An Empirical Analysis Of The Impact Of Interbank Business On The Liquidity Risk Of Commercial Banks

In April 2017,the ‘Guiding Opinions on Banking Risk Prevention and Control Work' issued by the China Banking Regulatory Commission clarified that liquidity risk is one of the ten key areas of bank risk prevention and control,not only to improve existing liquidity risk management.The framework also incorporates interbank business into liquidity risk monitoring.Since 2010,the inter-bank business has gradually emerged in China,and it has been rapidly favored by commercial banks.From the beginning of the financing and liquidity adjustment tools,it has become a tool for regulatory arbitrage with maturity mismatch and high leverage.In recent years,the department has also continuously strengthened supervision over its peer business.In this context,it is of great significance to study the effect of inter-bank business on the liquidity risk of commercial banks,and to strengthen the liquidity risk management of commercial banks in China and promote the healthy development of inter-bank business.This paper systematically studies the impact of interbank business on the liquidity risk of commercial banks.Firstly,by reviewing the literature of interbank business and liquidity risk theory,it analyses the theoretical basis of interbank business and liquidity risk of commercial banks.Secondly,using the data of interbank business of 16 listed commercial banks in China from2008 to 2017,it introduces the development status of interbank business of commercial banks.Then,based on the data of 31 listed banks from 2008 to 2017,an empirical study was carried out.First,the principal component analysis was used to measure the liquidity risk of commercial banks scientifically,in order to make up for the shortage of the existing single liquidity index to describe liquidity risk,and then the panel data model was used to analyze the liquidity risk.Finally,the 31 listed commercial banks are divided into state-owned banks,joint-stock banks and city commercial banks according to their nature,and the empirical analysis of different types of commercial banks is carried out.The results show that: First,the increase in the scale of commercial banks' inter-bank asset business and liability business will increase liquidity risk.Second,the effects of interbank assets and liabilities of different commercial banks on liquidity risk are different: the scale of interbank assets of state-owned commercial banks and urban commercial banks has no significant impact on liquidity risk,while the scale of interbank liabilities Tyfz has liquidity risks.Significant positive impact;Tyzc,the inter-bank asset size of joint-stock commercial banks,has a significant positive impact on liquidity risk,while the interbank debt scale Tyfz has a U-shaped relationship with liquidity risk and a threshold of 28%.Finally,this paper proposes targeted policy recommendations based on empirical conclusions:for commercial banks,they should reasonably carry out inter-bank business and appropriately innovate;for regulators,they can set different upper-bank business ratio ceilings for different types of commercial banks,and Establish and improve the liquidity supervision index system,and at the same time strengthen the macro-prudential supervision of commercial bank risks.