Solvency Risk, Liquidity Risk and Systemic Risk of Chinese Banking Industry

›› 2017, Vol. 33 ›› Issue (6): 41-49.

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Solvency Risk, Liquidity Risk and Systemic Risk of Chinese Banking Industry

LIU Zhiyang

School of Economics, Northeast Normal University, Changchun 130117, China

Received:2016-10-03 Online:2017-06-10 Published:2017-06-10

商业银行偿付能力风险、流动性风险与银行体系风险

刘志洋

东北师范大学经济学院,吉林长春 130117

作者简介:刘志洋(1985-),男,吉林松原人,东北师范大学经济学院讲师,博士。
基金资助:
国家社会科学基金青年项目(15CJY083)

Abstract

Abstract:

The fact that there has been a banking crisis in its true sense in China makes it difficult to study the systemic risk of Chinese banking industry. Based on the two-dimensions of risk definition, this paper empirically studies how individual bank's solvency risk and liquidity risk affect Chinese banking stability. Empirical studies shows that when individual bank's solvency is enhanced, the expectation loss of bank failure increases through risk taking channel, but its liquidity risk decreases; and when the liquidity risk of individual bank increases, solvency risk goes up and the expectation loss of bank failure goes up.

Key words: Solvency Risk, Liquidity Risk, Systemic Risk of Chinese Banking Industry, Macro-Prudential Regulation

摘要：

宏观审慎监管需要微观基础。研究商业银行偿付能力风险与流动性风险和银行体系风险的关系,有助于监管当局制定合适的监管工具,有效管理银行业的系统性风险。中国未曾爆发过真正意义的银行业危机,因而研究影响银行业系统性风险的因素成为难题。在借鉴风险二维定义属性基础上,本文对商业银行偿付能力风险和流动性风险如何影响银行业稳定进行了实证分析。分析结果表明,当商业银行偿付能力上升时,银行风险承担会上升,进而增加银行倒闭的预期损失;商业银行流动性风险的上升也会增加银行倒闭的预期损失;商业银行偿付能力提高时,流动性风险会降低;商业银行流动性风险上升时,偿付能力风险也上升。

关键词: 偿付能力风险, 流动性风险, 银行体系风险, 宏观审慎监管

CLC Number:

F830

LIU Zhiyang. Solvency Risk, Liquidity Risk and Systemic Risk of Chinese Banking Industry[J]. , 2017, 33(6): 41-49.

刘志洋. 商业银行偿付能力风险、流动性风险与银行体系风险[J]. 财经论丛, 2017, 33(6): 41-49.

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Solvency Risk, Liquidity Risk and Systemic Risk of Chinese Banking Industry

商业银行偿付能力风险、流动性风险与银行体系风险

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