宏观流动性收紧视角下银行流动性风险传染机制研究

doi:10.16381/j.cnki.issn1003-207x.2023.1706

Abstract

Abstract:

Under pressure from successive interest rate hikes by the US Federal Reserve， Silicon Valley Bank collapsed due to maturity mismatch problems in liquidity management， affecting the global financial system. The tightening of macro liquidity has added to the pressure of micro liquidity risk outbreaks. In this paper， the competitive equilibrium conditions are mapped for bank liquidity holding decisions into a regression model， corresponding to the connotation of the interbank network structure to a spatial econometric model that describes the implications of interactions between entities in a competitive equilibrium. Using the listed banks from 2010 to 2021 as samples， the transmission and accumulation mechanism of liquidity risk changes resulting from the aggregation of micro-level decision-making behaviors combining spatial econometric model and minimum density algorithm is elucidated. Additionally， it employs structural estimation to identify the contagion effect within the bank network.The research results demonstrate three main conclusions. Firstly， The source of liquidity funds obtained by banks is externally dependent due to the existence of bank network. Secondly， the contribution of banks to systemic risk is influenced by the magnitude of exogenous shocks and the mechanism of network propagation， with the risk of contagion from network propagation being the main source. This network propagation risk is the result of the gradually decaying impact of random error shocks in the form of a covariance structure on the bank in question. Thirdly， Against the backdrop of China’s deleveraging policy， as bank network density declines， the contagion effect of liquidity risk among banks exhibits a downward trend and the topology of bank networks shows a trend toward decentralization，while individual bank liquidity risks increase. To effectively prevent and mitigate systemic risks， it is imperative to address the liquidity risk management challenges arising from macro-level liquidity adjustment policies for micro entities. It is crucial to establish an integrated early warning mechanism by building a framework system of macro liquidity volatility affecting financial institutions' decision making. This necessitates enhancing banks' capacity for emergency liquidity risk management and bolstering monitoring， early warning systems， and control mechanisms pertaining to liquidity risk in banking institutions.

Key words: liquidity risk, network risk contagion mechanism, liquidity decisions, spatial econometric model, minimum density

CLC Number:

F832

Yulei Rao, Hongbing Ouyang, Minchun Han, Zihong Wang. Research on the Contagion Mechanism of Bank Liquidity Risk from the Perspective of Macro Liquidity Tightening[J]. Chinese Journal of Management Science, 2025, 33(4): 24-35.

Figures/Tables 11

	(1) lnLiquidity	(2) lnLiquidity
$ϕ$	0.4522^***	0.2639^*
$ϕ$	(3.7550)	(1.7093)
sigma2_e	0.0056^***	0.0061^***
sigma2_e	(6.9094)	(5.8949)
控制变量	是	是
个体固定效应	是	是
N	420	300

变量	时期1	时期2
$ϕ ̂$	0.4522	0.2639
$ϕ ̂$	(3.7550)	(1.7093)
$(1 - ϕ ̂) - 1$	1.8254	1.3585

	(1) 时期1	(2) 时期2	(3) 时期1	(4) 时期2
$ϕ$	0.2952^***	0.2292^***	0.4979^***	0.2511^**
$ϕ$	(3.9144)	(3.4321)	(5.6142)	(2.1329)
sigma2_e	0.0042^***	0.0049^***	0.0049^***	0.0059^***
sigma2_e	(6.1041)	(12.2384)	(6.8314)	(6.9337)
控制变量	是	是	是	是
个体固定效应	是	是	是	是
N	420	300	420	300

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银行	PAB	NBCB	SPDB	HXB	CMB	NJCB	CIB	BOB	ABC	BCM	ICBC	CEB	CCB	BOC	ECITIC
PAB	0	0.12	0	0	0.47	0	0	0	0	0	0.27	0.05	0.04	0.05	0
NBCB	0.33	0	0.04	0.25	0	0	0	0	0	0	0.38	0	0	0	0
SPDB	0	0	0	0	0.64	0	0	0	0	0	0.36	0	0	0	0
HXB	0	0.41	0.24	0	0.18	0.05	0.08	0	0	0	0	0	0	0	0.05
CMB	0	0	0	0	0	0	0.19	0.17	0	0	0.07	0	0	0	0.56
NJCB	0	0	0	0	0	0	0.89	0	0	0	0	0	0.11	0	0
CIB	0	0	0	0	0.49	0.18	0	0	0	0.25	0.08	0	0	0	0
BOB	0	0	0	0.54	0.38	0	0	0	0	0	0	0.08	0	0	0
ABC	0	0.74	0	0.22	0	0	0	0	0	0	0.04	0	0	0	0
BCM	0	0	0	0.31	0	0.69	0	0	0	0	0	0	0	0	0
ICBC	0.37	0.1	0.05	0.13	0.01	0	0	0.13	0.06	0.05	0	0	0	0	0.08
CEB	0	0.1	0	0	0	0	0.9	0	0	0	0	0	0	0	0
CCB	0.18	0	0	0	0	0	0	0	0	0	0.82	0	0	0	0
BOC	0	0	0	0.65	0	0	0	0	0	0	0.35	0	0	0	0
ECITIC	0.26	0	0	0	0	0	0	0	0.74	0	0	0	0	0	0

序号	时期1		时期2
序号	银行	NIRF	银行	NIRF
1	HXB	1.8696	HXB	2.1348
2	PAB	1.8208	NJCB	1.7402
3	BOB	1.4509	BCM	1.7273
4	CIB	1.3817	ECITIC	1.6486
5	ECITIC	1.3549	CMB	1.4649
6	BCM	1.3459	ABC	1.4302
7	NBCB	1.3128	NBCB	1.3322
8	CMB	1.1819	SPDB	1.2936
9	SPDB	1.1576	CIB	1.2593
10	BOC	1.1498	ICBC	1.1737
11	NJCB	1.1221	PAB	1.1245
12	ABC	1.1181	BOC	1.0818
13	CEB	1.0487	CEB	1.0226
14	ICBC	1.0015	BOB	0.9909
15	CCB	0.9116	CCB	0.8466

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Research on the Contagion Mechanism of Bank Liquidity Risk from the Perspective of Macro Liquidity Tightening

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