利率波动对中国银行业绩效影响的实证研究

发布时间：2018-01-04 17:10

本文关键词：利率波动对中国银行业绩效影响的实证研究　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国利率长久处于被央行监管的状态，而2012年央行前后进行了两次利率及其浮动空间的调整，2013年又彻底解除贷款利率管制，在利率改革进程中迈出了很大的一步。目前我国商业银行业务单一，资产管理不成熟，当面对利率的频繁波动银行业绩必然会受到冲击。目前全面的研究阐述利率波动带给银行传统和非传统业务绩效的影响是非常少见的。故当我国银行业处于转型阶段时，研究利率波动对银行业绩效的影响并量化结果，具有重要意义。本研究从业务方面进行划分，将银行绩效分为传统业务以及非传统业务两类分别进行考察以及衡量。在市场利率的选择方面，选择了更具市场基准利率代表性的七天期银行间债券回购利率。从数据可得性因素出发，本文的研究样本选取的是在A股市场全部上市的16家商业银行，研究时间段跨度从2009年至2012年。在对银行业传统业务绩效衡量方面采用了经济增加值法，而对非传统业务绩效的衡量指标方面通过主成分分析将6项财务指标降维成2项指标。最后采用统计、计量分析方法以及Flannery模型通过Eviews和Spss软件进行实证分析。最终得出结论：（1）我国商业银行平均负债调整速度略小于资产调整速度；我国银行业是“借长贷短”模式；利率与利息收入和支出在短期和长期均是正相关关系，利率上升银行业将获利；（2）经过调整后的Flannery模型具有更高的拟合度；（3）利率与非传统业务的财务业绩及成长性存在着正相关关系，但是在商业银行非传统业务风险处理能力与利率之间的关系方面还需要进一步的深入研究。本文的研究成果将为银行规避利率风险、调整信贷比例、发展业务创新、拓宽收入渠道提供参考。
[Abstract]:The interest rate of our country has been under the supervision of the central bank for a long time, but before and after 2012, the central bank made two adjustments to the interest rate and its floating space, and in 2013, it completely lifted the control of the loan interest rate. In the interest rate reform process has taken a very big step. At present, our commercial bank business is single, asset management is not mature. The current comprehensive research on the impact of interest rate volatility on the traditional and non-traditional business performance of banks is very rare. Therefore, when China's banking industry is in transition, it is very rare to understand the impact of interest rate volatility on the performance of banks. Phase time. It is of great significance to study the impact of interest rate fluctuation on banking performance and to quantify the results. This study divides the bank performance into traditional business and non-traditional business from the aspect of business, and measures the choice of market interest rate. Based on the data availability factor, the sample of this paper is selected from 16 commercial banks listed in A-share market. The time span of the study is from 2009 to 2012. The economic added value method is used to measure the traditional business performance of the banking industry. On the other hand, the measurement index of non-traditional business performance is reduced to 2 indicators by principal component analysis. Finally, statistics is adopted. The econometric analysis method and Flannery model are analyzed by Eviews and Spss software. The final conclusion is: (1) the average debt adjustment speed of commercial banks in China is slightly lower than that of assets adjustment; China's banking industry is a "long loan short" mode; Interest rates are positively correlated with interest income and expenses in the short and long term, and the banking sector will make a profit if interest rates rise; (2) the adjusted Flannery model has higher fitting degree; Interest rate has a positive correlation with financial performance and growth of non-traditional business. However, the relationship between non-traditional business risk handling ability and interest rate of commercial banks needs further study. The research results of this paper will be for banks to avoid interest rate risk and adjust the credit ratio. Develop business innovation, broaden revenue channels to provide reference.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.3;F830.42

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