Research On The Impact Of Macro-prudential Supervision On The Liquidity Of My Country's Commercial Banks

The financial crisis makes a large number of banks face serious liquidity risk,exposing the defects of liquidity risk supervision of commercial banks in various countries: it is difficult to ensure the security and stability of the overall liquidity of commercial banks only through micro-prudential supervision,and commercial banks should pay attention to the macro-prudential supervision of the risk exposure of the whole financial system.In view of this,this paper examines the deficiency of liquidity supervision of commercial banks in China through the perspective of macroscopic prudential supervision,and explores how to better control liquidity risk through macroprudential supervision policies.By combing the relevant literatures at home and abroad,this paper first makes a theoretical analysis of the liquidity risk management of commercial banks from the perspective of macroscopic prudence,then analyzes the current situation of liquidity risk supervision of commercial banks in China,and finds that there are still structural pressures on liquidity risk under micro-prudential supervision,and the control of liquidity risk needs macroscopic prudential supervision.Based on this,this paper selects the stability and efficiency as the index selection criterion of the macroscopic prudential supervision effect by using the practice of the relevant researcher,makes the capital adequacy ratio as the stability measure,selects the credit/GDP as the efficiency Measurement index,chooses the liquidity ratio as the agent variable of the liquidity risk,The construction of VAR empirical model proves that the increase of macroscopic prudential stability and the improvement of efficiency are conducive to the decline of liquidity risk level,and macroprudential supervision has a significant positive correlation with liquidity,on the basis of which the TVP-VAR empirical model is constructed to analyze the relationship between variables at different points in timing and in different lead periods.The empirical results show that the regulatory effect of macroprudential regulation on liquidity risk is positive and more effective since its implementation,and the regulation of liquidity risk by macroprudential policy is smooth and mature.