Analysis Of The Influence Of Credit Risk On Liquidity Risk Of Commercial Banks In China

The global financial crisis in 2008 and the "money shortage" in June 2013 in China both have highlighted the importance of commercial bank liquidity.Basel ?has defined the importance of liquidity risk management;“Measures for the management of liquidity risk of commercial Banks” released by China in 2018 has improved the measurement methods and index system of liquidity risk management.Credit risk is one of the main risks of the asset side of commercial banks,which is directly related to the bank's daily business and risk management level,and then affects the liquidity risk.Therefore,the research on the influence mechanism of credit risk on liquidity risk of China's commercial banks has great significance to effectively control the liquidity risk of commercial banks and maintain the safety and stability of China's financial system.This paper takes 161 commercial banks in China from 2011 to 2017 as research samples,the liquidity ratio is as explained variable,non-performing loan ratio and excess loans as explanatory variables,respectively as the liquidity risk,credit risk and excessive lending index,and explores the impact of different types of commercial bank credit risk on liquidity risk mechanism.We find that,from the perspective of commercial banks as a whole,the liquidity ratio has a U-shaped relationship with the excess loan ratio in the current period,which reflects excessive loan lending can affect banks' liquidity risk.The liquidity ratio has a U-shaped relationship with the non-performing loan ratio in the previous period,which verifies the "liquidity spiral" and "liquidity trade-off" hypothesis.The multiplication of the non-performing loan ratio in the previous period and the excess loan ratio in the current period also affects the liquidity ratio,leading to the early adoption of active liquidity management strategies by banks.From the perspective of different types of commercial banks,liquidity risk has nothing to do with the credit risk in large commercial banks,credit risk has a U-shaped influence on liquidity risk in joint-stock commercial banks,credit risk and the excessive loans exist crossly affect liquidity risk in city commercial banks and rural commercial banks.According to the empirical results,the author proposes to make joint efforts from the internal control and supervision departments of banks to effectively control the liquidity risk of commercial banks.In terms of internal control,commercial banks should improve the quality of loans and control loan risk,pay attention to the cross-effect,timely balance liquidity and improve the liquidity risk management system to raise liquidity levels and prevent liquidity risks.Regulators should ensure the sound operation of the money market and strictly monitor financial risks,promptly guard and defuse financial risks and avoid systemic financial risks.In this paper,considering the tendency of excess loan in banking practice,the influence mechanism of credit risk on liquidity risk is studied from the perspective of excessive loan.In the empirical analysis,the multiple term of excessive loan and credit risk is added as the explanatory variable,and the robust regression result is obtained.This is the main innovation point of this paper.