Research On The Impact Of The Interbank Market On The Liquidity Risk Of Commercial Banks

Liquidity is one of three major business principles of commercial banks.It is a lever balancing profitability and safety.Maintaining reasonable and appropriate liquidity is the operating strategy of commercial banks,which has significance to the sustainable healthy development of commercial banks.Liquidity risk is the final form of all risks of commercial banks.However,it is always caused by various factors.The paper focuses on discussing the mechanism and the conductive process of the interbank lending market influencing the liquidity of commercial banks.As an important component of the monetary market of China,the interbank lending market ranks top in the whole financial market on transaction scale and transaction frequency.Therefore,its liquidity fluctuation must have an impact on the liquidity of commercial banks,not only guaranteeing the liquidity of commercial banks,but also inducing liquidity risk of commercial banks.In the paper,the object of study is the liquidity risk of commercial banks based on interbank lending market.With flexible application of a wide range of subjects and various methods,the study is developed in the following four aspects: First,define the concept,connotation,features,causes of formation,and measurement methods of the liquidity of commercial banks on the basis of the complete summarization of existing research results;introduce the development history and structural features of the Chinese interbank lending market;put forward an average method combining price and quantity to evaluate the liquidity level of interbank lending market.Second,theoretically illustrate the mechanism how the interbank lending market influences the liquidity of commercial banks;make selective analysis on three conduction ways by which the interbank lending market induces the liquidity risk of commercial banks,namely the term mismatch of funds,the fluctuation of interbank offered rate,and the market risk contagion.Third,take H bank as an example;establish a vector autoregression(VAR)model with monthly data from 2013 to June of 2016;practically prove the significant influence of liquidity fluctuation of the interbank lending market on the liquidity of commercial banks;further testify the theoretical derivation of the interbank lending market inducing the liquidity risk of commercial banks.Fourth,offer suggestions for commercial banks as challenged by complicated risk of interbank lending market,such as reasonably arranging term structure of interbank lending business,preventing interest rate fluctuation of interbank lendingmarket,and establishing a scientific liquidity risk early-warning mechanism.