Abstract Based on the micro-data of 74 banks in China from 2011 to 2017, this paper empirically tests the impact of liquidity risk and credit risk on the liquidity of bank unit assets by constructing a dynamic panel data model. The research results show that: (1) The increase of liquidity risk will reduce the liquidity creation of China's banking sector; while the increase of credit risk increases the bank's liquidity creation level. (2) For banks of different ownership structure, there are significant differences in the impact of liquidity risk and credit risk on liquidity creation. Large state-owned banks and joint-stock banks have no significant impact on the liquidity creation of their unit assets, and this relationship is significantly negative in regionally operated urban commercial banks and rural commercial banks; whether it is a large state-owned bank, Joint-stock banks or local commercial banks, and the increase in credit risk has significantly increased the creation of liquidity of unit assets. (3) Asset size offsets the negative impact of liquidity risk on liquidity creation, but the impact of credit risk on liquidity creation does not depend on the size of the bank's assets.
2020, Vol. 37 
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