基于净利差的银行定价行为与风险行为研究

发布时间：2017-12-28 16:00

本文关键词：基于净利差的银行定价行为与风险行为研究　出处：《湖南大学》2015年硕士论文　论文类型：学位论文

【摘要】：对于中国的商业银行来说,利率市场化使其面临的各种环境因素的不确定性增加。商业银行受到外界环境如宏观经济状况及政策安排、经济周期等方方面面的因素的影响越来越广,商业银行行为日趋复杂。作为一国金融体系的核心,银行行为对金融、经济的影响甚为深远,那么研究利率市场化对商业银行行为的影响对提高商业银行市场竞争力及稳步推进利率市场化改革有重大意义。但是银行的行为包含的内容极其广泛,且不可量化,而商业银行净利差体现了商业银行经营成果和管理水平,是银行行为的结果,故而可以通过对净利差决定因素的分析来研究银行行为的变化。总而言之,环境因素变化会影响银行行为进而影响其净利差,而净利差可以反映银行行为。由于使用做市商模型的净利差决定模型主要反映的是银行定价行为与风险行为,故本文重点研究这两类银行行为。本文分析2005年至2012年全国49家较有代表性的银行数据,并对国有银行、全国性股份制银行和城市商业银行进行比较分析,来分析面对利率环境变化的各类银行的行为变化。实证部分的研究分为定价行为和风险行为两章:文章先在做市商模型的框架下分离出纯利差,然后通过建立纯利差决定因素的计量模型进行实证分析,比较渐进式利率市场化中不同阶段和不同银行类型在定价行为上差别;然后通过不同的纯利差决定模型计算出信用风险溢价,分析不同类型银行的在风险行为上的差别。最后本文得出的主要研究结论有:(1)随着利率市场化进程的不断推进,中国的商业银行的自主定价能力增强,在定价过程中越来越重视风险因素和非传统业务因素,而成本因素和政策保护因素在银行定价中的重要性降低,这是利率市场化取得一定成果的表现。(2)三类银行在定价过程中各有优劣。国有银行的定价行为中过多地依赖于政策保护而不是市场,股份制银行的非传统业务在定价过程中作用很大,城市商业银行的风险因素能够很好地体现在利差定价当中,但对成本因素依赖过大。(3)国有银行风险管控能力不强,而城商行信用风险管理相对完善,但单位信用风险的溢价太低。
[Abstract]:For commercial banks in China, the marketization of interest rate increases the uncertainty of various environmental factors. Commercial banks are more and more widely influenced by external environment, such as macroeconomic conditions, policy arrangements, business cycles and other factors. The behavior of commercial banks is becoming more and more complex. As the core of a country's financial system, the influence of bank behavior on finance and economy is very far-reaching. Therefore, it is of great significance to study the impact of interest rate liberalization on commercial banks' behavior to improve the market competitiveness of commercial banks and steadily push forward the reform of interest rate marketization. However, the content of bank behavior is extremely extensive and not quantifiable. The net interest margin of commercial banks reflects the operation and management level of commercial banks, and is the result of bank behavior. Therefore, we can study the change of banking behavior by analyzing the determinants of net interest margin. In a word, the change in environmental factors will affect bank behavior and affect its net profit margin, and net profit margin can reflect the behavior of the bank. Because the net profit difference decision model using the market maker model mainly reflects the bank pricing behavior and the risk behavior, this paper focuses on the two types of bank behavior. This paper analyzes 49 representative bank data in China from 2005 to 2012, and compares state-owned banks, national joint-stock banks and city commercial banks to analyze the behavior changes of banks in the face of interest rate change. The part of the empirical research into the pricing behavior and risk behaviors of two chapters: the first in the framework of market maker model under separate pure spreads, then through the establishment of the net profit difference determines factors econometric model for empirical analysis, comparison of different stages and different progressive bank type in the interest rate market pricing behavior in different types; then the net profit difference decision model to calculate the credit risk premium, risk analysis on the behavior of different types of banks. The main conclusion of the study of this paper are: (1) with the interest rate market continues to advance the process, enhance the independent pricing capability of China commercial banks, pay more and more attention to the risk factors and non-traditional business factors in the pricing process, and cost factors and policy protection due to importance in bank pricing is reduced, this is the interest rate market achievements performance. (2) the three types of banks have their own advantages and disadvantages in the process of pricing. The pricing behavior of state-owned banks relies heavily on policy protection rather than market. The non-traditional businesses of joint-stock banks play a great role in the pricing process. The risk factors of urban commercial banks can be well reflected in the pricing of spreads, but they are too dependent on cost factors. (3) the risk management and control ability of the state-owned banks is not strong, and the credit risk management of the city commercial bank is relatively perfect, but the premium of the unit credit risk is too low.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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