The Effect Of Listed Bank's Managerial Ability To Liquidity Creation And Liquidity Risk

As the main financial intermediaries,Commercial banks' liquidity creation plays an important role on the development of society economic,while liquidity risk which related to the survival of the bank is the major risk in the process of bank running.From a macro perspective,the liquidity creation of commercial banks shoulder the burden of "blood transfusion" to the real economy.From a micro perspective,the liquidity risk of commercial banks is related to the stability of China's financial system.Therefore,the liquidity management of commercial banks need to take into account both liquidity creation and liquidity risk.At present,there is a lot of literature on liquidity creation and liquidity risk research.One of the important areas is the research on the determinants of liquidity creation and liquidity risk.Existing literature mainly concentrated on the bank level,macro-level features,relatively little attention of managers.While managers are business decisions of running executives,and play an important role to the commercial banks.Among them,the ability of managers,that is,the ability of managers to use bank resources to generate profits for banks,is crucial to the development of banks.High-ability managers can bring more profits to the bank,and liquidity creation is one of the main sources of bank income and positively affect the bank's revenue.Therefore,we think high-ability managers can use bank resources to create more liquidity.At the same time,high-ability managers are more confident about their own business decisions.This mentality increases the bank's risk-taking behavior and increases the bank's liquidity risk..In addition,commercial banks in the exercise of its liquidity creation intermediary function increase serious liquidity maturity mismatch problem,while serious maturity mismatch exacerbated the liquidity risk of the bank,so we believe that high-ability manager Influencing the bank's liquidity risk by affecting the bank's liquidity creation,at least part of the influence of manager's ability on liquidity risk is mediated by liquidity creation.Therefore,based on the systematically summing up existing literature,this paper carried out the following research work:First,we classify the theoretical basis of managers 'ability,liquidity creation and liquidity risk and put forward the hypothesis that managers' ability has an impact onliquidity creation and liquidity risk.Second,we learn from the method proposed by Andreou et al(2016)to calculate the proxy variables of the listed bank managerial ability,and provide the basis for the following study.Third,based on the micro-data of 16 listed banks from 2006 to 2016,firstly,Using the co-integration test to test the relationship between managers' ability,liquidity creation and liquidity risk.The results show that there is a long-term and stable relationship between the three.Then,establishes the dynamic panel model and the mediating effect test to empirically analyze the concrete relationship between managers' ability,liquidity creation and liquidity risk.More than,based on the different samples,the author empirically analyzes the relationship between managers' ability,liquidity creation and liquidity risk.The results show that the managers' ability has a significant positive impact on the liquidity risk and liquidity creation in the whole sample and non-state-owned bank samples.The liquidity creation and liquidity risk have a significantly positive correlation,and the manager's ability has an impact on the liquidity risk partly based on liquidity creation.In the sample of state-owned banks,managers' ability has a significant positive impact on liquidity risk.Liquidity creation and liquidity risk have a significantly positive correlation,but manager ability has no significant impact on liquidity creation.Fourth,in order to ensure the validity of the model estimation results,this paper further tests the robustness.Calculate the managerial ability Learn the manager's ability measurement method proposed by Demerjian et al.(2012)and replace managerial ability by measuring through SFA-Tobit two-step method.while using the statutory deposit reserve ratio to replace the broad money growth as a proxy for monetary policy.After replacing the variables,dynamic panel regression and mediation test were performed.The regression results show that the conclusion obtained in this paper is robust.