银行流动性过剩资料精.pdfVIP

第四届中国金融学年会论文 国商业银行流动性过剩的影响因素 基于ARDL 模型的实证结果 李晓峰 李辉文 （厦门大学经济学院金融系，福建省行政学院） 作者简介 系方式：Email ：xfli@; litom66@ Tel:0592-5369386; 139501522 14; 研究领域：李晓峰 国际金融 国际银行； 李辉文 金融学 国际金融 - 1 - 第四届中国金融学年会论文 国商业银行流动性过剩的影响因素 基于ARDL 模型的实证结果 【摘 要】本文通过构建商业银行超额流动性函数，我们把影响商业银行流 动性的变量分为三类：规模变量、机会成本变量和流动性风险变量。运用基于 ARDL 模型的边界检验法（bounds testing ），实证发现：（1）存差扩大和人均GDP 增加并非导致目前商业银行流动性过剩的原因，外汇储备增长则成为显著影响我 国流动性的外因。（2 ）机会成本变量（存贷款利差和7 天期银行同业拆借利率） 均显著地正向影响商业银行的超额流动性；（3 ）流动性风险变量中的经济波动性 变量正向影响商业银行流动性，而现金波动率却与商业银行流动性成反向关系。 【关键词】流动性过剩；超额准备率；ARDL 模型；边界检验 The factors affecting excess liquidity of Chinas commercial banksempirical study based on ARDL model Abstract: Based on constructing commercial bank s excess reserve function, we divided variables that affecting the excess liquidity of commercial banks into three categories: scale variables, opportunity cost variables and liquidity risk variables. Applying for bounds testing of ARDL model, we showed: ( 1) spread between deposit and loan widening and per capita GDP increasing is not a cause of the current commercial bank excess liquidity.Contraryly, growing foreign exchange reserve has become a significant external factor affecting our countrys liquidity. (2) Opportunity cost variables (spread between deposit interest rate and the sum of loan interest rate and the seven-days bank Offered Rate) have significantly a positive impact on the commercial bank s excess liquidity; (3) one of liquidity risk variables ,economic volatility variable positively impacts the