利率市场化进程中银行业净利差影响因素实证研究

发布时间：2018-01-10 23:15

本文关键词：利率市场化进程中银行业净利差影响因素实证研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：在传统的利率管制背景下,银行业净利差主要由存贷利差决定,随着利率市场化改革的推进,存贷利差管制逐渐放松,银行业存贷款定价区间逐步扩大,这些变化将对银行业净利差产生影响,导致对净利差保护的作用减弱,银行业盈利能力承压,将面临更大的竞争压力。银行业如何面对利率市场化进程中的各种挑战,形成有效的自主定价能力,以及在面对社会尽快取消存贷利差的种种呼声和银行业经营模式转型的压力下,利率市场化改革如何推进都成为重要问题。因此,本文研究利率市场化进程中我国银行业净利差的影响因素及其变化具有重要意义。首先,净利差是度量银行绩效的一个非常关键的指标,虽然银行业务日益多样化,但是目前息差收入仍然占比很大,因此研究净利差的影响因素有助于银行加强经营管理,提升效率,提高盈利水平。其次,国外银行业净利差理论模型都是在利率完全市场化条件下展开的,而我国银行业从计划经济体制中走过来,虽然具有一定的利率定价自主权,但并没有获得利率定价的完全自主权,因此在传统的净利差模型中加入央行存贷利差等因素更能接近中国净利差影响因素的实质,更符合利率市场化改革的现状,更具有现实意义。第三,随着我国利率市场化改革的不断推进,只有明确了央行存贷款利率调整对银行业净利差的影响程度,才能最终解除对存贷款基准利率的直接控制,从而有助于我国银行业在自主权范围内合理地决定其银行利差。第四,可以为利率市场化改革进程中的重要举措提供现实依据,并进一步评价我国渐进式利率市场化改革的效果,有利于国家丰富货币政策工具,加强对银行业的正确引导及利率市场化的进一步深化。最后,通过研究利率市场化进程中银行业净利差影响因素的变化,有助于加快银行业经营模式转型,提高银行利率定价能力和资产负债管理水平,进一步推进银行业改革。本文在Ho和Saunders交易商模型的基础上,结合我国实际情况,对模型做了进一步改进和修正,加入了存贷利差、资本充足率、货币供给量及银行自身经营情况等实际变量,利用14家上市银行1997-2012年的年度数据,从银行自身因素、中观行业因素、宏观经济环境因素三个方面,运用面板数据模型和时间分阶段方法实证检验了利率市场化进程中银行业净利差影响因素及其变化,揭示了利率市场化改革的成果和利率市场化改革对银行业利率定价行为的影响,得出结论：除传统的存贷利差因素外,我国银行业净利差影响因素正逐渐增加；2004年利率市场化改革前后,存贷利差的影响正在逐渐减弱,银行规模、运营成本、风险水平等银行自身因素对银行业净利差影响逐渐增强；我国银行业市场竞争结构得到一定程度的改善,但利率市场化改革有待于进一步推进的结论。最后基于研究结论,本文从银行业自身、政策制定和监管角度分别给出了合理化的建议。
[Abstract]:In the traditional interest rate regulation under the background of net banking spreads is mainly determined by the savings and loan spreads, along with the reform of interest rate liberalization, deposit rate deregulation, bank deposit and loan pricing range gradually expanded, these changes will have an impact on the net interest margin of banks, leading to a weakening of the net interest margin protection, profitability the banking industry will face greater pressure, the pressure of competition. How banks face various challenges in the process of interest rate marketization, the formation of independent pricing capability effectively, and the pressure of the transformation of the management mode of various calls to cancel the deposit rate as soon as possible in the face of the society and the banking industry, how to promote the reform of interest rate marketization has become an important issue. Therefore, is important factors and changes of net interest margin of China's banking industry in this paper in the process of interest rate marketization. First, the net interest margin is a measure of bank performance One of the key indicators, although the banking business is diversified, but the current interest income is still a large proportion, so the study of the influence factors of net interest margin helps the banks to strengthen management, improve efficiency, improve profitability. Secondly, net interest margin of foreign banking model are conducted in the condition of interest rate marketization under completely however, China's banking industry from the planned economy system came in, although a certain interest rate pricing autonomy, but did not get the interest rate pricing of full autonomy, so the central bank interest rate spreads and other factors added in the net interest margin can be closer to the traditional model of real factors China net interest margin, more in line with the current interest rate market reform, has more practical significance. Third, as China's market-oriented interest rate reform, only a clear impact of bank deposit and loan interest rate adjustment on the net interest margin of banks The degree, can eventually lift the direct control of the benchmark deposit and lending rates, so as to contribute to China's banking industry in the limits of the autonomy of reasonably determine the bank spreads. Fourth, it can provide the realistic basis for an important measure of the market-oriented interest rate reform process, and further evaluation of China's gradual reform of interest rate marketization effect rich, is conducive to national monetary policy tools to further deepen and strengthen the correct guidance of the interest rate market to the banking industry. Finally, through the study of interest rate marketization process of net interest margin in the industry factors changes, help to speed up the banking business model transformation, improve the bank interest rate pricing and asset liability management level, to further promote the the reform of the banking sector.
Based on the Ho and Saunders dealer model, combined with China's actual situation, the model has been further improved and revised, joined the deposit and loan interest rate, capital adequacy ratio, the actual variables of money supply and the bank's own business situation, the 14 listed banks in 1997-2012 annual data from the bank's own factors, medium the industry factors, three aspects of the macro economic environment factor, using the panel data model and time phased method to empirically the factors and change of interest rate marketization of net interest margin in the industry, to reveal the influence of interest rate marketization reform and market-oriented reform of interest rate on bank pricing behavior and draw the conclusion: in addition to loan the spread of traditional factors, factors of net interest margin of China's banking industry is gradually increased; after 2004, market-oriented interest rate reform, influence interest spread is gradually reduced Weak, bank scale, operation cost, risk level of the bank's own factors influence on net banking spreads gradually increased; competition structure of China's banking market has improved to a certain extent, but the interest rate marketization reform needs to further promote the conclusion. Based on the research conclusions, this paper from the perspective of the bank itself, policy formulation and regulators are given reasonable suggestions.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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