Research On Impacts Of Interest Rate Liberalization On The Liquidity Risk Of Commercial Banks

Liquidity is the guarantee for normal operation of commercial banks.However,the business model of "Short-term fund supporting long-term funding operation" leads to the existence of liquidity risk.Therefore,commercial banks should value the management of liquidity risk,meanwhile,enhance their abilities of risk management.In recent years,the reform of interest rate liberalization has been accelerated,which has promoted the business transformation and innovation of commercial banks,as well as changing the commercial banks'liquidity risk bearing.Under interest rate liberalization,the volatility of interest rate will increase significantly,which will have an impact not only on the interest rate sensitive businesses such as deposits and loans carried out by commercial banks,but also on the liquidity level of commercial banks.Therefore,this requires commercial banks to make clear the influence that the interest rate liberalization may have on their liquidity risk bearing,which is also the focus of this study.Under the background of interest rate liberalization,the liquidity risk of commercial banks may exists in which businesses?What is the current liquidity risk tolerance capacity of commercial banks,and how should commercial banks choose the appropriate risk management strategies based on their ability to resist liquidity risk?These subjects constitute the main issues that this study is working on.This paper takes a single commercial bank as the research object,selects the semi-annual data of four large-scale state-owned banks and five joint-stock banks with a time period of 2006 to 2016,grasps the current status of commercial banks' liquidity level,and makes a theoretical analysis on the question of how interest rate liberalization affects the liquidity risk of commercial banks through the perspective of market expected and transmission.Then,on the basis of giving a comprehensive measurement of internal and external liquidity risks of commercial banks through VaR method,the dynamic influence of interest rate liberalization on commercial banks' liquidity risk is empirically studied.Besides,by way of grasping the liquidity risk tolerance of commercial banks,this paper also quantifies the liquidity risk loss under the stress scenarios of interest rate liberalization,and put forward some targeted corresponding countermeasures,in order to guide the two types of commercial banks to better deal with liquidity risk under the interest rate liberalization.