金融脱媒对商业银行流动性风险影响的研究

发布时间：2019-06-27 21:08

【摘要】：流动性是商业银行经营的基础,对其生存发展至关重要,并且相比信用风险、市场风险、操作风险,流动性风险有传染性和系统性的特点,处理不好甚至会引发整个金融系统的崩溃。但因为银行业长久以来作为国家保护行业,一直以来受到国家信用资金支持和信誉保障,这就造成我国商业银行的风险管理水平较低。随着资本市场的完善,互联网金融的发展,投资渠道的丰富使商业银行储蓄存款来源大量减少,直接融资渠道的多样促使大量资金绕开银行中介机构进行直接融资。商业银行垄断地位日渐降低,其媒介功能逐渐被弱化,金融脱媒正在呈现出复杂化、多层次化的趋势,商业银行的经营外部环境发生重大改变,流动性也面临着更加大的压力。所以在这样的环境下,研究金融脱媒对商业银行流动性风险的影响具有重要理论和现实意义:一方面,相关文献没有系统地研究两者之间的关系,本文的研究能够弥补相关研究的空白,有重要的理论意义;另一方面,本文利用最新的数据建立计量模型,从实证上验证理论分析的正确性,为以后研究者提供参考。本文以全新的视角,采用文献研究法、数据图表分析法、定量与定性、理论与实证等方法,结合金融脱媒与流动性风险的相关理论,首先立足于我国国情,对金融脱媒进行了重新定义,分别从我国金融脱媒的现状发展、原因,对商业银行流动性风险的影响路径这三个方面定性分析了对流动性风险的影响。然后选取金融脱媒的资产方、负债方、技术方脱媒三个指标,和流动性比率、中长期存贷比两个代表流动性风险的指标,运用向量自回归方法(vector autoregressive model)分别建立模型,利用脉冲响应、方差分解函数实证研究金融脱媒对我国商业银行流动性风险的动态冲击。最后通过研究发现,金融脱媒程度越强,商业银行面临流动性风险危机越大,并且直接融资占比上升造成的银行资产端脱媒对流动性风险的影响强于负债端脱媒。在实证分析的基础上,针对商业银行的资产、负债、技术、风险意识等方面,针对性提出了应对金融脱媒带来影响的对策建议,促使商业银行从容面对金融脱媒带来的挑战,为更好的促进我国金融市场的稳定发展垫下夯实的基础。
[Abstract]:Liquidity is the basis of commercial bank management, which is very important for its survival and development. Compared with credit risk, market risk, operational risk and liquidity risk, liquidity risk has the characteristics of contagion and systematicness, which will even lead to the collapse of the whole financial system. However, as a national protection industry for a long time, the banking industry has been supported by national credit funds and reputation protection for a long time, which leads to the low level of risk management of commercial banks in our country. With the improvement of capital market, the development of Internet finance and the enrichment of investment channels, the sources of savings deposits in commercial banks are greatly reduced. The diversity of direct financing channels urges a large number of funds to bypass bank intermediaries for direct financing. The monopoly position of commercial banks is decreasing day by day, its media function is gradually weakened, financial disintermediation is showing a trend of complexity and multi-level, the external environment of commercial banks has undergone significant changes, and liquidity is also facing greater pressure. Therefore, in such an environment, it is of great theoretical and practical significance to study the impact of financial disintermediation on the liquidity risk of commercial banks: on the one hand, the relevant literature does not systematically study the relationship between the two, the research of this paper can make up for the gaps in the relevant research, and has important theoretical significance; On the other hand, this paper uses the latest data to establish a measurement model to verify the correctness of the theoretical analysis empirically, and to provide a reference for future researchers. From a new perspective, this paper adopts the methods of literature research, data chart analysis, quantitative and qualitative analysis, theory and empirical analysis, combined with the related theories of financial disintermediation and liquidity risk, first of all, based on the national conditions of our country, this paper redefines the financial disintermediation, respectively, from the current situation and reasons of financial disintermediation in our country. The influence path of liquidity risk on commercial banks is qualitatively analyzed. Then three indexes of financial disintermediation, namely, asset side, debt side and technology side, and liquidity ratio and medium-and long-term deposit-loan ratio, are selected to establish models by vector autoregression method (vector autoregressive model), and impulse response and variance decomposition function are used to empirically study the dynamic impact of financial disintermediation on liquidity risk of commercial banks in China. Finally, it is found that the stronger the degree of financial disintermediation, the greater the liquidity risk crisis faced by commercial banks, and the impact of bank asset disintermediation caused by the rising proportion of direct financing on liquidity risk is stronger than that of debt disintermediation. On the basis of empirical analysis, aiming at the assets, liabilities, technology, risk consciousness and other aspects of commercial banks, this paper puts forward some countermeasures and suggestions to deal with the impact of financial disintermediation, so as to promote commercial banks to face the challenges brought by financial disintermediation calmly and lay a solid foundation for better promoting the stable development of China's financial market.
【学位授予单位】：重庆工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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