Can NSFR Replace Loan-to-deposit Ratio？——An Empirical Analysis Based on the Data of 20 Listed Banks in China

›› 2018, Vol. 34 ›› Issue (1): 48-58.

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Can NSFR Replace Loan-to-deposit Ratio？——An Empirical Analysis Based on the Data of 20 Listed Banks in China

LI Minghui¹, ZHOU Bian²

1.Faculty of Economics and Management , East China Normal University,Shanghai 200062,China;
2.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China

Received:2017-03-05 Online:2018-01-10 Published:2018-01-10

Basel III净稳定融资比率能否替代存贷比？——来自中国上市银行的经验证据

李明辉¹, 周边²

1.华东师范大学经济与管理学部,上海 200062;
2.上海财经大学金融学院,上海 200433

作者简介:李明辉(1984-),男,安徽马鞍山人,华东师范大学经济与管理学部晨晖学者、应用经济学博士后流动站博士后、上海并购金融研究院研究员;周边(1992-),男,安徽六安人,上海财经大学金融学院博士生。
基金资助:
国家自然科学基金青年项目(71603085);中国博士后科学基金资助项目(2016M600292);中国博士后科学基金第10 批特别资助项目(2017T100280);上海并购金融研究院决策研究资助项目

Abstract

Abstract: Based on the micro data from 20 listed commercial banks in China during 2000-2014, we empirically answer the following question from two-dimensional analysis (global and local):Can net stable funding ratio replace loan-to-deposit ratio monitor liquidity risk？The findings are as follows: (1) From the individual point of view of 20 listed commercial banks, there is a huge difference between the two different liquidity risk monitoring systems; (2) Some banks could obtain consistent compliance rate from the two different monitoring systems, while others could not; (3) Overallspeaking, the net stable funding ratio can play in a way as liquidity risk monitoring indicators to replace loan-to-deposit ratio as indicators effectively.Based on theses findings,some useful policy recommendations for liquidity risk regulationare offered.

Key words: Net Stable Funding Ratio, Loan-to-deposit Ratio, Liquidity Risk

摘要： 本文基于2000~2014年中国20家上市商业银行的微观数据,采用实证分析的方法分别从整体和局部两个维度分析净稳定融资比率能否取代存贷比作为流动性风险监测指标。本文的研究结论表明:(1)从个体来看,20家上市商业银行在两种指标体系下达标率表现存在巨大差异;(2)从商业银行经营实际来看,两套流动性风险监管指标体系对部分银行能得出较为一致的达标率,而对于另外一些银行而言,一致性效果较差;(3)就上市银行整体而言,用净稳定融资比率代替存贷比作为流动性风险的监测指标在某种程度上能起到存贷比作为流动性风险监测指标的效果。最后,文章针对流动性风险监管给出了有益的政策建议。

关键词: 净稳定融资比率, 存贷比, 流动性风险

CLC Number:

F831

LI Minghui, ZHOU Bian. Can NSFR Replace Loan-to-deposit Ratio？——An Empirical Analysis Based on the Data of 20 Listed Banks in China[J]. , 2018, 34(1): 48-58.

李明辉, 周边. Basel III净稳定融资比率能否替代存贷比？——来自中国上市银行的经验证据[J]. 财经论丛, 2018, 34(1): 48-58.

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Can NSFR Replace Loan-to-deposit Ratio？——An Empirical Analysis Based on the Data of 20 Listed Banks in China

Basel III净稳定融资比率能否替代存贷比？——来自中国上市银行的经验证据

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