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中文摘要：
本文利用商业银行资产负债表数据研究了商业银行流动性风险的传染特征。经过分析认为,相对于存款市场,银行同业拆借市场的市场化程度更高,因此更能反映商业银行的流动性状况。同业拆借市场连接了各个商业银行,成为流动性风险传染的重要渠道。因此,本文采用条件在险价值（Co Va R）方法分析了中国商业银行流动负债中的同业存放这一科目的相对指标,结果发现不同的银行具有不同的流动性风险传染特征,实际数据支持存在由规模较小的商业银行发起、通过系统重要性银行扩大而导致系统性风险的可能,并提出相应监管手段与风险应对措施的建议。
英文摘要：
By employing the financial statement of commercial banks, this paper studied the characteristics of liquidity risk contagion. After analysis, we think that the interbank market is much more market- oriented, and it could reflect the liquidity risk of a commercial bank much better. The interbank market also plays an important role in relating all banks, which enable it to become the main route for liquidity risk contagion. Thus, we analyzed the relative change of interbank loan of listed commercial banks by using Co Va R, and we found that the bank＇s characteristic of risk spillover effect is different from each other, which means that a smaller bank＇s liquidity problem could cause systemic risk if it infected a much bigger bank. We also give some advice on regulation and risk management.
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