Research On The Impact Of Interbank Business Of China On Bank Liqudity Risk

In recent years,with the aggravation of deposit competition and narrowing of bank interest margin,commercial banks’ profitability that rely on traditional business has declined,and interbank business has begun to rise.Interbank business was originally used as a means of liquidity regulation.Banks make up for their lack of liquidity through interbank business to prevent the risk of runs.In the process of development,interbank business has gradually turned into the main tool for commercial banks to evade supervision and expand profits.Banks use short-term interbank liabilities to support long-term interbank assets,which leads to the increasing mismatch of their own maturities and easily leads to liquidity risk.At the same time,the liquidity risk of a single bank can easily lead to systemic liquidity risk and even liquidity crisis with the spread of interbank chain.Facts have proved that the relationship between interbank business and liquidity risk is not a single linear relationship,but a complex non-linear relationship.Therefore,a correct understanding and analysis of the relationship between interbank business and liquidity risk is of great significance to the standardized development of interbank business and the management of bank liquidity risk.This paper systematically studies the impact of interbank business on liquidity risk from theoretical and empirical perspectives.From the theoretical point of view,the relationship between interbank business and bank liquidity risk is deduced.In the process of derivation,the cost of bank’s dismantled capital is taken as the proxy index of liquidity risk.Through calculating the cost function of dismantled capital under different proportion of interbank business,the concrete form of the impact of interbank business on liquidity risk is obtained.Thereafter,on the basis of combing the current situation and problems of China’s interbank business,this paper further analyzed the impact of China’s interbank business on liquidity risk.From an empirical point of view,this paper takes the data of 20 listed banks from 2008 to 2016 as the research object.Firstly,a fixed effect model is established to verify the non-linear relationship between interbank business and liquidity risk.Then,the panel threshold model is established to explore the non-linear impact of interbank business on liquidity risk through threshold regression.At the same time,it divides banks into state-owned banks and small and medium-sized banks,and carries out threshold regression respectively.The conclusion shows that the relationship between interbank business and liquidity risk is non-linear,and there is a double threshold effect.The influence of interbank business on liquidity risk before and after the threshold is asymmetric.When the proportion of interbank business is less than 25.6%,the interbank business mitigates the liquidity risk of banks.When the proportion of interbank business is between 25.6% and 27.5%,interbank business still plays a role in mitigating bank liquidity risk,but this role has been weakened.When the proportion of interbank business is more than 27.5%,the interbank business increases the liquidity risk of banks.This empirical result verifies the correctness of the theoretical analysis.At the same time,the threshold effect of interbank business on liquidity risk is obviously different between state-owned banks and small and medium-sized banks.There is no threshold effect in state-owned banks,while there is a single threshold effect in small and medium-sized banks.The innovation of this paper is mainly embodied in the following points: Firstly,in the analysis of the impact of interbank business on liquidity risk,based on theoretical derivation,the panel threshold model is used for empirical analysis,which not only gets the specific form of impact,but also accurately gets the threshold of impact change.Classified regression is also used in the specific regression,which increases the credibility of the results.Secondly,in the selection of liquidity indicators,this paper chooses the ratio of net stable funds as an indicator to evaluate the liquidity risk of commercial banks,which meets the latest regulatory requirements and has reference value.