金融学院知识库

        近年来，随着宏观经济增速的放缓、经济压力的累积、金融市场波动性的增强，以及国内外经济金融形势的不确定性日益上升，商业银行作为连接金融市场与实体经济的桥梁，正面临着前所未有的流动性风险挑战。鉴于这一形势，监管机构已对宏观经济监管政策进行了深入的完善，强化了对宏观经济框架的支持，并将提升金融体系流动性监管水平作为监管工作的核心任务。过往研究多聚焦于“宏观审慎监管-商业银行风险承担-商业银行经营效率”的关联机制，揭示出不同风险承担水平的商业银行在宏观审慎监管下的经营效率优化路径会因货币政策的变化而有所差异。本文沿袭此研究框架，并认为实现商业银行的内部驱动增长及可持续发展关键在于优化其经营结构。在当前的流动性监管环境下，如何推动商业银行业务的协同、增强其经营韧性成为实证研究的重点。同时针对本文选取的流动性监管代理变量进行深入思考：满足流动性监管要求的商业银行经营行为是否具备效率？流动性监管与商业银行经营效率之间是否存在帕累托最优？在金融科技高速发展的背景下，加大流动性监管力度是否会抑制商业银行经营效率增长？为回答上述问题，本文首先归纳总结流动性监管和商业银行经营效率的计算依据，并结合我国商业银行经营结构梳理出流动性监管对商业银行经营效率的理论影响机制；然后根据相关文件对流动性比率（LR）、流动性匹配率（LMR）和净稳定资金比率（NSFR）进行计算，利用DEA模型计算出2011-2022年间我国商业银行的经营效率；最后，对流动性监管指标与商业银行经营效率以商业银行风险承担水平为中介变量进行中介效应检验。

        通过实证检验，本文发现流动性监管与商业银行经营效率之间存在双重门限效应。具体而言，当流动性比例和流动性匹配率处于较低水平时，提高这些指标将显著提升商业银行的经营效率；然而，当这些指标达到较高水平后，继续提升反而可能对经营效率产生不利影响。与此同时，净稳定资金比例与商业银行经营效率呈现出正向线性关系，即净稳定资金比例越高，银行经营效率也越高。基于本文理论基础与实证设计研究结果，本文分别从商业银行和监管当局视角提出建议：商业银行应健全流动性风险管理体系，适当调整表内项目以优化流动性资源配置；表内流动性管理标准科学化，推动银行金融创新业务发展，拓宽融资渠道，为扩张业务规模吸收资本；并适时对商业银行进行流动性压力测试，确保商业银行在面临压力时能够维持充足的流动性。监管机构应当深刻认识并高度重视对净稳定资金比例的有效管理，从而构想并实施一套兼顾灵活性和针对性的监管框架。为了实现这一目标，强化商业银行运营数据的实时更新与报送机制是不可或缺的，此举旨在指导商业银行逐步调整和优化其业务构成。同时，监管层应紧密跟踪市场动态及各家银行具体运营实况，适时反映并调整监管准则，以保证流动性监管的精准度和实效性。本文从理论层面为政策制定者提供了一系列建设性的见解，助力其科学设定流动性监管阈值区间及健全相应指标系统；与此同时，也从实践角度提出了有助于商业银行提高总体运营效率的策略建议，体现出显著的理论价值和实际应用意义。

    In recent years, with the slowdown in macroeconomic growth, the accumulation of economic pressures, the increased volatility of financial markets and the rising uncertainty of the economic and financial situation at home and abroad, commercial banks, as the bridge connecting the financial market and the real economy, are facing unprecedented liquidity risk challenges. In view of this situation, regulators have made in-depth improvements to macroeconomic regulatory policies, strengthened support for the macroeconomic framework, and made the enhancement of the level of liquidity supervision of the financial system a core task of regulatory work. Previous studies have focused on the association mechanism of "macroprudential regulation - commercial bank risk-taking - commercial bank operational efficiency", revealing that the optimisation paths of operational efficiency of commercial banks with different risk-taking levels under macroprudential regulation may vary according to the changes in monetary policy. This paper follows this research framework and argues that the key to achieving internally-driven growth and sustainable development of commercial banks lies in optimising their operating structure. Under the current liquidity regulatory environment, how to promote the synergy of commercial banks' business and enhance their operational resilience becomes the focus of empirical research. At the same time, the liquidity regulation proxies selected in this paper are considered in depth: is the operational behaviour of commercial banks that satisfy the liquidity regulation requirements efficient? Is there a Pareto optimality between liquidity regulation and the operational efficiency of commercial banks? In the context of the rapid development of fintech, will the increase of liquidity regulation inhibit the growth of commercial banks' operational efficiency? In order to answer the above questions, this paper firstly summarises the calculation basis of liquidity regulation and commercial bank operational efficiency, and combines the theoretical influence mechanism of liquidity regulation on commercial bank operational efficiency with the operational structure of commercial banks in China; then it calculates the liquidity ratio (LR), liquidity matching ratio (LMR) and net stable funding ratio (NSFR) according to the relevant documents, and uses the DEA model to calculate the liquidity ratio (LR), the liquidity matching ratio (LMR) and the net stable funding ratio (NSFR) during the period of 2011-2022 in China. The operational efficiency of China's commercial banks during 2011-2022 is calculated; finally, the intermediary effect of liquidity regulation indicators and commercial banks' operational efficiency is tested with the level of commercial banks' risk-taking as the intermediary variable, and the existence of the threshold effect between liquidity regulation and commercial banks' operational efficiency is tested according to the threshold panel model.

      The results of the study show that there is a double threshold effect between liquidity matching ratio, liquidity proportion and bank efficiency. Specifically, when liquidity ratios and liquidity matching ratios are at a low level, increasing these indicators will significantly improve the operating efficiency of commercial banks; however, when these indicators reach a high level, continuing to increase them may, on the contrary, have a negative impact on operating efficiency. At the same time, the net stable funding ratio and the operating efficiency of commercial banks show a positive linear relationship, i.e., the higher the net stable funding ratio, the higher the operating efficiency of the bank. Based on the results of the theoretical foundation and empirical design of this paper, this paper puts forward suggestions from the perspectives of commercial banks and supervisory authorities respectively:Commercial banks should improve the liquidity risk management system, appropriately adjust the on-balance sheet items to optimise the allocation of liquidity resources; the on-balance sheet liquidity management standards are scientifically based to promote the development of the bank's financial innovation business, broaden the financing channels, and absorb the capital for the expansion of the scale of the business; and the liquidity stress test should be conducted in a timely manner for the commercial banks to ensure that the commercial banks are able to maintain sufficient liquidity in the face of stress. Supervisory authorities should be deeply aware of the importance of regulating the ratio of net stable funding, and build a regulatory system that is both flexible and differentiated. It should improve the dynamic reporting system of commercial banks' operating data, guide commercial banks to optimise their operating structure, and provide timely feedback and amendments to the regulatory standards according to market changes and the actual situation of the banks, so as to ensure the relevance and effectiveness of liquidity supervision. This paper not only provides theoretical support for the regulators to scientifically formulate the scope of liquidity supervision indicators and improve the system of supervision indicators, but also provides practical countermeasures for commercial banks to improve their overall operational efficiency, which is of great theoretical and practical significance.