| The systemic risk of the financial system is the risk that financial instability will occur in a large range,and the crisis will affect the operation of the financial system,so that economic growth and social welfare will suffer huge losses.Basel Capital Accord III and The Measures for the Administration of Capital of Commercial Banks implement counter-cyclical capital supervision for commercial banks on the basis of micro-prudential supervision policies,implement additional capital policies for systemically important financial institutions,strengthen financial system supervision and prevent systemic risks.During the evolution of each financial crisis or economic crisis,liquidity and liquidity risk play an extremely important role.Liquidity shock makes the operation and management of a single financial institution difficult,causing the infection and spread of systemic risks.During the pressure period of the financial system,the "dry up" of market liquidity makes it difficult for financial institutions or entity enterprises to trade assets.Asset prices suffer a "spiral" decline.More and more enterprises or institutions become insolvent and close down,resulting in a sharp rise in risks in the financial system.In spite of this,the relevant research on systemic risk has not paid much attention to the problems brought by liquidity.Basel Capital Accord III: International Framework for Liquidity Risk Measurement,Standards and Testing and Basel Capital Accord III: Liquidity Coverage Ratio and Liquidity Risk Monitoring Tool have defined globally uniform liquidity risk monitoring indicators: Liquidity Coverage Ratio(LCR)and Net Stable Fund Ratio(NSFR).The Bank of China Insurance Regulatory Commission announced the Measures for Liquidity Risk Management of Commercial Banks in May 2018,aiming at strengthening the control of liquidity risk of commercial banks.The design of these liquidity supervision indicators is basically based on the perspective of "micro-prudential",the issue of "regulatory applicability" has not yet been determined,and the fact that there are liquidity drivers in the evolution of systemic risks has not attracted much attention.Therefore,the liquidity management of commercial banks urgently needs to construct liquidity supervision indicators in the dimension of "macro-prudential".Under the background of China’s systematic risk prevention and on the basis of individual agency liquidity supervision measures,the paper systematically examines the liquidity spillover effect of commercial banks and the construction of macro-micro prudential supervision system.What is the evolution mechanism of liquidity in commercial banks? What is the role of financial network topology in the evolution of liquidity and systemic risks? Based on the balance sheet information,how can the liquidity of individual institutions at "micro level" be measured and attribute more accurately,what is the difference between the "liquidity information" contained in relevant measurement indicators,and how does this information affect the liquidity spillover effect of financial institutions?How to measure and analyze the "macro-level" liquidity spillover effect based on the data information of financial markets? Regulatory indicators such as LCR and NSFR focus on "micro-level" liquidity regulation of individual institutions.How can "macro-level" liquidity regulation measures be embedded in the systematic risk prevention system? An in-depth investigation of these issues is of great significance to the construction of the liquidity supervision system of China’s commercial banks,which combines macro-prudential and micro-prudential,and the improvement of the systematic risk mitigation policies in the new era.The paper consists of seven chapters.The first chapter is the introduction,which elaborates the research background,research significance,research content,research methods and innovations of this article.The second chapter systematically sorts out and summarizes relevant documents such as liquidity,liquidity risk,systemic risk,network model,macro and micro prudential supervision policies and makes a brief comment.The third chapter reinterprets the liquidity-related issues,briefly analyzes the evolution mechanism of the financial system liquidity,liquidity risk and liquidity spillover effect,and summarizes the relevant theories of liquidity spillover effect.Based on the "interbank lending market network" and the liquidity adjustment behavior of commercial banks,the fourth chapter depicts the dynamic evolution mechanism of the liquidity spillover effect of commercial banks,theoretically analyzes the effect of many dimensional changes on the "systematic liquidity risk"(LSR),analyzes the interaction mechanism between the evolution of the liquidity spillover effect and the evolution of the systematic risk,and theoretically analyzes the dynamic evolution mechanism of the liquidity spillover effect of commercial banks,laying the foundation for subsequent empirical analysis.The fifth chapter compares and analyzes the "liquidity information" contained in different types of liquidity measurement indicators of commercial banks based on balance sheet data,investigates the "regulatory applicability" of regulatory indicators proposed in Basel III such as LCR and NSFR in China,and empirically investigates the dynamic evolution of the "status" of liquidity of different types of commercial banks in China,laying a foundation for the "analysis dimension" and "data selection" of liquidity spillover effect measurement.The sixth chapter constructs a measurement method of liquidity spillover effect based on L-SDF model and composite option pricing theory,and empirically investigates the time-varying evolution mechanism of liquidity spillover effect of commercial banks in China.The seventh chapter summarizes the full text,discusses policy recommendations,and looks forward to the direction of further research.The main conclusions drawn in this paper are as follows:(1)The commercial individual risk measurement with Va R as the "benchmark tool" ignores the potential impact of liquidity,the relevant analysis of systemic spillover effect rarely considers the driving factors of liquidity,some measures of commercial bank liquidity supervision belong to the "micro prudential supervision policy",and it is urgent to clarify the evolution mechanism of liquidity spillover effect in the "systematic dimension".(2)The evolution of network topology,systemic risk impact,the implementation of liquidity supervision policies,changes in monetary policies and macro-prudential policies will all affect the liquidity spillover effect through the liquidity of commercial banks.Therefore,the liquidity of commercial banks plays an important role in the accumulation and diffusion of systemic risks in the financial system.For the formulation of commercial bank liquidity supervision policies,a supervision system combining "macro-prudence" and "micro-prudence" should be constructed.(3)The traditional liquidity measurement index,balance sheet-based liquidity term mismatch index and the regulatory index proposed in Basel III also contain certain differences in "liquidity information" due to different construction principles and data dimensions,and their performance in "regulatory applicability" is also different.According to the actual operation of China’s commercial banks and financial system,effective "micro-prudential" liquidity supervision policies should be formulated.(4)The market value and debt data of commercial banks contain information on liquidity spillover effects.Liquidity spillover effect of commercial banks in China has obvious time variation.Economic default and liquidity default of commercial banks have certain differences in some periods.Liquidity spillover effect of commercial banks has different evolution mechanism and related network structure under different liquidity impact conditions.China’s commercial banks should attach great importance to the evolution mechanism of liquidity spillover effect when formulating and perfecting their liquidity supervision policies.The innovation of this paper is mainly reflected in the following aspects:(1)Based on the network topological structure properties such as financial network model and "clustering" of interbank lending market,the dynamic evolution model of liquidity of Capponi et al.(2017)is extended by using the modeling idea of "optimal asset allocation model of commercial banks",and the dynamic interweaving mechanism between the evolution of liquidity and the evolution of systemic risk of commercial banks is discussed in combination with the special situation of "asset allocation according to proportion".A "liquidity-embedded" systematic risk measurement method(LSR)is constructed,and an in-depth theoretical analysis is carried out in combination with regulatory policies such as capital adequacy ratio,leverage ratio,counter-cyclical capital quantity,liquidity requirements,etc.These studies not only expand the relevant literature on the evolution mechanism of systemic risks,but also develop the research on the liquidity adjustment mechanism of commercial banks and the spillover effect after liquidity impact.(2)Based on the balance sheet information of listed commercial banks,the liquidity mismatch index method proposed by Brunnermeier et al.(2013)is used to measure the liquidity of commercial banks in China.The "liquidity information" contained in the traditional liquidity measurement index,the balance sheet-based liquidity maturity mismatch index and the regulatory index proposed in Basel III are compared and analyzed,and the "regulatory applicability" of these indexes in China is thoroughly investigated.The empirical analysis based on the driving factors of liquidity evolution provides a reference for the perfection of the "micro prudential supervision policy" for liquidity control of commercial banks in China.These studies not only provide the basis for the formulation of the micro "liquidity supervision" policy of commercial banks,but also lay the foundation for the analysis of the "liquidity spillover effect" governance countermeasures combining macro and micro prudential supervision,and also provide the "analysis dimension" and "data source" for reference for the measurement of liquidity spillover effect.(3)The liquidity-based stochastic discount factor model(L-SDF),Geske composite option pricing idea and the construction principle of systematic spillover effect measurement method based on △ Co Va R are brought into a framework.Based on the "discount ratio" of commercial bank asset value under the two scenarios of "limited market liquidity" and "unlimited market liquidity",the liquidity spillover effect measurement method of commercial banks is constructed,which expands the "embedded liquidity" systematic importance judgment method of commercial banks.These analyses not only develop the measurement method of liquidity spillover effect,but also expand the research based on "liquidity risk information" contained in the balance sheet.Based on the balance sheet data and stock transaction data of China’s listed commercial banks,the empirical analysis is carried out by using LASSO VAR and Markov regime transformation model.The research conclusion provides a reference for the formulation of liquidity supervision policies of China’s "macro-prudential" commercial banks.Due to the limited level of research and the complexity of the research issue itself,the research in this paper needs to be further studied in the following aspects:(1)Based on different sources of liquidity shocks,the differential evolution mechanism of liquidity spillover effect of commercial banks is thoroughly investigated,and the prevalence spillover effect is more accurately measured based on market microstructure theory.(2)Embed liquidity dimension into existing systematic spillover effect measurement methods based on income or market value data to construct more accurate systematic risk measurement methods.(3)More accurate separation of various risks contained in the earnings data or market value data of listed commercial banks. |
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