暨南学报(哲学社会科学版)

作者：周晔, 王亚梅

单位：首都经济贸易大学金融学院。

关键词：融资流动性,净稳定资金比率,银行风险承担

基金：国家自然科学基金项目“债券投资如何影响商业银行系统性风险——基于系统性风险‘冲击—传染’二元生成机制的视角”(71903136)。

本文使用2008—2019年间188家商业银行的年度数据,选取外部融资流动性MS以及内部资金稳定性NSFR两大指标,检验内外部流动性变动对商业银行风险承担的影响。在解决相关内生性问题之后发现,商业银行的外部银行间市场利差越小,自身内部的稳定资金越充足,银行的风险承担越小,且从多个角度进行的稳健性检验均支持这一结论。进一步交乘回归结果显示,商业银行通过自身持有充足的NSFR来承担风险,会减少对银行间市场融资的依赖。流动性的波动变化和NSFR的分解检验也证明了基准结论的正确性,在不同产权性质、资产规模、资本充足水平以及贷款质量的银行中,回归结果也具有一定异质性。本文的研究结论针对监管机构在加强商业银行流动性管理,减少流动性风险方面具有借鉴意义。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["国家自然科学基金项目“债券投资如何影响商业银行系统性风险——基于系统性风险‘冲击—传染’二元生成机制的视角”(71903136)。"],"article":{"keywordList_cn":["净稳定资金比率","融资流动性","银行风险承担"],"juan":"44","zhaiyao_cn":"本文使用2008—2019年间188家商业银行的年度数据,选取外部融资流动性MS以及内部资金稳定性NSFR两大指标,检验内外部流动性变动对商业银行风险承担的影响。在解决相关内生性问题之后发现,商业银行的外部银行间市场利差越小,自身内部的稳定资金越充足,银行的风险承担越小,且从多个角度进行的稳健性检验均支持这一结论。进一步交乘回归结果显示,商业银行通过自身持有充足的NSFR来承担风险,会减少对银行间市场融资的依赖。流动性的波动变化和NSFR的分解检验也证明了基准结论的正确性,在不同产权性质、资产规模、资本充足水平以及贷款质量的银行中,回归结果也具有一定异质性。本文的研究结论针对监管机构在加强商业银行流动性管理,减少流动性风险方面具有借鉴意义。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6063","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6063","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2022/V44/I1/115","qi":"1","id":6063,"nian":2022,"bianHao":"2022-1-115","zuoZheEn_L":"ZHOU Ye, WANG Yamei","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2022","shouCiFaBuRiQi":"2022-02-28","qiShiYe":"115","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2022/V44/I1","lanMu_cn":"宏观经济","pdfSize":"1228","zuoZhe_CN":"周晔, 王亚梅","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6063","title_cn":"融资流动性、资金稳定性与商业银行风险承担","jieShuYe":"132","keywordList_en":["banks' risk-taking","financing liquidity","net stable funding ratio"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6063","zhaiyao_en":"This paper uses the annual data of 188 commercial banks from 2008 to 2019, selects two major indicators, including the external financing liquidity MS and internal funding stability NSFR, to test the impact of changes in internal and external liquidity on commercial banks' risk-taking. 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