CAJ | 학술논문

使用14家上市银行2007~2013年季度数据建立面板向量自回归(PVAR)模型，运用脉冲响应函数分析融资流动性对银行资产配置行为的动态影响。研究结果表明：存款成本和银行间融资成本的上升，会激励银行增加风险资产，减少流动性储备，不利于银行防范结构性流动性风险；存款流失会削弱银行贷款扩张的动力，提升流动性偏好；同业融资依赖性的上升短期内可以改善银行资产的流动性，长期则会加大资金借短贷长的问题，为流动性危机埋下隐患。
사용14가상시은행2007~2013년계도수거건립면판향량자회귀(PVAR)모형，운용맥충향응함수분석융자류동성대은행자산배치행위적동태영향。연구결과표명：존관성본화은행간융자성본적상승，회격려은행증가풍험자산，감소류동성저비，불리우은행방범결구성류동성풍험；존관류실회삭약은행대관확장적동력，제승류동성편호；동업융자의뢰성적상승단기내가이개선은행자산적류동성，장기칙회가대자금차단대장적문제，위류동성위궤매하은환。
This paper establishes a Panel Vector Autoregression (PVAR )model,and applies the impulse-response method to measure the dynamic effect of the funding liquidity on the China's 14 listed banks'asset allocation.We find that the rising costs of deposit and interbank borrowing encourage banks to increase risk assets and reduce liquidity reserves,so that it does not help alleviate the structural liquid-ity risk of banks;deposit outflow weakens the power of bank loans to expand and increase liquidity as-sets,which result in enhancing the liquidity preference;the increasing of interbank funding in the short term improves the liquidity of bank assets,and in the long run lead funding maturity mismatch to in-crease.In this case,the liquidity crisis will lie hidden.