Research on the Measurement and Influencing Factors of Commercial Bank's Capital Mismatch--Take listed banks for example

Hu Ying

《International Core Journal of Engineering》 5卷9期 (2019/08) Pp. 221-226

https://doi.org/10.6919/ICJE.201908_5(9).0035

摘要

Taking the financial data of 26 listed banks in China as an example, this paper chooses liquidity gap, loan concentration, foreign exchange exposure and other indicators to analyze the actual performance of capital mismatch. The results show that among the three types of capital mismatch, term mismatch is more significant, while credit mismatch and currency mismatch are less obvious. Based on this, the influencing factors of term mismatch are empirically studied by establishing panel data model. The research shows that: firstly, with the change of our country's economic environment, the factors influencing the term mismatch of funds have shifted to some extent; secondly, the current liquidity is the dominant factor of significant fund mismatch in some commercial banks, mainly manifested in the shortage of short-term deposit sources; thirdly, in recent years, the relatively loose monetary policy reflected by the monetary growth rate has played a role in term mismatch. It has alleviating effect. Therefore, in order to control the liquidity risk caused by term mismatch, commercial banks should start from expanding short-term sources of funds, actively develop off-balance sheet business, increase active liabilities to expand sources of funds, and reasonably carry out interbank lending when necessary.

關鍵字

Commercial Bank ； Capital Mismatch ； H-P Filtering ； Panel Data Model

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