我国商业银行资金错配问题研究

发布时间：2018-01-08 01:02

本文关键词：我国商业银行资金错配问题研究　出处：《哈尔滨工业大学》2015年硕士论文　论文类型：学位论文

【摘要】：自2013年5月开始,上海银行间同业拆放利率(Shibor)一路上涨。2013年6月20日上海银行间同业拆放利率达到了空前绝后的高峰,当天隔夜Shibor利率首次超过10%,升至13.4440%,创下历史记录。一时间商业银行业上演了“空城计”,这种情况在资本市场的作用下被放大,市场资金利率不断攀升,各家银行发行的理财产品数量和收益率不断刷新纪录,这种“冰火两重天”的状况表明商业银行出现了流动性问题。与此同时,央行货币政策又进一步紧缩,导致“钱荒”危机升级。基于此背景,本文首先从商业银行资产负债表入手,在西方商业银行普遍采用的流动性缺口模型的基础上,将缺口的大小以资金来源和运用之间的总差额大小来衡量。采用H-P滤波方法将短期资金稳定来源部分分解,求出其在一定置信区间内的波动下限,并与长期趋势合并得出银行短期资金来源的最低下限。然后选取四家有代表性的样本银行,并对其缺口进行估算,发现样本时间段内样本银行并不存在正的资金错配缺口,即不存在流动性短缺。其次,运用面板数据模型找出其影响因素。影响因素分为两个方面,一方面是市场相关因素,即“共同变量”,但由于指标较多且具有高相关性,故采用主成分分析法提取这些变量的共同因子作为新变量;另一方面是银行个体因素,即“特殊变量”,选取影响商业银行流动性的银行个体因素作为变量。然后将主成分分析法提取的公因子和银行特殊变量带入,建立横截面面板模型。再次,为了明确“公共变量”因素和“特殊变量”因素对商业银行资金错配缺口的具体影响,采用固定效应模型进行回归分析,实证结果显示,从市场角度看,国家良好的经济发展态势会引发商业银行资金错配缺口的加大;从商业银行自身角度看,存贷比、不良贷款率和贷款总额/总资产的加大会加大资金错配缺口。最后,针对实证结果提出增加合理投资渠道,减少交叉持有理财产品的现象、进一步完善存款保险制度、发展信贷资产证券化等建议。
[Abstract]:Since May 2013, the Shanghai Interbank offered rate (sibor) has been rising. In June 20th 2013, the Shanghai Interbank offered rate reached an unprecedented peak. For the first time, overnight Shibor interest rates exceeded 10, rising to 13. 4440, setting a record. Commercial banking staged a "short game." This situation is magnified by the role of capital markets, market interest rates continue to rise, the number of wealth management products issued by banks and the rate of return are constantly breaking records. This "ice and fire" situation indicates that commercial banks have liquidity problems. At the same time, the central bank's monetary policy is further tightened, leading to the escalation of the "money shortage" crisis. This paper begins with the balance sheet of commercial banks, based on the liquidity gap model commonly used by western commercial banks. The size of the gap is measured by the total difference between the source of funds and the application. The H-P filtering method is used to partially decompose the stable source of short-term funds, and the lower bound of volatility in a certain confidence interval is obtained. And combined with the long-term trend to obtain the lowest lower limit of bank short-term funding sources. Then four representative sample banks are selected and their gap is estimated. It is found that there is no positive fund mismatch gap in the sample period, that is, there is no liquidity shortage. Secondly, the panel data model is used to find out the influencing factors, which are divided into two aspects. On the one hand, there are market related factors, that is, "common variable", but because there are many indexes and high correlation, the common factors of these variables are extracted by principal component analysis as new variables. On the other hand, the individual factors of banks, namely "special variables", are selected as variables to influence the liquidity of commercial banks, and then the common factors extracted by principal component analysis and special variables of banks are brought in. Thirdly, in order to clarify the specific impact of "public variables" and "special variables" on the gap of capital mismatch in commercial banks, the fixed effect model is used to regression analysis. The empirical results show that, from the market point of view, the country's good economic development situation will lead to the increase of the gap between commercial banks' capital mismatch; From the perspective of commercial banks, the increase of deposit / loan ratio, non-performing loan ratio and total loans / total assets will increase the gap of capital mismatch. Finally, according to the empirical results, we propose to increase the reasonable investment channels. Reduce the phenomenon of cross-holding financial products, further improve the deposit insurance system, develop credit asset securitization and other suggestions.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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