《保险研究》20200501-《资本水平、经营模式与流动性创造——对我国寿险公司的实证检验》（张诗豪、赵桂芹）

［摘   要］金融中介通过将流动负债转化为非流动资产为市场提供流动性。寿险公司在金融市场中发挥类似银行的金融中介功能。基于此,本文利用2009~2017年我国寿险公司的数据,分析寿险公司的流动性创造水平,考察其流动性创造的关键影响因素,检验流动性创造与资本水平之间的关系。研究发现,寿险公司更多地吸收流动性而非创造流动性；从流动性创造总额上看,总资产占寿险业70%的大型寿险公司约吸收了寿险业63%的流动性；资本水平与流动性创造呈显著负相关关系,支持“挤压假说”,低资本水平的公司面临更大的监管压力和流动性需求,提高了流动性创造水平。不同公司规模下寿险公司的流动性吸收程度不同,相对于小型寿险公司,大型寿险公司资本水平的增加会对流动性吸收水平产生更强的杠杆作用；此外,偏向资产驱动负债经营模式的大中型寿险公司,流动性吸收功能较差,而小型寿险公司表现相反。本研究旨在为监管机构制定偿付能力监管政策、加强流动性监管以及促进保险公司坚持“保险姓保”等提供参考建议。

［关键词］寿险公司；流动性创造；资本水平；经营模式

［基金项目］本文得到国家自然科学基金面上项目“基于大数据的我国航运保险定价与风险管理研究(71973089)”、上海市社科规划一般项目“保险行业声誉风险:形成机制、度量与监管(2017BJB012)”资助。

［作者简介］张诗豪,上海财经大学金融学院博士研究生,研究方向:保险公司经营管理；赵桂芹,上海财经大学金融学院副教授,研究方向:风险管理与保险。

Capital,Operating Models and Liquidity Creation—An Empirical Test on Chinese Life Insurance Companies

ZHANG Shi-hao,ZHAO Gui-qin

Abstract：Financial intermediation creates liquidity by transforming liquid liabilities into non-liquid assets in the economy. Life insurance companies play a similar role of financial intermediation in the financial market. We used the data of Chinese life insurance companies from 2009 to 2017 to measure the level of life insurers′ liquidity creation,identifying key factors affecting their liquidity creation,and testing the relationship between the level of capital and liquidity creation. The paper reveals that life insurers absorb liquidity more than create liquidity. Large life insurers,accounting for 70 percent of life insurance sector′s total assets,absorb about 63 percent of the life insurance industry′s liquidity. The insurer′s capital level is negatively related to its level of liquidity creation,supporting the “financial fragility-crowding out” hypothesis. Companies with low level of capital face more regulatory pressures and liquidity demands,which raises their level of liquidity creation. Life insurers of different size have different levels of liquidity absorption. Compared with small life insurers,capital increase of large life insurers tends to have higher leverage in liquidity absorption. In addition,medium and large insurers with asset-driven-liability model tend to have less liquidity absorption,while small life insurers are the opposite. The paper provides important reference for regulators to enhance solvency regulations,strengthen liquidity management,and promote insurance companies to focus on the protection function of insurance products.

Key words：life insurers;liquidity creation;capital level;operation model