我国商业银行杠杆率管理研究

发布时间：2018-01-10 15:39

本文关键词：我国商业银行杠杆率管理研究　出处：《兰州商学院》2013年硕士论文　论文类型：学位论文

【摘要】：2008年，由美国次贷危机引发的国际金融危机全面爆发。虽然，欧美主要商业银行的资本充足率在危机前都很高，但它们依旧没有逃脱金融危机的冲击，损失惨重。由此，引发了国际社会对现行资本监管制度进行了全面的反思，认为仅靠资本充足率这一单一指标很难完全监管商业银行的系统性风险。巴塞尔协议Ⅲ的提出就是全球银行业资本监管改革的产物，它对全球资本监管提出了更高的要求。杠杆率作为一项新的监管指标被提出，成为巴塞尔协议Ⅲ中资本监管框架的重要内容。它有效地补充了资本充足率的不足，其在资本监管中的地位是不容忽视的。因此，，研究商业银行的杠杆率管理在当下乃至今后都具有极其重要的现实意义。本文首先对杠杆率的概念以及特征进行了详细的阐述，并将杠杆率与资本充足率进行对比，简要解释了文中涉及到的几个重要的资本结构理论，加上对国内外现行的杠杆率制度的深入剖析，为本文的研究奠定了坚实的理论基础；然后，根据银监会对我国商业银行类型的划分，结合我国16家上市商业银行的财务数据，对我国商业银行的杠杆率现状进行了全面的统计分析；由于存在各种不确定的因素，商业银行的杠杆率水平受到许多因素的影响，那么究竟有何因素影响了杠杆率水平，就是本文第四章的主要内容。并且选择我国14家上市商业银行的面板数据进一步进行实证检验，得到商业银行的杠杆率与其资本充足率、盈利能力、不良贷款率呈负相关关系，而与商业银行的规模呈正相关关系。最后，文章对如何完善我国商业银行杠杆率管理提出了合理的政策建议。
[Abstract]:In 2008, the international financial crisis caused by the subprime mortgage crisis in the United States broke out. Although the capital adequacy ratio of major commercial banks in Europe and the United States was very high before the crisis, they still did not escape the impact of the financial crisis. As a result, the international community has made a comprehensive reflection on the current capital supervision system. It is considered that it is difficult to completely supervise the systemic risk of commercial banks by the single index of capital adequacy ratio. The proposal of Basel III is the result of capital supervision reform in global banking industry. It puts higher demands on global capital regulation. Leverage is proposed as a new regulatory indicator. It has become an important part of the capital regulatory framework in Basel III. It effectively complements the deficiency of capital adequacy ratio and its position in capital supervision should not be ignored. It is of great practical significance to study the leverage ratio management of commercial banks at present and in the future. In this paper, the concept and characteristics of leverage ratio are described in detail, and the leverage ratio and capital adequacy ratio are compared, briefly explaining several important capital structure theories involved in this paper. In addition, the in-depth analysis of the current leverage ratio system at home and abroad has laid a solid theoretical foundation for the study of this paper; Then, according to the classification of China's commercial banks by CBRC and the financial data of 16 listed commercial banks in China, the paper makes a comprehensive statistical analysis on the current situation of the leverage ratio of Chinese commercial banks. Because of all kinds of uncertain factors, the leverage level of commercial banks is affected by many factors, so what factors affect the leverage level. Is the main content of this article 4th chapter. And select 14 listed commercial banks in our country panel data to further empirical test, get the leverage ratio of commercial banks and their capital adequacy, profitability. The ratio of non-performing loans is negatively correlated with the scale of commercial banks. Finally, the paper puts forward reasonable policy recommendations on how to improve the leverage ratio management of commercial banks in China.
【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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