国际资本流动对我国商业银行脆弱性的影响研究

发布时间：2018-05-22 08:09

本文选题：国际资本流动 + 商业银行　；参考：《郑州大学》2013年硕士论文

【摘要】：银行体系在现代金融和经济体系之中居于至关重要的地位,银行业的稳健与否关系着我国金融和经济的健康发展,我国虽然没有发生过系统性的大规模的银行危机,但是银行体系的脆弱性依然引起大家的高度关注。银行体系具有内在的脆弱性,随着金融自由化进程不断加快,国际资本流动规模不断扩大,使得这种脆弱性在国际间传染。2006年以来我国银行业实现全面对外开放,对国际资本流动的限制进一步放松,国际资本流动日趋频繁,这使得我国银行业面临着更加严峻的冲击和挑战,在此背景下对我国商业银行的脆弱性进行研究,对于维护我国银行业的稳定与健康发展有着至关重要的意义。论文采用理论分析和实证分析相结合的方法,首先着眼于分析我国国际资本流动和商业银行脆弱性的现状。其次,论文分析了国际资本流动对银行脆弱性的作用机制,包括直接影响和间接影响两个方面。接下来论文从实证角度进行分析,从宏观经济、金融环境和微观银行三个层面选取了GDP增长率、通货膨胀率、贷款增长率、M2增长率、银行资本充足率和银行不良贷款率六个指标,利用银行脆弱性预警体系和临界值,对1985-2011年我国商业银行的脆弱性进行了测度,并以银行脆弱性综合指数作为被解释变量,选取外商直接投资、国际证券投资、其他资本流入、短期外债占外汇储备比率、货币供给量占外汇储备比率和汇率变动率六个指标作为解释变量,建立多元回归模型,运用单位根检验、格兰杰因果关系检验、协整检验和脉冲响应函数四个方法分析了国际资本流动对我国商业银行脆弱性的影响。最后,论文对全文进行了总结,并提出了缓解我国商业银行脆弱性,维护银行体系稳定的政策建议。通过实证分析可以看出：1985-2011年我国商业银行有16年处于相对正常状态,有11年处于相对脆弱状态,外商直接投资的增加可以在一定程度上缓解我国商业银行的脆弱性；国际证券投资、其他资本流入、短期外债占外汇储备比率、货币供给量占外汇储备比率和汇率变动率的增加会在一定程度上加剧我国商业银行的脆弱性。
[Abstract]:The banking system plays an important role in the modern financial and economic system. The soundness of the banking industry is related to the healthy development of our country's finance and economy, although there has been no systematic and large-scale banking crisis in our country. But the fragility of the banking system remains a matter of high concern. The banking system has inherent fragility. With the accelerating process of financial liberalization and the expanding scale of international capital flow, this vulnerability is transmitted internationally. Since 2006, China's banking industry has been fully open to the outside world. The restrictions on international capital flows are further relaxed, and the international capital flows are becoming more frequent, which makes the banking industry of our country face more severe shocks and challenges. In this context, the vulnerability of commercial banks in China is studied. It is of great significance to maintain the stability and healthy development of China's banking industry. This paper uses the method of theoretical analysis and empirical analysis to analyze the current situation of China's international capital flow and the fragility of commercial banks. Secondly, the paper analyzes the mechanism of international capital flow on the vulnerability of banks, including direct and indirect effects. From the perspective of empirical analysis, this paper selects GDP growth rate, inflation rate, loan growth rate and M2 growth rate from three aspects of macro economy, financial environment and micro bank. Based on six indicators of bank capital adequacy ratio and non-performing loan ratio, this paper measures the vulnerability of commercial banks in China from 1985 to 2011 by using the banking vulnerability warning system and critical value, and takes the comprehensive vulnerability index of banks as the explanatory variable. Foreign direct investment, international portfolio investment, other capital inflow, short-term foreign debt to foreign exchange reserve ratio, money supply to foreign exchange reserve ratio and exchange rate change rate are selected as explanatory variables to establish a multivariate regression model. By using the unit root test, Granger causality test, cointegration test and impulse response function, this paper analyzes the impact of international capital flows on the vulnerability of commercial banks in China. Finally, the paper summarizes the full text and puts forward some policy suggestions to alleviate the fragility of commercial banks and maintain the stability of the banking system. Through empirical analysis, we can see that China's commercial banks are in a relatively normal state for 16 years from 1985 to 2011, and 11 years are relatively fragile. The increase of foreign direct investment can alleviate the vulnerability of Chinese commercial banks to a certain extent. International portfolio investment, other capital inflow, short-term foreign debt to foreign exchange reserve ratio, currency supply to foreign exchange reserve ratio and exchange rate increase will to some extent increase the vulnerability of commercial banks in China.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.7;F832.33

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