Research On The Impact Of Liquidity Regulation On Bank Risk-taking

The 2008 financial crisis exposed the banks’ shortcomings in liquidity risk management,prompting regulators to place it on an equal status with capital regulation.Basel Committee first officially released Basel III and proposed two core regulatory indicators: Liquidity Coverage Ratio(LCR)and Net Stable Funding Ratio(NSFR).Learned from the experience of international regulatory reform and combined with the national conditions,China’s CBRC incorporated NSFR and LCR into the quantitative risk supervision system for the first time in 2011 and further improved them in the revised Liquidity Measures in 2017.Preventing and resolving bank risks is related to a country’s financial stability,and liquidity supervision will lead banks to change the weight allocation of assets and liabilities,thus affecting the level of risk taking.Therefore,it is necessary to discuss the impact of liquidity regulation on their risk taking.Based on the Basel III liquidity regulation perspective,this paper calculates and collates the values of NSFR and LCR of 53 Chinese commercial banks from 2015 to2019,and empirically explores their impact on banks’ risk taking by taking them as proxy variables of liquidity regulation.At the same time,this paper divides the sample banks into national banks and regional banks,and further discusses whether there are differences in the impact of liquidity regulation on risk taking of different types of banks.The findings are as follows :(1)both long-term regulatory index NSFR and short-term regulatory index LCR can inhibit the willingness of commercial banks to take higher risks.(2)Heterogeneity test results show that the constraint effect of NSFR and LCR regulation on bank risk-taking is more obvious for regional commercial banks.On this basis,this paper introduces monetary policy as a moderating variable,selects quantitative instrument money supply year-on-year growth rate,deposit reserve ratio and price instrument seven-day inter-bank lending rate as the proxy variables of monetary policy,and further discusses the moderating effect of monetary policy on the impact of liquidity regulation on bank risk taking.The results show that different monetary policy tools will affect the regulatory effect of liquidity regulation on bank risk taking,and loose monetary policy environment will weaken the inhibitory effect of liquidity regulation on bank risk taking.Therefore,this paper believes that regulators should continue to improve liquidity risk management policies and optimize the coordination between liquidity regulation and monetary policy.Meanwhile,based on the responses of different types of banks to regulatory rules,dynamic and differentiated regulatory systems should be explored to provide guidance for commercial banks to balance the relationship between safety,liquidity and profitability.Commercial banks should strengthen the awareness of liquidity risk control,actively optimize the management of assets and liabilities structure,and constantly consolidate their liquidity advantages to deal with potential liquidity risks.