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Analysis of the regulation of liquidity requirements of Basel III influence on China's Bank credit and macro - economy

Author: WangXiaoMing
Tutor: ChenXueBin
School: Fudan University
Course: Finance
Keywords: Basel Ⅲ liquidity risk regulation LCR NSFR
CLC: F832.2
Type: Master's thesis
Year: 2012
Downloads: 373
Quote: 1
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Abstract


The global financial crisis in2008exposed loopholes of the contemporary banking regulatory system based on Basel frameworks. Especially, the regulatory system did not pay enough attention on the liquidity risk of commercial banks, neither aware of the damage it might cause. In the context of crisis, the Basel Committee accelerated the reformation of supervision on commercial banks’ liquidity risk and established its significance of the whole banking regulatory system. Issued officially in2010,<Basel Ⅲ:International framework for liquidity risk measurement, standards and monitoring> opens a new chapter of the global regulation on commercial banks’ liquidity risk.The core of regulatory requirements of liquidity risk in Basel Ⅲ is the introduction of two globally unified liquidity ratios-Liquidity Coverage Ratio (LCR) and Net Stable Funding ratio (NSFR). This thesis comprehensively analyses the definition and meaning of LCR and NSFR, and demonstrates that LCR ensures banks have enough high-quality liquid reserves to meet short-term liquidity needs, while NSFR optimizes the bank’s financing structure and improves the long-term stability of banks’ business operation. Furthermore, this thesis measures the current NSFR level of China’s banking industry. By using multiple linear regression and Panel VAR model, this thesis does empirical research on NSFR, which represents the new regulatory requirements of liquidity risk in Basel Ⅲ, may make potential impact on banking credit behavior and macroeconomic development in China. The results indicate that NSFR can distinctly restrict banking credit growth and has long-term effect on GDP growth and benchmark lending rate.The China Banking Regulatory Commission is promoting the implementation of Basel Ⅲ’s liquidity standards in China, which will improve commercial banks’ management level of liquidity risk and enhance the liquidity regulatory system of China’s banking industry. Based on the research conclusions, this thesis proposes several recommendations, including reformation of the liquidity risk monitoring indicator system, category management, promoting the development of financial markets and engaging new pattern of liquidity regulation, which may be helpful to the improvement of China’s banking regulatory system on liquidity risk.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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