Abstract

The outbreak of the international financial crisis in 2007 exposed many defects of the original Basel agreement.The Third Basel Accord（Basel Ⅲ）came into being to fix the shortage and defects of liquidity risk management that is not concerned in the Basel Ⅰ or Ⅱ.In 2011，the liquidity regulatory framework was formal implemented in China，which excerted great influence on the asset allocation，credit risk and the ability to resist risk（in the form of financing cost and profitability）of traditional business of commercial banks.At the mean time，banks'systemic risk also fluctuated with the different degrees of liquidity adjustment.What's more，China's the domestic financial market had unexpectedly undergone tremendous changes since the promotion of liquidity regulation.Commercial banks transfer their business to offbalance sheet through financial products（also called wealth management products，WMPs）in order to avoid supervision.This trend witnessed the rapid growth of China's shadow banking system.China's shadow banking came into being against the background of the sharp contraction of credit supply during 2011 and 2013，on the one hand to avoid the"directional"administrative control，on the other hand，to avoid financial supervision.Therefore，the traditional model of financial supervision is unable to meet the new situation，we need to re-examine China's shadow banking system and its regulatory issues.

In order to study the problem more comprehensively，this paper studies the impact of Basel Ⅲ-liquidity regulation from two angles：the traditional on-balance business and off-balance-sheet business.This dissertation consists of eight chapters and can be concluded as following：

Firstly，from the angle of the on-balance business，we study the mechanism of the impact of NSFR on the risk of traditional commercial banking business.We find that NSFR can significantly increase debt financing costs，reduce the credit risk of bank loans，decrease the yield rate of loan assets，and enhance the bank profit profitability on other assets.Although the increase of NSFR cannot significantly increase the profitability of the interest-earning assets，it can enhance the profitability of other earning assets significantly.Therefore，NSFR can overall enhance the bank's total assets'profitability（ROA）.In conclusion，the increase of NSFR will reduce the credit risk of commercial banks，but reduce the resilence of risk shock by increasing the cost of financing.But overall it can increase the bank resilence by improving the profit level.

Secondly，the dynamic adjustment of NSFR，which is also a main topic for on-balance business，deserves great attention from the academia.After the NSFR requirements are proposed，China's commercial banks have been actively adjusting their liquidity level.So far，the actual levels of NSFR are higher than the lowest requirements（100%）.Our further study showed that the target level and the speed of NSFR adjustment of Chinese commercial banks were higher than that of foreign banks based on the partial adjustment model.In fact，the reasons that China's commercial banks set higher NSFR targets level are the non-performing loans，bank capital adequacy level，and the repeated addressing of liquidity regulation by the Chinese regulators or government.As for the speed of NSFR adjustment，the growth plan，the high cost of capital and the narrowing of long and short term spreads are also important factors.

Based on the adjustment target and adjustment speed of NSFR in Chapter 4，the externality of liquidity adjustment to systemic risk is studied.The marginal expected shortfalls（MES）are calculated as the proxy variable of system risk，which means the marginal expected risk spillovers by individual bank to the system risk.We found that the higher is the NSFR target level，the greater individual stability（ADZP）and lower MES.Meanwhile，the faster the NSFR adjustment speed，the more unfavorable it is to maintain the stability of banks as well as the system risk loss.The study shows that inapproperiate adjustment plans will have negative externality to the system.According to the empirical results，this paper puts forward three"financial firewalls".Firstly，maintain the appropriate level of bank liquidity buffers.Secondly，improve China's commercial banks'information disclosure level.Thirdly，continue to improve the deposit insurance system and the bank bankruptcy liquidation regime.

We know that on-balance business is highly influenced by NSFR supervision from above.So banks expand their off-balance business under the pressure.How to improve financial regulation regime has long been one of the most important issue of Chinese government.Chinese shadow banking，which arose in recent years，has attracted the most attention.I summarized 5 most popular model of WMPs and found out the underlining economic rule.Using the basic idea，I set up a partial equilibrium model about Chinese wealth management products（WMPs）which are deeply rooted in the traditional Chinese commercial banks.According to the model we lodge out two hypothesises：Regulatory Arbitrage Hypothesis and Information Asymmetry Hypothesis.(https://www.daowen.com)

Then，we use the data of Chinese wealth management products during 2006 to 2015 to test the two hypothesis.We find that regulatory arbitrage is the main driver of WMP's rapid expansion.The more pressure of the regulation，the more incentive for the commercial banks to expand the size of off-balance-WMP and risk-taking behavior.When the regulatory requirements are recalibrated，the effect of regulatory arbitrage on marginal risk taking behavior becomes reinforced or reduced.We also argue that transparency can moderate the drive-up behavior.Some relevant suggestions are provided to solve the over-expansion and risk-taking behavior according to the results.

The contributions of this paper are as follows：

Firstly，the quantitative study of Basel Ⅲ is still in its infancy and the domestic study of Basel Ⅲ mainly stays in qualitative analysis stage.In this paper，we analyzed and measured the liquidity supervision index raised by Basel Ⅲ.Furthermore，the empirical test is carried out to analyze the mechanism of the influence of the longterm liquidity supervision indicators on bank credit risk and risk-taking behavior.

Secondly，we used partial adjustment model to calculate the optimal NSFR target level and actual adjustment speed of China's banking industry.And we analyzed the driving factors of the optimal level and adjustment speed from the perspective of special characteristics of China's banking industry.We proved that the inappropriate adjustment plans have negative externality on the bank risk and systemic risk.

Thirdly，a theoretical model of regulatory arbitrage，bank transparency and shadow banking is established.It is proved that transparency can moderate the driveup behavior by the regulatory arbitrage but will not arouse great fluctuation of the financial system.This paper also quantitatively verifies the relationship between the liquidity regulation arbitrage and the risk of shadow banking.We found that the more stringent supervision，the larger the size and risk of shadow banking，which further verifies the theoretical model.Lowing the level of bank or WMP's information asymmetry can better the prospects of successful resolution.

Key words：Basel Ⅲ，liquidity rgulation，risk-taking behavior，systemic risk，on-balance-sheet business，off-balance-sheet business，regulatory arbitrage，transparency