建立全球统一的流动性监管框架是2008年金融危机后由巴塞尔委员会（BCBS）主导的金融监管改革的核心内容之一，并以引入流动性覆盖率（LCR）和净稳定资金比例（NSFR）两个量化指标为主要标志。我国监管当局于2014年即引入LCR监管要求，尽管业界对该政策影响的讨论较多，但学术界对该问题关注不足。LCR作为针对商业银行的核心监管要求之一，科学评估其政策影响对优化监管框架，防范化解重大金融风险具有重要意义。本文以中国LCR监管要求落地过程中的差异化安排作为政策冲击，创新地使用（DID）方法识别其对商业银行资产负债管理策略的影响。使用手工收集的商业银行“一、二把手”晋升数据探究商业银行特定资产负债策略调整的动因。使用案例分析和VAR分析，研究商业银行的这些资产负债管理策略调整行为的经济后果，得出以下结论：第一，LCR监管要求对商业银行资产管理策略的影响有限。受监管银行并未顺应监管导向提升优质流动性资产（HQLA）充足水平，HQLA占比和贷款占比均未发生显著变化，但同业资产占比有所下降。动因分析和异质性检验结果表明，商业银行的这一策略选择可能受到了高管政治晋升动机的影响，LCR监管冲击后，发生了高政治晋升的商业银行的资产策略调整与LCR监管导向的偏离更为严重。第二，LCR监管要求对商业银行负债管理策略的影响较大。受监管银行在政策冲击后，采取了“减少同业负债，增加债券发行”的负债结构调整策略。动因分析表明，商业银行的这一策略选择是充分挖掘LCR计量规则的结果。受监管银行增发的债券主要是同业存单，尤其是对LCR指标改善作用明显的3个月及以上期限的同业存单。同业存单已然成为助力商业银行LCR监管合规的有力工具。第三，从经济后果看，商业银行为应对LCR监管而进行的这些资产负债策略调整不仅未从实质上提升其流动性充足水平，且从资金来源运用两端对影子银行体系的流动性产生了挤压，进而对金融市场稳定和经济增长有一定负面影响。根据上述研究结论，作者对改进流动性监管方式、优化流动性监管框架、从根本上降低商业银行流动性风险提出了一些政策建议。
Establishing a globally unified liquidity regulatory framework was one of the core components of the international financial regulatory reforms led by the Basel Committee on Banking Supervision (BCBS) after the global financial crisis in 2008. It was marked by the introduction of two quantitative regulatory indicators, the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). The Chinese regulatory authorities introduced the LCR regulatory requirements in 2014. Although there have been numerous discussions in the industry about the impact of this policy, the academic community has paid insufficient attention to this issue. As one of the core regulatory requirements for commercial banks, scientific assessment of its policy impact is of great significance for optimizing the policy framework and preventing and resolving major financial risks.In this paper, the differentiated arrangement of China‘s implementation of LCR regulatory requirements is used as a policy shock, and the Difference-in-Differences (DID) method is innovatively used to identify the impact of LCR regulatory requirements on asset-liability management strategies of commercial banks. Commercial bank promotion data for top executives were manually collected to study the underlying mechanisms behind specific asset-liability management strategy adjustments of commercial banks. By using case studies and VAR analysis, the economic consequences of the asset-liability management strategy adjustments made by commercial banks to cope with LCR regulation were studied, and the following conclusions were drawn:First, LCR regulatory requirements have a limited impact on the asset management strategies of commercial banks. Regulated banks haven’t improved their High Quality Liquid Assets（HQLA）adequacy level in accordance with regulatory guidance, and there have been no significant changes in the proportions of HQLA and loans. However, the proportion of interbank assets has decreased. Mechanism analysis and heterogeneity test results indicates that this strategy choice of commercial banks may be driven by top executives political promotion. Banks that ever did experienced political promotion deviates more from the LCR supervision orientation after the LCR regulatory shock.Second, LCR regulatory requirements have a significant impact on the liability management strategies of commercial banks. Regulated banks have adopted a liability structure adjustment strategy of "reducing interbank liabilities and issuing more bonds". Mechanism analysis indicates that this strategic choice of commercial banks should be driven by exploring the measurement rules of the LCR. The bonds issued are mainly Negotiable Certificate of Deposits(NCDs), especially those with maturities of three months or more, which have a significant effect on improving the LCR indicator. NCDs have become powerful tools for commercial banks to comply with LCR regulatory requirements.Third, from the perspective of economic consequences, the above-mentioned asset-liability strategy adjustments made by commercial banks in response to LCR regulation did not truly improve the liquidity adequacy of banks. Additionally, they squeezed the liquidity level of the shadow banking system from both funding sources and utilization sides, and had certain negative impacts on financial market stability, credit spreads, and economic growth.Based on the above research findings, the author puts forward some policy suggestions for the regulatory authorities to improve the supervision method, optimize the liquidity regulatory framework and fundamentally reduce the liquidity risks of commercial banks.
