非利息收入占比对我国商业银行风险影响的研究

发布时间：2018-06-16 22:07

本文选题：非利息收入 + 破产风险　；参考：《复旦大学》2013年硕士论文

【摘要】：近年来,我国商业银行营业收入结构中非利息收入占比呈现日益上升的趋势。原因在于随着金融市场改革和银行业竞争程度的加剧,我国商业银行更加重视经营结构的分散化,逐步改变以利息收入为主导的传统盈利模式。由于非利息收入对应的各种业务风险特征差异较大,增加非利息业务的比重是否有利于我国商业银行的稳健经营尚不确定。此外,由差异化经营和业务关联带来的系统性风险问题也成为金融危机以后监管机构重点关注的问题。因此本文将利用股票市场数据及银行财务报表数据进行实证检验,首先考察非利息收入占比和单家商业银行稳定水平之间的影响关系,然后通过考察非利息收入占比的增加对银行系统性风险的影响,分析非利息收入占比的增加对银行体系稳健性的影响关系,为银行的内部风险管理及监管机构的审慎监管提供参考。本文首先对银行非利息收入以及衡量银行和银行体系稳定性的指标进行概念界定,然后对我国商业银行非利息收入占比的发展历程和现状予以分析。考虑到非利息收入的不同组成部分风险特征差异较大,本文对非利息收入进行了分类考察,将非利息收入划分为佣金型收入和投资型收入两类。在此基础之上,本文通过z值方法测量了商业银行的破产风险,以2008-2012年我国14家主要上市商业银行为研究对象,实证检验非利息收入的不同组成部分与银行稳定水平之间的关系。接着,通过对z值指标进行分解,本文对非利息收入的不同组成部分影响商业银行稳定的成因与机制进行讨论与分析。最后,本文分析了非利息业务增加对银行体系脆弱性的影响机制,并通过边际期望损失(MES)方法度量了商业银行对银行业整体的系统性风险贡献度,利用2008-2012年我国14家主要商业银行的数据,实证检验了非利息收入的不同组成部分与银行系统性风险之间的关系。本文主要结论如下： (1)佣金型非利息收入占比对商业银行稳定水平有显著的正的影响,手续费和佣金收入的提高会增加商业银行的稳定水平。同时,投资型非利息收入对商业银行稳定水平有负的影响,但并不显著,现阶段我国商业银行投资型活动并未显著降低商业银行的稳定性。 (2)非利息收入占比的提高会增加银行的资产收益率(ROA)、资本充足率(E/A)和资产收益率的波动率(σ),非利息收入对银行稳定水平的提升主要在于增加了银行的盈利水平和利用资本金抵御风险的水平。银行分散化经营会带来盈利性的提升。同时应注意的是,非利息收入对银行收益的波动程度有正向的影响,但在目前阶段,这种风险的提高影响力度有限。 (3)商业银行非利息收入的组成部分均对系统性风险的影响不显著。同时,资产规模较小、杠杆率较高、不良资产率较高的银行对系统性风险贡献度更高。
[Abstract]:In recent years, the proportion of non-interest income in the structure of operating income of commercial banks in China is increasing day by day. The reason is that with the reform of financial market and the aggravation of banking competition, Chinese commercial banks pay more attention to the decentralization of management structure, and gradually change the traditional profit model dominated by interest income. Due to the different risk characteristics of non-interest income, it is uncertain whether increasing the proportion of non-interest business is beneficial to the steady operation of commercial banks in China. In addition, the systemic risk caused by differentiated management and business association has become the focus of attention of regulators after the financial crisis. Therefore, this paper will use stock market data and bank financial statement data for empirical testing, first of all, we will examine the relationship between the non-interest income ratio and the stable level of a single commercial bank. Then, by examining the influence of the increase of non-interest income on the systemic risk of banks, the paper analyzes the influence of the increase of non-interest income on the stability of the banking system, and then analyzes the relationship between the increase of non-interest income and the stability of the banking system. Provide reference for internal risk management of banks and prudential supervision of regulators. This paper first defines the non-interest income of banks and the indicators to measure the stability of banks and banking system, and then analyzes the development process and present situation of non-interest income of commercial banks in China. Considering that the risk characteristics of different components of non-interest income are quite different, this paper classifies non-interest income into commission income and investment income. On this basis, this paper measures the bankruptcy risk of commercial banks by z value method, taking 14 main listed commercial banks in China from 2008 to 2012 as the research object. The relationship between the different components of non-interest income and the level of bank stability is tested empirically. Then, through the decomposition of z value index, this paper discusses and analyzes the causes and mechanism of the different components of non-interest income affecting the stability of commercial banks. Finally, this paper analyzes the influence mechanism of the increase of non-interest business on the vulnerability of banking system, and measures the contribution of commercial banks to the whole banking system through the method of marginal expected loss (MES). Based on the data of 14 major commercial banks in China from 2008 to 2012, this paper empirically examines the relationship between the different components of non-interest income and the systemic risk of banks. The main conclusions of this paper are as follows: (1) the proportion of non-interest income of commission type has a significant positive effect on the stable level of commercial banks, and the increase of commission and commission income will increase the stable level of commercial banks. At the same time, investment non-interest income has a negative impact on the stability of commercial banks, but it is not significant. At this stage, the investment activities of commercial banks in China have not significantly reduced the stability of commercial banks. (2) the increase in the proportion of non-interest income will increase the rate of return on assets of banks, capital adequacy ratio (E / A) and the wave of return on assets. The increase of non-interest income to the stable level of banks mainly lies in increasing the profit level of banks and the level of using capital to resist risks. The diversification of banks will lead to higher profitability. At the same time, it should be noted that non-interest income has a positive impact on the degree of volatility of bank earnings, but at this stage, The impact of this kind of risk is limited. 3) the components of non-interest income of commercial banks have no significant impact on systemic risk. Meanwhile, banks with smaller assets, higher leverage and higher non-performing assets contribute more to systemic risk.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

【参考文献】

中国期刊全文数据库前10条

1 魏鹏;;我国上市银行中间业务收入发展现状——基于10家上市银行2006—2007年年报数据[J];财经科学;2008年09期

2 王菁;周好文;;非利息收入负向收益贡献度的实证解析——基于我国12家商业银行的模型检验[J];当代经济研究;2008年11期

3 李芳;康承东;;净利息收入与非利息收入：增长性、波动性和相关性[J];南方金融;2008年02期

4 郭红珍,张卉;我国商业银行中间业务的资源配置行为分析[J];国际金融研究;2003年04期

5 邹江,张维然,徐迎红;中外商业银行收入结构比较研究[J];国际金融研究;2004年12期

6 王家强;;亚太地区商业银行收入结构:特征、成因及其前景——基于全球视角的比较分析[J];国际金融研究;2007年07期

7 王千红;刘晓君;;对国有商业银行创新非利息收入业务的比较分析[J];河北科技大学学报(社会科学版);2009年04期

8 赫国胜;;进一步拓展我国商业银行非利息收入业务的策略选择[J];经济管理;2003年11期

9 徐守喜;王菁;;中国商业银行收入结构变迁影响因素探析[J];现代经济探讨;2009年08期

10 马君潞;范小云;曹元涛;;中国银行间市场双边传染的风险估测及其系统性特征分析[J];经济研究;2007年01期