利率市场化与银行流动性缓冲的顺周期性：来自中国的证据

IF 2.9 3区经济学 Q1 ECONOMICS

Journal of Asian Economics Pub Date : 2025-02-20 DOI:10.1016/j.asieco.2025.101904

Hai Jiang , Yunfan Zhu , Chao Yuan , Xiaolin Zhang

{"title":"利率市场化与银行流动性缓冲的顺周期性：来自中国的证据","authors":"Hai Jiang , Yunfan Zhu , Chao Yuan , Xiaolin Zhang","doi":"10.1016/j.asieco.2025.101904","DOIUrl":null,"url":null,"abstract":"<div><div>This paper investigates the impact of interest rate liberalization (IRL) on the procyclicality of the bank liquidity buffer based on data of 377 commercial banks in China from 2007 to 2019. The results show that the liquidity buffer is procyclical. The advancement of IRL diminishes the bank liquidity buffer and exacerbates its procyclicality. The expansion of the fluctuation level of interest rate, one dimension of IRL, is the dominant driving factor. Furthermore, this paper finds that the effect of IRL on the procyclicality of the liquidity buffer is amplified in non-primary, joint-stock, city and less-profitable banks. Additionally, the IRL has a higher negative impact on the liquidity buffer of banks that engage in greater risk-taking.</div></div>","PeriodicalId":47583,"journal":{"name":"Journal of Asian Economics","volume":"98 ","pages":"Article 101904"},"PeriodicalIF":2.9000,"publicationDate":"2025-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Interest rate liberalization and the procyclicality of the bank liquidity buffer: Evidence from China\",\"authors\":\"Hai Jiang , Yunfan Zhu , Chao Yuan , Xiaolin Zhang\",\"doi\":\"10.1016/j.asieco.2025.101904\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This paper investigates the impact of interest rate liberalization (IRL) on the procyclicality of the bank liquidity buffer based on data of 377 commercial banks in China from 2007 to 2019. The results show that the liquidity buffer is procyclical. The advancement of IRL diminishes the bank liquidity buffer and exacerbates its procyclicality. The expansion of the fluctuation level of interest rate, one dimension of IRL, is the dominant driving factor. Furthermore, this paper finds that the effect of IRL on the procyclicality of the liquidity buffer is amplified in non-primary, joint-stock, city and less-profitable banks. Additionally, the IRL has a higher negative impact on the liquidity buffer of banks that engage in greater risk-taking.</div></div>\",\"PeriodicalId\":47583,\"journal\":{\"name\":\"Journal of Asian Economics\",\"volume\":\"98 \",\"pages\":\"Article 101904\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2025-02-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Asian Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1049007825000284\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asian Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1049007825000284","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

本文基于2007 - 2019年中国377家商业银行的数据，研究了利率市场化对银行流动性缓冲顺周期性的影响。结果表明，流动性缓冲具有顺周期性。IRL的推进减少了银行流动性缓冲，加剧了其顺周期性。作为IRL的一个维度，利率波动水平的扩大是主要驱动因素。此外，本文还发现，在非一级银行、股份制银行、城市银行和低盈利银行中，IRL对流动性缓冲顺周期性的影响被放大。此外，IRL对从事更大风险承担的银行的流动性缓冲具有更高的负面影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Interest rate liberalization and the procyclicality of the bank liquidity buffer: Evidence from China

This paper investigates the impact of interest rate liberalization (IRL) on the procyclicality of the bank liquidity buffer based on data of 377 commercial banks in China from 2007 to 2019. The results show that the liquidity buffer is procyclical. The advancement of IRL diminishes the bank liquidity buffer and exacerbates its procyclicality. The expansion of the fluctuation level of interest rate, one dimension of IRL, is the dominant driving factor. Furthermore, this paper finds that the effect of IRL on the procyclicality of the liquidity buffer is amplified in non-primary, joint-stock, city and less-profitable banks. Additionally, the IRL has a higher negative impact on the liquidity buffer of banks that engage in greater risk-taking.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Asian Economics ECONOMICS-

CiteScore

4.70

自引率

9.40%

发文量

期刊介绍： The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.