摘要
美国次贷危机后,流动性风险引起了业界的广泛关注。文章运用主成分分析法,建立了流动性加权指标,并对我国上市银行的流动性变化进行了动态分析,结果表明:我国上市银行的流动性在波动中呈现下降趋势,而资金拆出比、贷款结构比和贷存比是影响上市银行流动性的关键因素。提高流动性,需要商业银行确定自身各项最佳结构比、推动中长期贷款的证券化,银监局引入更多结构性监管指标,央行发挥好流动性配置作用。
The liquidity risk has caused widespread concern after the U.S. subprime mortgage crisis. The paper constructs a weighted liquidity indicator and makes a dynamic analysis of liquidity of Chinese listed commercial banks by applying the principal component analysis. The results show that the liquidity fluctuates and has a downward trend. And the key factors which affect the liquidity of listed commercial banks are the lending ratio, loan structure ratio and loan-to-deposit ratio. To improve the liquidity, the banks should define their best structure ratios and promote the securitization of medium and long term loans, the hanking regulatory commission should put more structured regulatory indicators into practice and the central bank should play a better role in allocation of liquidity.
出处
《华东经济管理》
CSSCI
2013年第10期50-56,共7页
East China Economic Management
基金
国家社会科学基金青年项目(12CJY108)
教育部人文社科一般项目(10YJC790241)
关键词
上市银行
流动性
主成分分析
加权指标
listed commercial bank
liquidity
principal component analysis
weighted indicator
作者简介
解晓洋（1988-），女，山东临沂人，硕士研究生，研究方向：银行风险管理；
童中文（1973-），男，安徽舒城人，副教授，博士后，金融工程研究所所长，研究方向：银行风险管理
