The impact of interest rate liberalization on the liquidity risk of commercial banks

Abstract

This paper selects quarterly data of 10 commercial banks in China (including 5 large state-owned commercial banks and 5 joint-stock commercial banks) for the 10 years from 2011 to 2020 for the study, and constructs a mixed cross-sectional regression model through multiple covariance test and heteroskedasticity test to empirically analyze the relationship between interest rate marketization and liquidity risk of commercial banks in China, and draws the following conclusions: First,interest rate First, the market-oriented reform will greatly increase the liquidity risk level of commercial banks. Second, the interest rate market reform gives heterogeneity to the liquidity risk of large state-owned commercial banks and joint-stock banks. Third, the effect of bank size on commercial banks' liquidity risk is not significant. Fourth, monetary and quasi-monetary growth rates move in the same direction as commercial banks' liquidity risk.