A Research On Liquidity Risk Of Commercial Banks Based On Shanghai Interbank Offered Overnight Rate

Leveraging is one of the main features of modern economic development.With the level of leverage increasing,the liquidity problem has gradually become in the core of risk management,instead of credit problem.Whether for profitability or security,commercial banks need to be more rigorous in theoretical innovation and quantitative management in terms of liquidity risk.This paper focus on set the commercial banks’ individual liquidity risk and systemic liquidity risk in the same framework to analyze the liquidity risk of commercial banks.The first is the theoretical research and analysis of the liquidity risk measurement indicator based on Shibor,followed by the theoretical analysis of the systemic liquidity risk of commercial bank and the influence factors of it,aiming at to make up for deficiency of China’s systemic liquidity Risk research;again,analyzing the banks’ individual liquidity risk according to the Basel agreement’s new regulatory indicators for the liquidity risk management;Finally,I use panel data regression model,filled with Shibor-based liquidity risk measurement indicators,to set both individual liquidity risk influence factors and systemic liquidity risk influence factors into the same model for empirical analysis,then draw the conclusion and propose my proposal.Through theoretical analysis and empirical analysis,this paper concludes that systemic liquidity risk is the main liquidity risk of China’s commercial banks.RMB exchange rate and leverage of macroeconomy have a great influence on the liquidity risk of commercial banks.At the same time,the capital adequacy ratio and the financing structure of commercial banks have a significant impact on liquidity risk.Through the further study of different types of banks,it is found that the financing structure of state-owned banks has no significant effect on its liquidity risk,while the financing structure of joint-stock banks has a significant effect on liquidity risk.Based on the empirical analysis,this paper also finds that although the capital adequacy ratio is not a regulatory indicator of liquidity risk,it still plays an important role in avoiding the liquidity risk.