期限错配下银行短期流动性风险研究

发布时间：2018-03-12 22:15

本文选题：流动性风险　切入点：期限错配　出处：《湖南大学》2016年硕士论文　论文类型：学位论文

【摘要】：期限错配下银行的短期流动性风险不仅仅关系到商业银行自身的发展,还会影响到投资者的利益,更会影响到一国经济的持续稳定和发展。伴随着金融危机的爆发频率加快、破坏力加深、波及的范围更加广,对期限错配下商业银行的短期流动性风险的监管日渐严格,银行资产负债期限错配所导致的短期流动性风险日渐成为了学术界研究的焦点。本文将深入研究期限错配下商业银行潜在的短期流动性风险。已有的文献大多采用流动性比率、流动性缺口率等静态指标测度期限错配下商业银行的短期流动性风险。而本文从动态视角出发,借助商业银行一个月内到期资产负债数据,运用动态流动性缺口模型,从到期资产违约渠道和银行声誉风险渠道分析商业银行短期流动性需求与供给,测量一个月内流动性需求与流动性供给状况,估算出商业银行短期资金错配缺口,进而对商业银行短期流动性风险进行测度。测度结果显示,我国商业银行短期流动性风险在2008年迅速上升,之后有所下降并保持平稳,在2013年又普遍上升,这一结果较好地贴合了我国商业银行短期流动性风险的现实情况。在此基础上,继续探究期限错配下商业银行短期流动性风险的影响因素,运用8家提供了一个月内到期资产负债数据的商业银行的实际数据,借助横截面面板模型,对其影响因素进行分析,主要得出以下结论：从宏观角度看,国家良好的经济发展态势使商业银行短期流动性风险较小,而货币市场环境越宽松,商业银行越存在短期流动性风险隐患：从商业银行自身角度看,资本充足率、流动性比例、资产规模越小会加大商业银行短期流动性风险,贷款占总资产比例越大,商业银行短期流动性风险越大。本文基于动态流动性缺口模型,阐述了期限错配下银行短期流动性风险的测度方法,并对其影响因素进行了实证分析,为研究我国商业银行的短期流动性风险提供了新思路。
[Abstract]:The short-term liquidity risk of banks under term mismatch is not only related to the development of commercial banks themselves, but also to the interests of investors, but also to the sustained stability and development of a country's economy. The damage has deepened, the scope of the contagion has been wider, and the regulation of short-term liquidity risks of commercial banks under maturities mismatch has become increasingly stringent. The short-term liquidity risk caused by the maturity mismatch of bank assets and liabilities has become the focus of academic research. This paper will study the potential short-term liquidity risk of commercial banks under term mismatch. Static indicators such as liquidity gap rate measure short-term liquidity risk of commercial banks under maturity mismatch. From the dynamic point of view, this paper uses the dynamic liquidity gap model with the help of the maturity assets and liabilities data of commercial banks within one month. This paper analyzes the short-term liquidity demand and supply of commercial banks from the channel of default of maturity assets and the channel of bank reputation risk, measures the situation of liquidity demand and liquidity supply within one month, and estimates the shortage of short-term mismatch of funds in commercial banks. The results show that the short-term liquidity risk of Chinese commercial banks rose rapidly in 2008, then declined and remained stable, and then generally rose in 2013. This result fits well with the reality of short-term liquidity risk of commercial banks in China. On the basis of this, we continue to explore the influencing factors of short-term liquidity risk of commercial banks under term mismatch. Using the actual data of 8 commercial banks which provide the data of maturing assets and liabilities within one month, with the help of cross-section panel model, the influencing factors are analyzed. The main conclusions are as follows: from the macro point of view, The favorable economic development situation of the country makes the short-term liquidity risk of commercial banks smaller, and the looser the money market environment, the more risks of short-term liquidity risk of commercial banks: from the point of view of commercial banks, the capital adequacy ratio, liquidity ratio, The smaller the scale of assets, the greater the short-term liquidity risk of commercial banks, the larger the ratio of loans to total assets, the greater the short-term liquidity risk of commercial banks. This paper expounds the measurement method of short-term liquidity risk of banks under term mismatch, and makes an empirical analysis of its influencing factors, which provides a new way of thinking for the study of short-term liquidity risk of commercial banks in China.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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