Research On The Pro-Cyclicality Of Market Liquidity Risk In Chinese Commercial Bank

The financial crisis in 2008 has led the deterioration of market liquidity and the bankruptcy of commercial banks.It has fully reflected the serious problems of liquidity risk management in commercial banks.The occurrence of this phenomenon has triggered extensive discussions in academic and concentration from political apartment.Therefore,the Basel Committee introduced a lot of standards for liquidity risk to enhance commercial banks' management of liquidity risk.We can find that the regulatory indicators have enhanced the liquidity risk management capabilities of commercial banks at the micro-level,but they have ignored macro-level issues.The newly introduced regulatory standards have neglected the role of macroeconomic fluctuations in liquidity risk which is the issue about pro-cyclical of commercial bank liquidity risk.The main objection of this article is Chinese commercial bank.Meantime,the paper has tested whether the liquidity risk of Chinese commercial banks has pro-cyclical characteristics.This paper selects the data of Chinese commercial banks from 2003 to 2016,and make use of the system GMM method to study the pro-cyclicality of Chinese commercial banks empirically.The conclusion is that the liquidity risk of Chinese commercial banks is characterized by pro-cyclicality.When the economy is in an upwards phase,the liquidity mismatch index of commercial banks declines,and the liquidity risk is rising.When the economy is in a down phase,the liquidity mismatch index increases,liquidity risk is decreasing.Then,this article further tests the feature of the pro-cyclicality of liquidity risk in Chinese commercial banks.The results show that the pro-cyclicality of liquidity risk in Chinese commercial banks is characterized by asymmetry.When the economy is in the downturn phase,the impact of macroeconomics on liquidity risk is significantly stronger than that of economic upturns.Finally,this paper examines the pro-cyclical heterogeneity of liquidity risk in commercial banks.The study found that the increase in the capital adequacy ratio and scale of commercial banks can effectively mitigate the pro-cyclical characteristics of liquidity risk;and the increase in bank leverage will enhance the pro-cyclical characteristics of liquidity risk.