银行市场结构、银行市场均衡与银行风险承担行为研究

发布时间：2018-01-16 03:24

本文关键词：银行市场结构、银行市场均衡与银行风险承担行为研究　出处：《重庆大学》2012年硕士论文　论文类型：学位论文

【摘要】：现代金融危机的一个突出特征表现为银行同业市场的混乱和长期失灵，除了信息不对称、市场力、二级资本市场失灵和市场不完全性等可能导致银行同业市场崩溃之外，基于信用风险和流动性风险的银行市场结构也可能对银行市场均衡产生重要影响。同时，银行风险承担行为是导致银行信用风险和流动性风险的重要原因，，研究银行风险承担行为的影响因素可以在一定程度上完善银行市场结构，强化银行市场均衡。因此，在理论上研究银行市场结构对银行同业市场均衡的作用机理、在实证上研究政府监管和市场约束对中国银行风险承担行为的影响，对于改善银行市场环境、提高政府对银行的监管效率、提升银行风险管理水平、降低银行经营风险、保障银行市场体系持续快速健康发展、抑制金融危机具有非常重要的理论和现实意义。本文的主要研究工作体现在如下几个方面：首先，在对我国上市商业银行的数量、规模、市场结构、股权结构和类型、经营业绩、风险及其成因、政府监管模式等进行分析的基础上，对我国银行市场结构及商业银行风险行为特征进行了总结。其次，借鉴Lucchetta提出的银行市场结构表示方法和研究思路，在假设信用风险和流动性风险都是不由银行自身决定的外生变量的条件下，以信用风险和流动性风险的不同组合表征银行市场结构，以自身收益最大化为银行决策目标，建立恰当的数学模型从理论上研究银行市场结构对银行市场均衡的影响。研究结果表明，在以信用风险和流动性风险度量的任何集中度的银行市场中，都既存在使银行市场运行良好的市场结构，也存在使银行市场体系崩溃的市场结构；当银行市场结构变量位于某个区间时，不同的流动性风险分布和不同的银行集中度将对银行市场均衡产生显著不同的影响。要使银行市场体系持续健康运行，就必须保持合理的银行市场结构。第三，在对中国银行业市场进行全面考察的基础上，以超额资本充足率和法定存款准备金率为政府监管度量指标，Lerner指数为银行市场约束度量指标，以中国14家上市银行2007年1月—2010年9月期间的季度数据为样本，利用计量经济学方法实证研究政府监管和市场约束对中国商业银行风险承担行为的影响。研究表明，超额资本充足率、市场约束和银行规模将对中国商业银行风险承担行为产生显著正向影响；法定存款准备金率和经营管理水平将对中国商业银行风险承担行为产生显著负向影响；国有控股银行的风险承担行为显著低于股份制商业银行；银行风险承担行为具有显著的记忆性。最后，针对中国的现实国情，从银行同业市场合作和竞争、公司资本管理、治理结构、金融监管和政府职能等方面提出维护我国商业银行市场均衡和防范风险的政策建议。
[Abstract]:A prominent feature of the modern financial crisis is the chaos and long-term failure of the interbank market, in addition to information asymmetry, market power. The failure and incompleteness of the secondary capital market may lead to the collapse of the interbank market, and the market structure based on the credit risk and liquidity risk may also have an important impact on the equilibrium of the bank market. Bank risk-bearing behavior is an important cause of bank credit risk and liquidity risk. To a certain extent, the study of the influencing factors of bank risk-taking behavior can improve the market structure of banks. Therefore, this paper theoretically studies the mechanism of the banking market structure on the interbank market equilibrium, and empirically studies the influence of government supervision and market constraints on the risk-bearing behavior of Chinese banks. To improve the banking market environment, improve the efficiency of government supervision of banks, improve the level of bank risk management, reduce the risk of banking operations, and ensure that the banking market system continues to develop rapidly and healthily. It is of great theoretical and practical significance to suppress the financial crisis. The main research work of this paper is as follows: First of all, on the basis of the analysis of the number, scale, market structure, ownership structure and type, business performance, risk and its causes, government supervision model of listed commercial banks in China. This paper summarizes the market structure of Chinese banks and the risk behavior characteristics of commercial banks. Secondly, using the method and research idea of bank market structure proposed by Lucchetta for reference, under the assumption that credit risk and liquidity risk are exogenous variables which are not determined by the bank itself. The bank market structure is characterized by different combinations of credit risk and liquidity risk, and the bank's decision-making goal is to maximize its own income. A proper mathematical model is established to study the influence of the market structure of the bank on the equilibrium of the bank market theoretically. The results show that in the banking market with any degree of concentration measured by credit risk and liquidity risk. There are not only the market structure which makes the bank market run well, but also the market structure that causes the bank market system to collapse. When the structural variables of the bank market are located in a certain region, different liquidity risk distribution and different banking concentration will have significant and different effects on the equilibrium of the bank market, and the banking market system should continue to operate healthily. It is necessary to maintain a reasonable market structure for banks. Third, on the basis of a comprehensive investigation of China's banking market, the excess capital adequacy ratio and the legal reserve ratio are taken as the government regulatory metrics. The Lerner index is a measure of bank market constraint, taking the quarterly data from January 2007 to September 2010 of 14 listed banks in China as a sample. This paper empirically studies the influence of government regulation and market restraint on the risk-taking behavior of Chinese commercial banks by using econometrics method. The study shows that the excess capital adequacy ratio. Market constraints and bank size will have a significant positive impact on the risk-taking behavior of Chinese commercial banks; The legal reserve ratio and the level of operation and management will have a significant negative impact on the risk-bearing behavior of Chinese commercial banks; The risk-bearing behavior of state-owned holding banks is significantly lower than that of joint-stock commercial banks; The risk-bearing behavior of banks has remarkable memory. Finally, according to the reality of China, from the interbank market cooperation and competition, corporate capital management, governance structure. In the aspects of financial supervision and government functions, some suggestions are put forward to maintain the market equilibrium of commercial banks in China and to guard against risks.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2;F224

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