit ratio, loan ratio, excess deposit reserve ratio, bad loan ratio, inter-bank offered ratio as independent variable to build panel data fixed effect model. After the regression equation of state-owned banks and joint-stock banks has been worked out, pressure test of two kinds of banks has been done respectively according to pressure test scene set up in advance. This paper concluded that the loading capacity of liquidity risks of big state-owned banks is higher than joint-stock commercial banks, only under heavy pressure will the big state-owned banks encounter severe liquidity risks.According to the result of pressure test, this paper proposed suggestions from four perspectives, including continuously improve financ ial supervision regulations, learn foreign experiences, expand bank funds resources based on own features and transform from relying on deposit into absorbing funds comprehensively. Also, a sound economic data of commercial banks should be built, a leading position should be situated in the age of big data, pressure test should be promoted, etc. |
PDF Full Text Request