| In the global financial crisis that erupted in 2008,liquidity risks became more and more obvious,exposing the lack of awareness of bank liquidity risks and regulatory loopholes.Therefore,the Basel Committee(BCBS)has actively carried out reforms in liquidity supervision,established a comprehensive framework for banks' liquidity management,and formally proposed two liquidity quantitative supervision indicators in 2010: the liquidity coverage ratio(LCR)and the net stable funding ratio(NSFR).As a member of the Basel Committee,China also actively promotes Basel ?'s liquidity supervision process.In 2015,LCR was included in the liquidity supervision indicators and NSFR will be implemented in March 2018.In this paper,we take NSFR as the research perspective,analyzes the potential relationship between bank financing risk and its risk-taking behavior,and the impact of new liquidity supervision on bank risk-taking.The analysis of bank liquidity and risk exposure tell that China's commercial banks are more liquid.Most large and medium-sized banks are able to resist the severe impact of liquidity shocks,but from loan-to-deposit ratio and RMB excess reserve ratio,they still have certain risks of liquidity risk;as for maturity mismatches,the phenomenon of borrowing short and lending long is still significant,and there are more serious mismatches.Bank's overall risk exposure has increased in recent years,but credit risk represented by nonperforming loan ratio is still high.Then we establish a depository model,and find that banks will choose to hold more risk assets when they are faced with a decrease in financing liquidity risk,thereby increasing their risk exposure.However,NSFR regulation can inhibit banks' behavior and thus increase their stability to some extent.In the empirical part,we use the unbalanced panel data of 53 commercial banks from 2007 to 2016,the dynamic panel GMM estimation method to verify the above conclusions and further find that the inhibitory effect of NSFR on bank risk-taking is more pronounced for regional commercial banks.Finally,by combining the current status of liquidity risk and risk-taking in China's commercial banks as well as the theoretical and empirical research results,to improve the liquidity supervision,we propose to introduce NSFR as soon as possible and to formulate index conversion rates in light of China's actual situation.We must fully consider the time and space factors When setting the regulatory standards,strengthen the information disclosure and coordination between NSFR and the existing regulatory indicators.To improve the liquidity management of commercial banks,we propose to optimize the structure of deposits and loans,enhance the awareness of risk management,and promote the construction of liquidity risk early warning systems.These suggestions will help commercial banks reduce liquidity risks and promote their sound operations. |
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