Research On The Liquidity Mismatch And Its Influencing Factors Of Commercial Banks In China

The contradiction between the security,profitability and liquidity principle of commercial Banks leads to the inevitable liquidity mismatch between assets and liabilities,which becomes the root of the vulnerability of the commercial banking system.As the main cause of bank liquidity risk,scholars have been extensively discussing the liquidity mismatch of commercial Banks.In the 2008 American subprime crisis,the liquidity shortage of commercial Banks and the systemic risk caused by it have raised the academic attention to this problem.In our country,the cause of the commercial bank liquidity mismatch,and its performance and influencing factors are also present new changes,macroeconomic situation,interest rate marketization,the rapid development of financial market and "capital source short-term,capital use long-term" operation also increase the complexity of liquidity mismatch in commercial Banks.The thesis focuses on the measurement of liquidity mismatch and its influencing factors in commercial Banks in China.In terms of theoretical analysis,the connotation of liquidity mismatch of commercial Banks and the asset and liability management theory of commercial Banks are sorted out and summarized,and the mechanism of the influence of macroeconomic factors and micro-management factors on liquidity mismatch of commercial Banks is analyzed in detail.In terms of empirical analysis,first of all,based on the induction and comparison of different measurement methods of liquidity mismatch and its risk in commercial Banks,the LMI model proposed by Brunnermeier et al.(2011)and Bai et al.(2017)was used to construct the liquidity mismatch index of 16 listed commercial Banks in China from 2007 to 2018,reflecting the degree and development trend of liquidity mismatch of Chinese commercial Banks under the complete balance sheet.It is found that the liquidity mismatch of commercial Banks in China is relatively optimistic on the average level,with abundant liquidity in most years and the ability to resist certain degree of liquidity pressure.However,some Banks still have potential liquidity mismatch gap with years,especially around 2011,when the value of liquidity mismatch index was negative,and a large potential liquidity mismatch gap appeared in commercial Banks and the whole banking system.Secondly,in view of the macro and micro factors affecting the liquidity mismatch of commercial Banks,a panel regression model is constructed to verify the direction and degree of the factors affecting the liquidity mismatch of commercial Banks.The regression results show that both macro and micro factors have significant effects on the liquidity mismatch of commercial Banks.Among the macro factors,the changes of economic growth rate and social investment level have the greatest impact on the liquidity mismatch of commercial Banks,while among the micro factors,the profitability and management style of commercial Banks have the greatest impact on their liquidity mismatch.In the end,combining the theoretical and empirical analysis results to put forward targeted suggestions.At the macro level,the government should speed up the construction of the financial market,broaden the direct financing channels,incorporate liquidity mismatch into the macro-prudential management framework,flexibly formulate financial policies,promote the reform of the liquidity supervision indicators of commercial Banks,and promote the implementation of the liquidity risk management system.On the micro level,commercial Banks should expand the measurement method of liquidity risk in their own operation and management,timely adjust the structure of assets and liabilities,step up financial innovation,improve the level of liquidity management.