我国商业银行风险与非利息收入关系的实证分析

发布时间：2018-03-18 05:13

本文选题：商业银行　切入点：非利息收入　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：受制于分业经营政策,长期以来我国银行业的收入一直依赖于存贷款利差,与西方发达国家的银行在收入结构方面存在着较大的差异。近年来,受金融创新、利率市场化要求、社会融资结构变化、居民投资与理财意识的逐步提高等因素的影响,我国商业银行的业务创新与发展可谓突飞猛进,在传统信贷业务之外积极开拓非利息收入业务。非利息收入逐渐受到各大银行的重视,并在其年报的财务概况中作为重要的赢利性指标进行阐述。从年报数据上看,净利息收入在商业银行净营业收入中的比重逐年缩小,而非利息收入占银行净营业收入的比重却逐年增大。其中,手续费及佣金净收入日益呈现出高过净利息收入增长的速度,占银行营业收入的比重逐步提高。根据央行发布的《2012年第四季度中国货币政策执行报告》显示,2012年我国金融机构存贷款利率总体继续下行,12月份非金融企业及其他部门贷款加权平均利率为6.78%,比年初下降1.23个百分点。此外,我国的社会融资方式多元发展,其中人民币贷款增加较多,但占比下降至历史最低水平;而人民币贷款以外的融资方式如信托贷款、企业债券融资十分活跃,直接融资占比创历史最高水平。传统银行贷款占我国融资规模的比例日益下滑,从2002年的95%降至2011年的仅仅58%,而在这期间,社会融资总规模增长了近7倍。虽然面临存贷款利差缩小、直接融资方式增加的压力,但是据银监会统计数据显示,2010～2012年国内商业银行依然实现了净利润从7637亿元到12386亿元的突破,增长速度将近65%,其中来自非利息收入增长的贡献不可小觑。此外,在政策层面上,政府积极鼓励银行向非利息收入业务领域拓展和做大做强。去年12月,经国务院批准,中国人民银行、银监会、证监会再次扩大商业银行设立基金管理公司试点范围,商业银行设立基金管理公司,有利于拓宽非利息收入的业务范围。到目前为止,我国商业银行的业务范围已经涉足信托、保险、证券、金融租赁业等。随着我国商业银行纷纷将非利息收入作为重点业务之一进行开拓,人们很自然的会担忧这样一种发展趋势是否会扩大商业银行的经营风险呢?与净利息收入相比,非利息收入是否更具有波动性?非利息收入对我国商业银行的风险有否有显著的影响?这些问题都有待解决。鉴于2007年美国次贷危机的爆发以及在危机中来源于资产证券化产生的手续费及佣金收入所扮演的角色,深化对银行非利息收入本质的研究具有全球性重要意义。目前我国银行业正处于快速开放和变革的过程中,对近些年银行业收入结构以及宏观环境新出现的特点与银行风险的关系进行深入的分析,对于我国构建稳固的银行业微观结构具有重要的政策意义。本文的关注焦点是我国商业银行非利息收入的发展现状,其规模的迅猛发展是以银行传统信贷业务出现萎缩为前提的,究其背景是中国利率市场化改革与居民收入结构变化致使投资与理财意识提高的双重效应叠加。面对监管当局针对银行非利息收入业务出台新规则,逐步加强对银行非利息收入业务的监管,如何既有效地扩大业务规模又能防止风险水平提高成为国内商业银行面临的现实问题。国内外学者对商业银行风险与非利息收入之间的关系进行了系统的分析,本文在众多学者研究的基础上,结合理论分析与实证分析,论证了非利息收入与商业银行的风险二者之间可能存在的关系,以及非利息收入的发展对商业银行风险的影响机制,目的是为商业银行发展非利息收入提供一些思路,对于当前我国商业银行进行业务转型、做好风险控制具有重要的现实意义。本文共分为五个部分,具体如下：第一部分是导论。首先介绍了本文的选题背景和研究意义,然后扼要概述本文的研究思路、研究方法与不足,并总结了本文的创新之处。第二部分是文献综述。首先界定了非利息收入的概念,然后从多元化经营理论、范围经济理论、金融创新理论三个层面介绍了商业银行拓展非利息收入的理论基础,最后总结了国内外对商业银行的风险与非利息收入之间关系的实证研究成果,为后文的现状分析和实证分析打下基础。第三部分是非利息收入业务在我国的发展简析,为本文的主体部分。首先从历史角度概述了非利息收入业务在我国的发展历程,并总结了每一阶段非利息收入所呈现的特征,及其背后的原因；然后从行业整体与两大类银行对比两方面,并结合数据对我国商业银行非利息收入的发展现状进行定性和定量分析；最后从三个方面重点阐述了非利息收入对我国商业银行的风险可能产生的影响：银行传统信贷业务的风险和收益水平受到影响、银行经营杠杆与财务杠杆放大致使经营风险增加、银行风险管理难度加大。第四部分是实证分析。首先从非利息收入与净利息收入的相关性、波动性、周期性三方面对我国商业银行风险与非利息收入的关系做出一个基本判断,结果发现我国大多数商业银行的非利息收入与净利息收入是负相关的,且非利息收入的波动性大于净利息收入,但是与净利息收入相比,非利息收入受经济周期波动的影响较小；其次为商业银行的风险确立衡量标准,并据此建立计量模型；最后用2002~2011年我国13家上市商业银行的面板数据进行实证分析,得到的基本结论为：提高非利息收入占比能够有效提升商业银行经风险调整的资产收益率,从而降低银行的风险水平；但是,由于非利息收入的波动性较大,其主要是通过两类收入之间的低相关性分散了经营风险,取得多元化收益的；此外,对国有商业银行和股份制商业银行而言,非利息收入对银行风险的影响机制不同,具体来说是：非利息收入给国有商业银行带来的风险分散效应更为显著。第五部分是结论。本章在前文的非利息收入现状分析、非利息收入对银行风险的影响机制和实证分析的基础上,得出我国商业银行风险与非利息收入关系的相关结论。
[Abstract]:Subject to the operation policy of China's banking industry has long been dependent on income and loan spreads, the banks of western developed countries in the income structure has great difference. In recent years, the requirements of financial innovation, interest rate marketization, social financing structure changes, affect the residents' investment and financing consciousness gradually improve etc. factors, business innovation and development is our country commercial bank by leaps and bounds, and actively explore the non interest income business in addition to the traditional credit business. Non interest income gradually by major banks attention, and expounds the profit index in the annual report of the financial situation. From the annual report data, the proportion of net in the commercial bank net interest income in operating income decreased year after year, while non interest income accounted for the proportion of Bank net operating income is increasing year by year. Among them, the net fee and commission income on The interest rate is higher than the net interest income, and the proportion of the bank's operating income is gradually increased.
According to the central bank released the <2012 in the fourth quarter monetary policy implementation report > China showed that in 2012 China's financial institutions deposit the overall lending rates continued downward, in December, and other non-financial corporate sector loans weighted average interest rate of 6.78%, down 1.23 percentage points from the beginning. In addition, the social financing of China's diversified development, of which RMB loans increased more, but the proportion dropped to its lowest level in history; while the RMB loan outside of financing such as trust loans, corporate bond financing is very active, direct financing accounted for the highest level. Traditional bank loans accounted for the proportion of China's financing scale falling from 95% in 2002 to just 58% in 2011, and in this during the period, the total social financing scale increased by nearly 7 times. Despite the narrowing of interest rate spreads, increase direct financing pressure, but according to the CBRC statistics show that 20 10~2012 years of domestic commercial banks still achieve a net profit from 763 billion 700 million yuan to 12386 yuan breakthrough, the growth rate of nearly 65%, which comes from the non interest income growth should not be overlooked. In addition, at the policy level, the government encourages banks to non interest income business field to expand and become bigger and stronger. In December of last year, the State Council approved by the people's Bank of Chinese, CBRC, CSRC again to expand commercial banks to set up fund management company pilot, commercial banks to set up fund management company, to broaden the scope of non interest income business. So far, China's commercial banks have been involved in the business scope of trust, insurance, securities, financial leasing industry.
As China's commercial banks to non interest income as one of the key business development, people naturally worry that such a trend will expand the operating risk of commercial banks? Compared with net interest income, non interest income is more volatile? Non interest income on the risk of Chinese Commercial Bank not have a significant impact? These problems are to be solved. In 2007 the U.S. subprime crisis and the source in the crisis in the asset securitization of fee and commission income plays the role of global significance to deepen the study of bank non interest income nature. The process of China's banking industry is in a rapid opening and change, in-depth analysis of the relationship between the banking income structure and macro environment the emergence of new features and bank risk, for our country construction A solid banking micro structure has an important policy significance.
The focus of this paper is the current situation of the development of China's commercial banks non interest income, the rapid development of the scale is based on the traditional banking credit business shrinking as the premise, the background is Chinese interest rate marketization reform and the change of income structure resulting in investment and financial awareness provided double effect overlay high. Facing the regulatory authorities for banks non interest income business issued new rules, to gradually strengthen the bank non interest income business regulation, how to effectively expand business scale and can prevent the risk level has become a realistic problem faced by domestic commercial banks.
The domestic and foreign scholars have made a systematic analysis on the relationship between commercial banks and non interest income, this paper on the basis of many scholars, combining theoretical analysis and empirical analysis, demonstrates the possible relationship between the risk of non interest income of commercial banks and two of the impact mechanism and the development of non interest income of commercial the risk of the bank, the purpose is to provide some ideas for the development of commercial bank non interest income for the current China's commercial banks to do business transformation, has the important practical significance of risk control.
This article is divided into five parts, which are as follows:
The first part is the introduction. First, it introduces the background and significance of this topic, then briefly summarizes the research ideas, research methods and shortcomings, and summarizes the innovation of this paper.
The second part is literature review. Firstly, defines the concept of non interest income, and then from the theory of diversification, the scope of economic theory, three basic theories of financial innovation theory introduces the commercial banks to expand non interest income, finally summarizes the empirical research on the relationship between the risk of commercial banks and non interest income at home and abroad. To lay the foundation for the analysis of the status quo analysis and empirical text.
The third part is the non interest income business in the development of our country, is the main part of this paper. Firstly, from the historical point of view, this paper describes the non interest income business development in our country, and summarizes the characteristics of each stage of non interest income is presented, and the reasons behind; then from the industry as a whole and two comparison of two kinds of bank, and combined with the development status of the non interest income of China's commercial banks data by qualitative and quantitative analysis; finally, from three aspects elaborates the influence of non interest income may have on the risk of commercial banks in China: the traditional banking credit business risk and the income level is affected, the bank operating leverage the business risk and financial leverage amplification increases, the difficulty of bank risk management increase.
The fourth part is the empirical analysis. Firstly, from the correlation between non interest income and net interest income volatility, the three periodic makes a basic judgment on the relationship between China's commercial bank risk and non interest income, the non interest income of most commercial banks in China and the net interest income is negatively correlated, and the volatility of non interest income is greater than the net interest income, but compared with the net interest income, non interest income less affected by the economic cycle fluctuations; for the risk of commercial banks followed by the establishment of standards, and finally established econometric model; empirical analysis using 2002~2011 panel data of 13 listed commercial banks, basic the conclusion is: raise the proportion of non interest income of commercial banks can effectively enhance the risk adjusted return on assets, in order to reduce the bank's risk level; however, because Non interest income volatility, it is mainly through the low correlation between the two types of income dispersion management risk, achieve diversification benefits; in addition, the state-owned commercial banks and joint-stock commercial banks, non interest income of bank risk different mechanisms, specifically: the risk of non interest income brought to the state the commercial banks of the dispersion effect is more significant.
The fifth part is the conclusion. Based on the previous analysis of the status quo of non interest income and the mechanism and empirical analysis of non interest income on bank risk, this chapter draws some conclusions about the relationship between China's commercial banks' risk and non interest income.

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

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