应用主成分分析和面板数据模型的商业银行流动性风险实证研究.docVIP

PAGE PAGE 34 应用主成分分析和面板数据模型的商业银行流动性风险实证研究 摘要：自20世纪70年代以来，受利率市场化、金融脱媒化、信息技术与金融创新等因素的影响，银行业面临愈加复杂化和多元化的挑战与威胁。而流动性是银行业的生命线，研究商业银行流动性风险的衡量及其影响因素，对促进我国银行业的良性发展十分必要。本文在对流动性相关理论研究的整理，首先介绍了研究背景与目的，并明确了研究的思路；其次系统地从从商业银行流动性风险的成因及影响因素、衡量和风险管理等三方面综述了国内外研究成果；然后运用静态与动态的流动性风险衡量方法对流动性风险加以衡量，并采用主成分分析法找出最具代表性的衡量指标进行综合处理，来反映流动性水平状况；再者选取部分内外部影响因素相关变量和数据，建立panel data模型来实证分析商业银行流动性风险的影响因素并回归。最后得出本文结论，并提出相关流动性风险管理的建议。 关键词：商业银行；流动性风险；主成分分析；面板模型 An Empirical Study on the Commercial Banks’ Liquidity Risk using PCA and Panel Data Model Abstract: Since the 1970s, influenced by the factors of the marketization of interest rate, financial disintermediation, information technology and financial innovation, the banking industry is facing the challenge of increasingly complicated and diversified. And liquidity is the lifeline of the banking industry. Doing a research on the measurement of commercial banks’ liquidity risk and its influential factors is necessary to promote the healthy development of China’s banking industry. Based on finishing relevant theoretical research of liquidity, firstly, the background and purpose of the research are introduced, and this paper makes clear the research train of thought. Secondly it is systematically reviewed by three aspects from the causes and influence factors of commercial banks’ liquidity risk, measurement and risk management. Thirdly it use the static and the dynamic measuring methods of liquidity risk, and use principal component analysis method to construct integrated liquid level index for integrated analysis of the liquidity risk. Moreover it selects part related variables and data of the internal and external influencing factors, to set up the panel data model for empirical research on the influential factors of Chinese commercial banks’ liquidity risk and make a comprehensive regression analysis. Finally the paper brings forward the related suggestions and conclusion of liquidity risk management. Keywords: commercial banks; liquidity risk; PCA;