| Liquidity,profitability and security are known as the "triple principles" of commercial banks.However,the importance of liquidity has been neglected for a long time until the financial crisis in 2008.A lot of banks went broke even those with high capital adequacy ratio.This is when basel commission started to really pay attention to the destructive effect of liquidity crisis,and introduced liqudity covered ratio(LCR)and net stable funding ratio(NSFR)to the world's banking system.In China,the economic environment has greatly changed and the Banks are facing new liquidity threat.The cost of fund has been more expansive than ever given the cheap deposits are harder to get and inter-bank money are taking more significance with high cost.Meanwhile,in order to cover the interest-bearing liabilities,banks are forced to raise their risk preference and invest in long and high-volatility assets.What's more,the off-sheet business keep growing as lack of proper supervision and regulation.The old system of liqudity indicators like liquidity ratio(LR)and deposit-to-loan ratio(DTL)have been obsolete and cannot thoroughly evaluate the risk profile of banks.China as one of the member of basel commission brought a new set of indicators in China in 2013.This article is aimed to find out the the effectiveness and influence of LCR and NSFR in China.Empirical research of Chinese Banks from 2008 to 2016 showed that traditional indicator like liquidity ratio and new indicator like LCR have greater effectiveness in China.As for the influence,the rise of new regulative indicators will increase the fund cost,decrease the credit risk and reduce the profit especially when it comes to LCR,and NSFR doesn't show significance statistically in some of the models.This article can give a rough description of the liquidity risk profile estimated by new Basel III indicators,and hope to provide some useful information for regulatory authority and some referential value for banks' own risk supervision and control. |
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