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研究四川省农村中小法人银行业机构的流动性风险的影响因素，能够为监管
部门和银行前瞻性管控流动性风险提供明确导向，并根据影响程度和形式的
不同作出及时准确的应对
本文首先从流动性风险产生的原因、影响因素、管理三个方面，对近年
来国内外学者对流动性风险的研究成果进行了汇总回顾。根据巴塞尔协议和
监管部门有关文件规定，对流动性风险的基本概念、特殊属性和主要度量指
标进行了描述性分析。结合样本数据,分析得出四川农村中小法人银行业机构
在流动性风险和管理方面，呈现出季节性、高危性、管控力弱、过度强调盈
利、体制缺陷等 5 个基本特征
在实证分析部分，选取四川农村中小法人银行业机构中未改制的农村信
用社和村镇银行共 28 家样本机构作为实证研究对象，采取主成分分析法计算
了 28 家机构 2014 年-2016 年 6 月末的流动性风险水平，运用计量经济学中变
截距固定效应面板模型对面板数据进行回归分析，综合评估出 8 个影响因素
对流动性风险具体影响方式和程度等，并逐一进行解释说明。特别地，在合
成综合流动性风险指数的指标选取上，通过充分比较分析各指标的优劣势和四川农村中小法人银行业机构流动性风险影响因素及管理实证研究全面性，从 10 个流动性风险度量指标中选取流动性比例、核心负债依存度、
流动性缺口率和贷存比这 4 个指标作为代表性指标；在解释变量中，设置房
地产市场供销比率这一指标，以衡量银行所在市（州）房地产市场供给和交
易状况对流动性风险的影响
实证结果显示，机构所在市（州）的国民经济发展速度、农民人均可支
配收入、房地产市场供销比率是影响四川农村中小法人银行业机构流动性风
险的主要外部影响因素，机构的盈利能力和信用风险是重要的内部影响因素，
居民消费水平、央行货币政策、机构资本实力这 3 个因素对流动性风险无显
著影响。从数据看，5 个具有显著影响的因素中，房地产市场供销比率的影响
程度最大，农民人均可支配收入的影响程度最小。最后，根据理论分析和实
证分析结果，从监管层面和银行层面对如何加强四川农村中小法人银行业机
构的流动性风险管理提出政策建议
关键词：农村中小机构 流动性风险 房地产市场供销比率 主成分分析
面板数据AbstractAbstract
The Central Economic Working Conference in 2017 has urged to put the
prevention and control of financial risks in a more important position to ensure that
systemic financial risk does not occur. As the second largest risk among eight
main financial risks, liquidity risk is the most deadly and ultimate one for
Commercial Bank. In 2013, the money shortage phenomenon appeared twice,
which exposed the limitations in the management of fluidity on the part of
Commercial Bank. Since 2014, bank run happened constantly in several rural
credit cooperatives. With the interaction between economic downturn, the
implementation of saving insurance policy, the rapid progressing of interest rate
marketing, the booming of Internet Finance, the pressure of liquidity risk for small
and medium-sized rural banking institutions will continue to increase. Compared
with eastern developed regions, small and medium-sized rural banking institutions
in Sichuan have indicated weakness in the level of economic development, capital
strength, asset quality, risk management, senior executives competence, and have
been faced with higher hidden liquidity risks. Studying its influencing factors in
various forms and at varying degrees can provide clear guidance for regulators and
banks to control liquidity risk prospectively and take effective measures.
First, this paper summarizes and analyzes relative literature in the last few
years about liquidity risk from three major areas: the causes, influencing factors
and management. Descriptive analysis is used to explain the concept, special
attributes and primary metrics of liquidity risk, according to the Basel Accord and
relevant regulatory documents. Combined with the sample data, it is concluded
that the small and medium-sized rural banking institutions in Sichuan have five
essential features: seasonal, high-risk, weak capacity of risk management,
excessive emphasis on profit and defects of the system.
In the part of empirical analysis, a total number of 28 rural credit cooperatives
and community banks are chosen to be the research objects, adopting principalResearch on Liquidity Risk Influence Factor and Management of Sichuan small and medium-sized rural
banking institutionscomponent analysis (PCA) to calculate the liquidity risk level of the 28 model
samples from 2014 to the end of June in 2016, using fixed effect variable intercept
model to run regression analysis, evaluating how and the extent to which these
eight factors affect liquidity risk and explaining one by one. Particularly, this paper
selects liquidity ratio, the core debt dependency, liquidity gap rate and
loan-to-deposit ratio as the representative indicators to calculate the liquidity risk
index, on the basis of comparative analysis of comprehensiveness, advantages and
disadvantages. The real estate market supply and marketing rate is set up to
measure the impact that the supplies and deals in real estate impose on liquidity
risk in the explanatory variables.
The empirical results show that the regional GDP growth, rural residents
income, real estate market supply and marketing rate of bank location are the main
external factors, with the profitability and credit risk of banks being the important
internal factors influencing the liquidity risk of the small and medium-sized rural
banking institutions in Sichuan. No significant effect has been found on variables
including consumption level, central bank monetary policy and capital adequacy of
bank. Seeing from the data, the real estate market supply and marketing rate have
the most significant impact, while the rural residents’ income influences least in
five significant influence factors. At last, according to the results of theoretical
analysis and empirical analysis, this paper provides policy advice on how to
strengthen the management of liquidity risk on the part of regulators and banks.
Keywords: Small and Medium-sized Rural Banking Institutions; Liquidity Risk;
Panel Data; The Real Estate Market Supply and Marketing Rate; Principal
Component Analysis; Panel Data目 录目 录
1 绪论.......... 1
1.1 论文研究背景和意义......... 1
1.2 文献综述..... 3
1.2.1 商业银行流动性风险产生原因.......... 3
1.2.2 商业银行流动性风险影响因素.......... 5
1.2.3 商业银行流动性风险管理...... 7
1.3 研究方法与内容..... 8
1.3.1 研究方法 8
1.3.2 研究内容.......... 8
1.4 创新与不足. 9
2 流动性风险理论概述.... 11
2.1 流动性风险定义... 11
2.2 流动性风险的特殊属性... 12
2.2.1 “天然”性.... 12
2.2.2 亲周期性........ 12
2.2.3 终极性 13
2.2.4 传染性 13
2.3 流动性风险度量指标..
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