Research On The Influencing Factors Of Bond Investment Of China's Listed Commercial Banks Based On Liquidity Risk Management

Commercial banks have the longest history and the widest scope of business,and have the greatest influence on social and economic life.Commercial banks play a pivotal role in the national economy especially when the current market development is not yet mature.Liquidity risk is one of the most widely encountered risks in the daily operation of commercial banks.In the event of a liquidity crisis,banks may become bankrupt or even cause systemic financial crises in addition to bank operating difficulties and asset losses.Therefore,commercial banks need to attach great importance to their own liquidity risk situation,and do a good job of liquidity risk management.At present,although the bond assets are second only to the second largest category of loans,the long-term growth model of China's commercial banks mainly depends on the deposit and loan spreads,the bank management's emphasis on the bond investment is not enough,the related risk control Measures and management mechanisms are not precise enough.With the reform of China's market economy and the reform of interest rate market,the status of bond investment in commercial banks is becoming more and more important.Bond investment can not only improve the liquidity of bank assets,strengthen the liquidity risk management of banks,but also enhance the profit space of banks,improve the asset structure of banks and enhance the comprehensive competitiveness of banks.Based on the classic Diamond-Dybvig(1983)model and China commercial banks' specific situation,this paper establishes a commercial bank bond investment model which considers the liquidity impact.Based on the analysis of model,this paper analyzes the bond investment model and expected profit of commercial banks under different liquidity situations,and puts forward the research hypotheses.Then,this paper simulates the proportion of cashes,bonds,loans,expected profits,hold-for-trading bonds,available-for-sale bonds and held-to-maturity bonds under different scenarios.Finally,based on the empirical data,this paper establishes a panel model of bank bond investment.Through the analysis of data of listed commercial banks and inter-bank bond market in 2007 and 2015,it is found that the greater the expected liquidity demand,commercial banks hold higher the proportion of hold-for-trading bonds,lower proportion of held-to-maturity bonds,and the greater the expected liquidity demand,the proportion of available-for-sale bonds do not lower.Bank's average lending rate,deposit size,bonds market liquidity,bank deposit to loan ratio and other factors have a significant impact on the bank's bond investment.Therefore,commercial banks should give full play to the liquidity management of bond investment,make bond investment strategy scientifically and rationally,and adjust the investment in accordance with market in a timely manner.In the formulation of monetary policy,central bank should consider the impact of commercial bank bond investment on monetary policy and improve the accuracy and effectiveness of monetary policy.