The Analysis On Bank Short-Term Liquidity Risk Under Maturity Mismatch

Banks short-term liquidity risk under maturity mismatch not only relates to the development of commercial bank itself, it also affect the interests of investors, and more often it will affect a country's sustained economic stability and development. With the outbreak of the financial crisis's frequency speed up, destructive power deepen, and the scope of the spread become broader, the regulation of commercial bank's short-term liquidity risk under maturity mismatch become increasingly strict, and the short-term liquidity risk caused by bank assets and liabilities's maturity mismatch increasingly become the focus of academic research.This article will study the commercial Banks potential short-term liquidity risk under maturity mismatch. The existing literature mostly use the static indicators such as liquidity ratio, liquidity gap rate measure commercial bank short-term liquidity risk under maturity mismatch. While from a dynamic perspective, this article use commercial bank assets and liabilities data which due within one month, use the dynamic gap model, from asset default channel and bank reputation risk channel, to analyze commercial bank short-term liquidity demand and supply, measure liquidity demand and supply condition in a month, estimate the commercial bank's short-term funding mismatching gap, then to measure short-term liquidity risk of commercial bank. According to the results of the measure, short-term liquidity risk of commercial Banks in China rising rapidly in 2008, and after this time, it decline and keep flat, while it increase generally in 2013, the results fit the reality of our country commercial bank short-term liquidity risk well. On this basis, continue to explore short-term liquidity risk of commercial bank's influence factors under the maturity mismatch, and use eight commercial Banks's actual data which provided the assets and liabilities data which due within one month, then use the cross section panel model to analyze the influence factors, mainly gain the following conclusions:from the macroscopic perspective, the national good economic development momentum make commercial Banks short-term liquidity risk lesser, and the more loose money market conditions, the bigger short-term liquidity risk of commercial bank it is; From the perspective of the commercial Banks, if capital adequacy ratio, liquidity ratio and asset scale is less, it will increase commercial bank short-term liquidity risk, the greater the proportion of loans to total assets, the bank short-term liquidity risk will become bigger. Based on dynamic liquidity gap angle, this paper expounds the bank short-term liquidity risk measure, and analyses the influence factors, provides a new train of thought for the analysis of China commercial bank's short-term liquidity risk.