With the acceleration of financial globalization and the continuous advancement of China's financial marketization reform, on the one hand, the links between commercial banks are getting closer and closer, and the lack of liquidity of individual banks and even local banks may lead to the liquidity shortage of the whole financial system; On the other hand, the scale of foreign currency assets business of commercial banks is constantly expanding, the number of overseas institutions is gradually increasing, and the dependence on foreign banks is gradually increasing, which makes the liquidity risk management of commercial banks in China constantly exposed. Therefore, under this background, it is urgent to improve the liquidity risk management level of commercial banks in China.
First, the reasons for the formation of liquidity risk in China's commercial banks
(A) maturity mismatch of the bank's asset-liability structure
As a special financial enterprise, commercial banks mainly engage in monetary business. Depositors deposit their money in commercial banks, that is, the debtors of banks. The stability of deposits is the premise for commercial banks to issue loans. Time deposits can be divided into short-term deposits and medium-and long-term deposits. If the medium and long-term loans are not recovered in time in the economic activities of lending, and the requirements of depositors for withdrawal cannot be met, liquidity risk will arise, and its occurrence conditions are determined by the business model.
(2) Other types of risks of commercial banks are converted into liquidity risks.
In reality, there are many factors that cause liquidity risk, that is, insufficient liquidity is the shortage of funds in the daily operation of commercial banks. When liquidity risk occurs, if market, credit, operation and other risk management problems persist for a long time and are not properly prevented, it will add fuel to the fire when liquidity is tight, causing risk to spread and make it uncontrollable, and all kinds of risks will break out in a concentrated way, which may eventually cause liquidity difficulties in the whole financial system.
(C) depositors lack basic awareness of risk management
When the economic recession and financial crisis break out, it is most likely to trigger a concentrated customer run. On the one hand, customers are worried about the loss of wealth deposited in banks, and they are also afraid that the return on assets deposited in banks is lower than inflation, which will lead to a decline in the purchasing power of money; On the other hand, there is a payment crisis in the internal system of banks, which has caused contagion effect. If we can't deal with the bank run in the first place, the contagion effect brought by this panic will get out of control, and eventually endanger the whole financial system and eventually lead to the collapse of the banking system.
(D) The downward trend of market interest rate leads to tight liquidity of bank assets.
The central bank's downward adjustment of deposit and loan interest rates and reserve ratio has a great impact on the asset side and liability side of commercial banks. For deposit customers who have a lot of cash, the downward trend of deposit interest rate will make them more inclined to invest their money in higher-yielding bonds or stock markets. When the interest rate is down or even negative, depositors will prefer high-yield investment portfolios, so banks will face a passive situation of large amounts of funds fleeing, that is, financial disintermediation will occur. When interest rates fall, the demand for loans will be more vigorous, and low-cost capital use rights will allow banks to usher in more loan demand.
Second, case analysis —— Taking Industrial and Commercial Bank of China as an example
(a) Index selection and data sources
As for the explanatory variables, this paper uses the method of Liu Xiaoxing and Wang Jinding (20 10) for reference, and selects the loan-to-deposit ratio (CDB) to represent the liquidity risk of commercial banks. Explanatory variables mainly include debt structure (DBC), asset structure (ZQTZ), profitability (SYL) and capital adequacy ratio (ZBCZ), which are expressed by fixed deposit amount/deposit amount, securities investment amount/total assets: net profit/net assets at the end of the year respectively. Taking China Industrial and Commercial Bank as an example, the principle of data collection is comprehensive, accurate and effective. Relevant data are all from 2003 to 20 13 Annual Report of Industrial and Commercial Bank of China and China Financial Yearbook.
(B) Model building and empirical analysis
1. model construction
Combined with the internal relations of variables, the multiple linear regression model is constructed for the time series data of China Industrial and Commercial Bank from 2003 to 20 13, as follows:
CDBt =α+β 1 dbct+β2 zqtzt+β3 sylt+β4 zbczt+ε
Among them, CDBt, DBCt, ZQTZt, SYLt and ZBCZt respectively represent liquidity risk, debt structure, asset structure, profitability and capital adequacy ratio in T year; α is a constant term, β 1, β2, β3, β4 are regression coefficients, and ε is a random error.
2. The empirical analysis is based on multiple linear regression model. In this paper, the least square method is used to analyze the time series data, and the results are shown in table 1.
The regression results show that the goodness of fit of the whole model is 89.66%, and the fitting is good. Generally speaking, ICBC's liquidity risk is negatively related to its debt structure and asset structure, but not to its own profitability and capital adequacy ratio. The specific performance is as follows:
(1) The coefficient of commercial bank's debt structure to its liquidity risk is -0.54 13, which shows a significant negative effect, that is, for every increase of 1 unit in the debt structure of commercial banks, the liquidity risk of commercial banks will decrease by 0.54 13 unit;
(2) The coefficient of commercial bank's asset structure to its liquidity risk is -0.35 18, which is significant at the level of 5%, that is, the liquidity risk of commercial banks will decrease by 0.35 1 8 for every increase in the asset structure of commercial banks.
(3) Although profitability and capital adequacy ratio are negatively related to the liquidity risk of commercial banks, they fail to pass the significance test, that is, they are not significant, indicating that the return on net assets has little impact on ICBC's liquidity risk, and strong profitability has not improved the liquidity of its assets. The reason may be that at the expense of liquidity, investing in high-risk and high-yield financial products may gain strong profitability; High capital adequacy ratio will reduce the liquidity risk of banks to a certain extent, but compared with the characteristics of high debt operation of banks, the effect of reducing liquidity risk is not as obvious as expected.
Three. Research conclusions and suggestions
By studying the influencing factors of liquidity risk of commercial banks, this paper draws the following conclusions: there is a significant negative correlation between debt structure and liquidity risk of commercial banks, that is, with the increase of debt structure (the proportion of time deposits) of commercial banks, the liquidity risk of commercial banks will be significantly reduced; The asset structure of commercial banks has a significant negative effect on liquidity risk, that is, the improvement of the asset structure of commercial banks (the proportion of securities investment) can reduce the liquidity risk of commercial banks and effectively alleviate the lack of liquidity; Although profitability and capital adequacy ratio are negatively correlated with the liquidity risk of commercial banks, they fail to pass the significance test.
Based on the research conclusion and the reality of asset liquidity risk management of commercial banks in China, this paper puts forward the following suggestions: First, optimize the allocation of asset structure and improve the efficiency of capital use. Adjust the maturity mismatch of assets and liabilities to rationalize it, such as controlling the loan maturity; At the same time, optimize the structure of assets and liabilities, improve the efficiency of capital use and reduce the liquidity risk of banks. Second, actively develop intermediary business and off-balance sheet business and encourage asset securitization. In order to expand the source of profits and accelerate the development of intermediary business and off-balance-sheet business, we can also try to issue transfer securities to bring enough liquidity positions to banks and reduce the liquidity pressure of commercial banks on the asset side. The third is to monitor the level of debt concentration and avoid a single source of funds. On the basis of maintaining old customers, we will constantly tap potential high-quality customers through product and service innovation, expand the debt scale of the whole bank and optimize the debt structure. Fourth, implement stress testing management to reduce systemic risks. Accelerate the establishment of a testing system that is in line with the development of China's banking industry. At the same time, pay attention to the channels and sources of liquidity risk, and compare the stress test results horizontally and vertically, so as to better manage liquidity and reduce the system liquidity risk.
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