我国支付系统对商业银行流动性风险管理的影响评估

发布时间：2018-02-23 04:11

本文关键词： 商业银行流动性风险管理支付系统影响评估　出处：《云南师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：在2008年全球性经济危机发生以来，商业银行的流动性风险管理引起了各国监管机构和研究机构的高度重视和关注，很多监管方式和理论研究成果遭到了颠覆，加强商业银行流动性风险管理有着越来越重要的现实意义。我国研究商业银行流动性风险管理起步较晚，，研究主要停留在影响商业银行流动性风险管理的内部因素上，对外部因素的影响研究比较缺乏。基于上述背景，本文研究从我国第二代支付系统即将上线运行这一事件出发，围绕商业银行流动性风险管理影响因素展开分析，综合近年来我国商业银行流动性波动情况，总结出我国商业银行流动性变化的特点及影响因素。针对我国第二代支付系统即将上线运行，着重研究了支付系统对商业银行流动性风险管理的影响和作用机制，希望得出支付系统与商业流动性风险管理之间的关系。研究发现：我国商业银行流动性风险管理主要受内部因素和外部因素两个方面的影响，而外部因素主要有货币政策、金融发育程度、国际资本流动和金融基础设施，我国支付系统作为最重要的金融基础设施，从宏观层面和微观层面对商业银行流动性风险管理产生了影响。通过利用VAR模型与Granger因果检验进行了实证分析，得出我国支付系统对商业银行流动性风险管理的影响最为显著这一结论。由此也引出了我国支付系统一旦出现不可抗拒的自然灾害或故障，我国商业银行流动性将面临巨大的风险损失。因此我国应尽快完善支付系统灾难备份和应急管理，商业银行也应高度重视自身行内系统的建设，并完善流动性风险管理的相关制度。
[Abstract]:Since the global economic crisis occurred in 2008, the liquidity risk management of commercial banks has aroused the great attention and attention of the regulatory agencies and research institutions in various countries, and many regulatory methods and theoretical research results have been subverted. It is more and more important to strengthen the liquidity risk management of commercial banks. The research on liquidity risk management of commercial banks starts late in China, and the study mainly focuses on the internal factors that affect the liquidity risk management of commercial banks. Research on the influence of external factors is relatively lacking. Based on the above background, this paper studies and analyzes the influencing factors of liquidity risk management of commercial banks from the event that the second generation payment system is about to go online, and synthesizes the liquidity fluctuation of Chinese commercial banks in recent years. This paper summarizes the characteristics and influencing factors of the liquidity change of commercial banks in China. In view of the coming into operation of the second generation payment system in China, the influence and mechanism of payment system on liquidity risk management of commercial banks are studied emphatically. We hope to find out the relationship between payment system and business liquidity risk management. It is found that liquidity risk management of commercial banks in China is mainly influenced by internal and external factors, while external factors mainly include monetary policy, degree of financial development, international capital flow and financial infrastructure. As the most important financial infrastructure, the payment system of our country has influenced the liquidity risk management of commercial banks at the macro and micro levels. By using VAR model and Granger causality test, the empirical analysis has been carried out. The conclusion that the payment system of our country has the most significant influence on liquidity risk management of commercial banks has also drawn the conclusion that once there is an irresistible natural disaster or failure in the payment system of our country, The liquidity of commercial banks in China will face huge risk loss. Therefore, China should improve the disaster backup and emergency management of payment system as soon as possible, and commercial banks should also attach great importance to the construction of their own internal systems. And improve the liquidity risk management system.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.2;F832.33

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