중국상업은행 유동성리스크의 영향요인에 관한 연구
A Study of The Influential Factors of the Bank’s Liquidity Risk in Chinese Commercial Banks
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This paper is to analyze the Influential Factors of the Bank’s LiquidityRisk in Chinese Commercial Banks, and the empirical analysis is usedpanel data of 4 Chinese state-owned commercial banks and 11 shareholding commercial banks over the period from 2005 to 2011. Andalso, the paper is to analyze if there are differences between Chinesestate-owned commercial banks and share holding commercial banks. The results of the empirical analysis are as follows: Firstly, it showsthere are significant differences between the Chinese state-ownedcommercial banks and shareholding commercial banks in 6 variableswith Liquidity ratio, Loan-deposit ratio, Deposit structure, Ratio ofloan, Capital ratio based on BIS and ROA, excepting Capital ratio. Secondly, we review Influential factors of the Bank’s Liquidity Risk. Werun regression analysis with Liquidity ratio and Loan-deposit ratio asdependent variable and Deposit structure, Ratio of loan, Capital ratio,ROA, Ownership structure, Capital ratio based on BIS as independentvariable. As the result, it shows that the Deposit structure, Ratio ofloan, Capital ratio and Ownership structure affects significantly to theLiquidity ratio, excepting the Capital ratio based on BIS and ROA. Onthe other hand when the Loan-deposit ratio as dependent variable,Ratio of loan and Capital ratio based on BIS, Ownership structure andROA affects significantly, excepting Deposit structure and Capital ratio. Among of them, Ratio of loan and Ownership structure affectssignificantly to the Liquidity ratio and Loan-deposit ratio.
Abstract
This paper is to analyze the Influential Factors of the Bank’s LiquidityRisk in Chinese Commercial Banks, and the empirical analysis is usedpanel data of 4 Chinese state-owned commercial banks and 11 shareholding commercial banks over the period from 2005 to 2011. Andalso, the paper is to analyze if there are differences between Chinesestate-owned commercial banks and share holding commercial banks. The results of the empirical analysis are as follows: Firstly, it showsthere are significant differences between the Chinese state-ownedcommercial banks and shareholding commercial banks in 6 variableswith Liquidity ratio, Loan-deposit ratio, Deposit structure, Ratio ofloan, Capital ratio based on BIS and ROA, excepting Capital ratio. Secondly, we review Influential factors of the Bank’s Liquidity Risk. Werun regression analysis with Liquidity ratio and Loan-deposit ratio asdependent variable and Deposit structure, Ratio of loan, Capital ratio,ROA, Ownership structure, Capital ratio based on BIS as independentvariable. As the result, it shows that the Deposit structure, Ratio ofloan, Capital ratio and Ownership structure affects significantly to theLiquidity ratio, excepting the Capital ratio based on BIS and ROA. Onthe other hand when the Loan-deposit ratio as dependent variable,Ratio of loan and Capital ratio based on BIS, Ownership structure andROA affects significantly, excepting Deposit structure and Capital ratio. Among of them, Ratio of loan and Ownership structure affectssignificantly to the Liquidity ratio and Loan-deposit ratio.
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