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本文研究目的在于确定商业银行流动性风险及其经济后果。采用理论
分析和实证检验相结合的方法进行逻辑推演及假设验证。从委托代理理论
出发，构建了含有表内及表外经营项目的商业银行流动性模型，并分析存
贷款之间的协同效应，以最终厘清商业银行流动性风险的形成机理。从商
业银行流动风险的基础理论出发，对商业银行业务进行了详细分解以确定
流动性风险产生的根源，并分析了商业银行流动性及其风险形成及其影响
在此基础上建立了委托代理视角下存款，贷款和承诺信用贷款，融资等商
业银行业务模型。从存款、贷款两方面确定了商业银行流动性风险的成因：
由于取款的不确定性导致了存款方面流动性风险的形成；由于信用承诺贷
款的不确定性，加上传统贷款项目成功与否的不确定性，导致了贷款方面
的流动性风险。并详细分析了各银行业务对流动性风险产生的影响，流动
性风险对商业银行业绩产生的影响，存款和贷款是否存在协同效应，该效
应对流动性有何等影响，能否放大或缩小流动性风险等问题并提出相应的
研究假设
为了验证研究假设，且更为深入且精确地探寻商业银行流动性风险的
动因及影响，本文采用样本细分及分段研究等方法，使用美国银行数据作
为对比，从新角度分析中国商业银行流动性风险状况，以期为中国商业银
行流动性风险管理提供参考。在研究过程和方法方面，使用更为科学的样
本分组及窗口期分段分析方法，根据不同样本组在不同研究窗口期经营活
动的差异进行分析和筛选，从而识别并确定商业银行流动性的影响因子
随后根据前述影响因子建立流动性回归模型，并对模型进行优化。并在此
基础上计算出流动性风险，同时根据美国及中国商业银行实际数据分析流
动性风险对存贷款协同性及经营业绩的影响。本文在创新性理论分析的基哈尔滨工业大学博士毕业论文
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础上，使用了更精确的实证研究方法，厘清了商业银行流动性风险动因及
其经济后果的逻辑关系，并从多角度分析流动性管理相关问题。通过以上
研究过程，得到研究结果：将美国数据作为比较标准，虽然，当期中国商
业银行流动性较高，但同时中国商业银行也存在活期存款率过高，核心资
本率偏低，贷款增长过快及不良率过高等，暴露出中国商业银行流动性风
险防范意识短缺等问题，中国商业银行领域仍然面临较大的流动性管理压
力及流动性风险突发事件挑战。为避免遭受流动性风险带来的损失，本文
提出了适用于中国商业银行流动性风险现状的政策建议
本文的主要贡献有：在理论分析中，从委托代理角度出发，系统地建
立起商业银行表内表外银行业务三期模型。由于流动性风险是一种综合性
的结果风险，因此，单独分析存款及贷款和承诺信用贷款过于片面。从银
行的表内和表外业务单独及结合的角度出发，本文构建的商业银行流动性
模型体现了存款和贷款两个层面的不确定性，更加符合商业银行的经营实
际情况；本文模型使得委托代理问题下的商业银行流动性风险的定向分析
有了定量结果，并填补了商业银行流动性课题中存贷款的协同效应及其变
化相关理论研究的空白，对 KRS 流动性模型结论（存贷款协同效应是银行
高效运作的结果）提出了挑战；改进的现有流动性模型理念，较大地修正
了模型约束条件，对商业银行存款、取款、融资的时点以及额度进行调整，
得到更具广泛应用性的约束条件，从而使得模型结果更契合实际；从超额
现金持有理论出发，提出了流动性风险的流动性模型残差计算法，弥补了
现有流动性风险计算方法中静态指标法衡量信息单一及动态指标法存在主
观偏倚等不足；在实证研究中，确定了不同结构的银行流动性分组，并采
用跟进式的研究方法，使研究更贴近实际情况。使用对比分析方法，使用
发达国家银行数据进行检验得出的结果对中国商业银行的流动性风险管理
具有前瞻性参考意义
关键词：银行流动性风险；流动性风险后果；存贷款协同效应；委托代理
问题；Abstract
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Abstract
Abstract：During the 2008 financial crisis, there have been many cases of
bank run which were triggered by bank running out of liquidity. The exposure
to liquidity risk of single bank tends to spread over other banks in both
domestic and international financial system, which finally caused global
economy collapse. And since then, the topic of recognizing commercial bank
liquidity risk and how to manage and control it has become a worldwide issue
in the commercial bank management field. Generally speaking, commercial
bank liquidity risk can be described through both micro and macro way. From
the micro point of view, commercial bank liquidity risk can be described as a
consequence of a series of bank internal operations. As the high-speed
development of financial market, commercial banks have to face complex
operating environment and high volatility of liquidity level. The deep research
of the origin of liquidity risk and its economic consequence has become a
prerequisite for effective commercial bank liquidity risk management and
control.
This paper aims to find out the origin and economic consequence of
commercial bank liquidity risk, by means of logical deduction and hypothesis
test based on theoretical analysis and empirical data. From the view of agency
theory, this paper establishes a commercial bank liquidity model including
both in-balance sheet and off-balance sheet items, and analyzes the synergy
effect between bank deposit and loan, in order to find out the forming
mechanism of commercial bank liquidity risk. Based on commercial bank
liquidity risk fundamentals, this paper decomposes bank businesses to find out
the origin of liquidity risk, and interprets the forming process of commercial
bank liquidity risk and its influence. And therefore a bank business model
which includes deposit, loan, credit commitment, and financing activities has
been established under the view of agency theory. The origin of commercial
bank liquidity risk can be explained from both deposit and loan aspect.
Deposit-related liquidity risk is caused by the uncertainty of withdrawing, and
loan-related liquidity risk is caused by the uncertainty of loan and credit
commitment exercise. This paper also reports a detailed analysis of the
influence of different bank businesses on its liquidity risk, the influence of
liquidity risk on bank performance and the existence of deposit -loan synergy
effect, as well as the influence of this synergy effect on liquidity risk.
Corresponding assumptions have been set up.哈尔滨工业大学博士毕业论文
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To verify the assumptions of this paper and precisely find out the driver
and influence of commercial bank liquidity risk, this paper analyzes the
situation of China commercial bank liquidity risk through sample grouping and
time window segmentation, compared with US bank data, aiming to come up
with useful advice to China commercial bank liquidity risk management. By
means of scientific sample grouping and time window segmentation, this paper
recognizes the influence factors of commercial bank liquidity level according
to the difference in bank performance both cross-groups and cross-time
windows, based on which, a liquidity level regression model has been
established and optimized. As a result, commercial bank liquidity risk can be
measured by the model above and then the influence of liquidity risk on
deposit-loan synergy effect and bank performance can be quantitatively
analyzed using US and China commercial bank data.
In conclusion, based on creative theoretical analysis and m ore precise
empirical method, this paper has been able to interpret the logical relationship
between drivers of commercial bank liquidity risk and its economic
consequence, analyze liquidity management-related issues from different
points of view. And compared with US commercial bank data as benchmark,
we find that though the average liquidity level for China commercial banks has
been proved to be relatively high, due to high proportion of demand deposit,
low ratio of core capital, high rate of loan increase and high rate of
non-performing loan, the lack of liquidity risk awareness has been discovered
and China commercial banks still have to face high pressure from liquidity
management and challenges from liquidity emergency. To avoid losses caused
by liquidity risk, this paper eventually comes up with a policy related to China
commercial bank liquidity risk management practice.
The main contributions of this paper are as following: In theoretical
analysis, from the view of agency theory, this paper systemati cally establishes
the three-step model including commercial bank in- and off- balance sheet
items. Due to the fact that liquidity risk is the consequence of a series of
complex reasons, the analysis based only on deposit, loan and credit
commitment tends to be insufficient. From the view of commercial bank in -
and off-balance sheet business respectively, as well as the combine of both of
them, the commercial bank liquidity model established by this paper
embodies the uncertainty stemming from both deposit and loan, which is closer
to commercial bank practice. Under the view of agency issue, this paper has
been able to report a quantitative results of commercial bank liquidi
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