我国股份制商业银行流动性风险研究

发布时间：2018-05-31 04:38

本文选题：股份制商业银行 + 流动性　；参考：《浙江大学》2013年硕士论文

【摘要】：流动性风险是商业银行面临的重要风险。2010年新巴塞尔协议(III)明确了流动性风计量、监控和管理的重要性,并要求每家商业银行将其作为关键的一项日常管理项目。近年来,我国商业银行面临较为严峻的流动性风险隐患,通胀的同时也面临资金紧缺,信贷紧张的问题。股份制商业银行作为我国银行业的重要组成部分,其发展迅速并日渐壮大,为经济实体的发展提供了有利的金融支撑,特别是在支持中小企业和民营经济的发展中作用显著。其流动性风险问题和事件也随着发展壮大的过程凸显：金融风险暴露,不良贷款率上升,资产负债结构失衡,资本充足情况下降,流动性状况变差,对宏观环境的应变能力不足等问题也逐渐暴露。股份制商业银行的流动性问题值得深究。本文基于此考虑,分为五个部分对股份制商业银行流动性风险进行研究：第一、二部分,本文通过对现有问题的初步阐述,讨论了股份制商业银行流动性风险的研究背景和研究意义,并全面的归纳总结了国内外现有的研究文献,阐明该问题的研究现状并指出本文的研究方法和研究框架。第三部分,本文利用4家国有商业银行、9家股份制商业银行和5家城商行等其他银行的历年数据,采用描述性统计分析的方式,用横向和纵向对比的模式,剖析股份制商业银行的资本充足情况、资产流动性状况和负债流动性状况,挖掘股份制商业银行存在的流动性风险问题。第四部分,本文理论分析了我国股份制商业银行的流动性风险成因及流动性的影响因素并以此为基础,结合股份制商业银行的季度数据,建立VAR向量自回归模型，，通过各种检验、脉冲响应分析和方差分析等方法,对我国股份制商业银行的流动性风险影响因素进行了实证分析。第五部分,在前几个部分的基础上本文提出了相应的政策建议。
[Abstract]:Liquidity risk is an important risk faced by commercial banks. In 2010, Basel II II) made clear the importance of liquidity wind measurement, monitoring and management, and required each commercial bank to regard it as a key daily management project. In recent years, China's commercial banks are faced with more severe liquidity risks, inflation, but also facing a shortage of funds, credit is tight. As an important part of China's banking industry, joint-stock commercial banks have developed rapidly and gradually, providing favorable financial support for the development of economic entities, especially in supporting the development of small and medium-sized enterprises and private economy. Its liquidity risk problems and events also become prominent along with the development process: financial risk exposure, non-performing loan ratio rising, balance of assets and liabilities structure imbalance, capital adequacy situation declining, liquidity condition becoming worse, Problems such as inadequate response capacity to macro-environment are also gradually exposed. The liquidity of joint-stock commercial banks is worth studying. Based on this consideration, this paper is divided into five parts to study the liquidity risk of joint-stock commercial banks. The first and second parts, this paper discusses the background and significance of the research on liquidity risk of joint-stock commercial banks through the preliminary elaboration of the existing problems, and summarizes the existing research literature at home and abroad. The present research situation of this problem and the research method and framework of this paper are pointed out. In the third part, using the data of 4 state-owned commercial banks and 9 joint-stock commercial banks and other banks such as five city commercial banks, this paper uses the descriptive statistical analysis method, using horizontal and vertical comparison model. This paper analyzes the situation of capital adequacy, asset liquidity and liability liquidity of joint-stock commercial banks, and explores the liquidity risk problems existing in joint-stock commercial banks. In the fourth part, this paper theoretically analyzes the causes of liquidity risk and the influencing factors of liquidity of China's joint-stock commercial banks. On the basis of this, combined with the quarterly data of joint-stock commercial banks, a VAR vector autoregressive model is established. By means of various tests, impulse response analysis and variance analysis, this paper makes an empirical analysis on the influencing factors of liquidity risk of joint-stock commercial banks in China. The fifth part, on the basis of the previous several parts, this paper puts forward the corresponding policy recommendations.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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