商业银行流动性创造的度量及其影响因素研究

发布时间：2018-04-04 17:31

本文选题：商业银行　切入点：流动性创造　出处：《南京航空航天大学》2013年硕士论文

【摘要】：根据现代金融中介理论，商业银行在现代经济生活中扮演着两种重要职能——流动性创造和转移风险。关于商业银行的风险转移职能，现在的研究已经很成熟，并形成了大量相关文献。而关于商业银行的流动性创造职能的研究不是很多，，只有少数国外的学者关注了这一方面。本文借鉴国外学者的研究结果，建立了商业银行流动性创造的衡量模型，在测算结果基础上，分别分析了商业银行流动性创造的变化趋势和影响商业银行流动性创造因素，根据研究结论提出相应政策建议。本文首先介绍了与商业银行流动性创造相关的金融中介理论：资产转换功能说与转移风险功能说，从Diamond Dybvig的委托代理理论角度陈述了商业银行流动性创造的机制，并从研究指标角度对传统研究与本文研究进行了界定。其次在划分商业银行资产负债业务及表外业务流动性的基础上，运用“cat-(non)fat”模型对各类别商业银行总体流动性创造的数量及个体商业银行流动性创造的数量进行了测量，研究其变化趋势，得出结论：第一，不同商业银行的流动性创造能力不同；第二，各类别商业银行中组内商业银行间流动性创造数目差距不同。再次对商业银行流动性创造的影响因素进行了分析，首先分析了影响商业银行流动性的内部和外部因素，之后用面板数据模型对2003-2010年所有数据可得的163家商业银行流动性创造及其组成部分的影响因素进行分析，得出结论：第一，不同类型的商业银行流动性创造的影响因素及其作用方向各不相同；第二，不同类型商业银行流动性创造的各组成部分对各个影响因素变动的敏感性不同。最后，本文在前述分析的基础上，根据研究结论分别对商业银行和监管机构提出一些政策建议，对我国商业银行流动性创造的研究在理论上和实际上都具有积极的现实意义。
[Abstract]:According to modern financial intermediation theory, commercial banks play two important functions in modern economic life-liquidity creation and risk transfer.About the commercial bank's risk transfer function, the present research has been very mature, and has formed a large number of related literature.But the research on the liquidity creation function of commercial banks is not much, only a few foreign scholars pay attention to this aspect.Based on the research results of foreign scholars, this paper establishes a measurement model of liquidity creation in commercial banks. On the basis of the results, it analyzes the changing trend of liquidity creation in commercial banks and the factors affecting liquidity creation in commercial banks.According to the conclusions of the study, the corresponding policy recommendations are put forward.This paper first introduces the theory of financial intermediation related to liquidity creation of commercial banks: the theory of asset conversion function and the theory of transfer risk, and describes the mechanism of liquidity creation of commercial banks from the perspective of Diamond / Dybvig's principal-agent theory.And from the perspective of research indicators, the traditional research and the study of this paper are defined.Secondly, on the basis of dividing the asset-liability business and off-balance-sheet business liquidity of commercial banks, this paper uses "cat-(non)fat" model to measure the amount of total liquidity created by commercial banks and the amount of liquidity created by individual commercial banks.The main conclusions are as follows: first, different commercial banks have different liquidity creation ability; second, the number of commercial banks in different groups is different.Thirdly, it analyzes the influencing factors of the liquidity creation of commercial banks. Firstly, it analyzes the internal and external factors that affect the liquidity of commercial banks.Then, the panel data model is used to analyze the factors influencing the liquidity creation and its components of 163 commercial banks available in 2003-2010. The conclusions are as follows: first,Different types of commercial banks have different influencing factors and direction of liquidity creation. Secondly, different types of commercial banks have different sensitivity to the changes of each factor.Finally, on the basis of the above analysis, this paper puts forward some policy recommendations to commercial banks and regulators according to the conclusions of the study, which has positive practical significance in theory and in practice for the study of liquidity creation of commercial banks in China.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F224

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