【摘要】：宏觀審慎監(jiān)管需要微觀基礎(chǔ)。研究商業(yè)銀行償付能力風(fēng)險(xiǎn)與流動(dòng)性風(fēng)險(xiǎn)和銀行體系風(fēng)險(xiǎn)的關(guān)系,有助于監(jiān)管當(dāng)局制定合適的監(jiān)管工具,有效管理銀行業(yè)的系統(tǒng)性風(fēng)險(xiǎn)。中國(guó)未曾爆發(fā)過(guò)真正意義的銀行業(yè)危機(jī),因而研究影響銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的因素成為難題。在借鑒風(fēng)險(xiǎn)二維定義屬性基礎(chǔ)上,本文對(duì)商業(yè)銀行償付能力風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)如何影響銀行業(yè)穩(wěn)定進(jìn)行了實(shí)證分析。分析結(jié)果表明,當(dāng)商業(yè)銀行償付能力上升時(shí),銀行風(fēng)險(xiǎn)承擔(dān)會(huì)上升,進(jìn)而增加銀行倒閉的預(yù)期損失;商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的上升也會(huì)增加銀行倒閉的預(yù)期損失;商業(yè)銀行償付能力提高時(shí),流動(dòng)性風(fēng)險(xiǎn)會(huì)降低;商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)上升時(shí),償付能力風(fēng)險(xiǎn)也上升。
[Abstract]:Macro-prudential regulation needs micro-foundation. The study of the relationship between solvency risk liquidity risk and banking system risk of commercial banks is helpful for the regulatory authorities to formulate appropriate regulatory tools to effectively manage the systemic risks in the banking sector. China has never broken out a real banking crisis, so it is difficult to study the factors that affect the systemic risk of banking. Based on the attributes of two-dimensional definition of risk, this paper makes an empirical analysis on how solvency risk and liquidity risk of commercial banks affect the stability of banking industry. The results show that when the solvency of commercial banks increases, the risk assumption of banks will rise, and then the expected losses of bank failures will be increased, and the increase of liquidity risk of commercial banks will also increase the expected losses of bank failures. When the solvency of commercial banks increases, the liquidity risk will be reduced; when the liquidity risk of commercial banks increases, the solvency risk will also increase.
【作者單位】： 東北師范大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國(guó)家社會(huì)科學(xué)基金青年項(xiàng)目(15CJY083)
【分類(lèi)號(hào)】：F832.33

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