我国商业银行体系稳定性的差异研究

发布时间：2018-04-14 06:27

本文选题：银行体系稳定性 + BSS指数　；参考：《中国海洋大学》2012年硕士论文

【摘要】：我国加入WTO已逾10年，我国的商业银行体系已正式结束了入世以来的5年保护期。面对激烈的国际竞争，我国金融系统正经历着巨大的考验。特别是次贷危机以后，受美国量化宽松政策及欧债危机的影响，，国际游资不断冲击着国内的金融系统，使国际国内环境愈加的复杂。商业银行作为我国金融系统的主体之一，正接受着银行本身内在因素以及国际国内复杂环境的挑战，其稳定性也受到威胁。本文以我国商业银行体系稳定性为研究对象，探讨以下问题：1）我国商业银行体系稳定性的影响因素；2）我国商业银行体系稳定性的度量；3）我国商业银行稳定性差异分析。针对上述问题，本文的研究工作和主要贡献集中在以下几个方面：首先，类比工程学、航天科学、生态学等稳定性的相关概念，对银行体系稳定性做了相关概念的界定；从宏观理论和微观理论两方面，用金融不稳定假说、金融危机史观、安全边界说、信息不对称、逆向选择与道德风险、囚徒困境、委托一代理问题、金融熵等一系列理论为银行体系稳定性的定性和定量分析奠定了较为稳固的理论基础，同时定性分析了商业银行体系稳定性的影响因素；根据SCP范式对我国商业银行体系稳定性现状进行了分析，从内因、外因两方面阐述了我国商业银行体系稳定性的现状，并就其存在的问题进行定性的描述分析。其次，在我国实际情况基础上，选取银行稳定性的影响因素，并用ISM模型对其进行分层、剔除，建立了四层的指标体系结构；在提取主成分的基础上，用主观的层次分析和客观的主成分分析法设定了各个主要影响因素的权重，构建出BSS（Banking System's Stability）指数。通过全国数据和典型个例交通银行、中国银行、兴业银行、工商银行、建设银行、招商银行等十一家主要商业银行的时间序列数据对BSS指数进行了实证分析，其结果与现实基本相符。第三，通过构建VAR模型对数据进行深层挖掘，发掘影响因素的影响力的差异。经过ADF平衡性检验、协整关系判断、格兰杰因果检验、脉冲响应函数等，得出提取的五个主成分是不稳定的但与BSS指数存在长期的协整关系并能够通过最大特征值统计量和迹统计量检验，进一步深入研究度量了五大权重指标与银行稳定性关系以及对稳定性的冲击；一方面，方差分解的结果显示,银行稳健性的波动主要受自身、信贷增长率、相对通货膨胀率和短期债务/债务总额的影响，这些因素对BSS指数的波动的解释程度接近50%,说明银行的稳健性除了依赖于银行体系本身以外，还很大程度上受国际环境和我国综合国力的稳定性影响。另一方面，变参数的固定效应面板模型从纵向、横向以及波动性三方面深入分析各个因素对不同商业银行稳定性差异影响以及国有银行和非国有银行的差异等。最后，针对定性分析和定量分析的结果提出从宏观经济环境、宏观经济发展趋势的预测、社会信用环境三方面保持良好的银行体系发展环境、加强银行体系自身建设、提升自控水平、完善银行业监管制度、从准入退出机制、存款保险制度、最后贷款人三个层面来构筑银行体系安全网等政策建议以供相关部门参考。
[Abstract]:After China ' s entry into WTO for more than 10 years , China ' s commercial bank system has formally ended the five - year protection period since its entry into WTO . In the face of fierce international competition , our country ' s financial system is undergoing a huge test . Especially after the sub - prime crisis , the international capital has continuously impacted the domestic financial system . The stability of the commercial bank is also threatened .
2 ) the measurement of the system stability of commercial banks in China ;
3 ) Analysis of the stability difference of commercial banks in China . In view of the above problems , the research work and main contribution of this paper are focused on the following aspects :

Firstly , the concepts of stability such as analogy engineering , space science , ecology and so on are defined , and the concept of banking system stability is defined ;
On the basis of macro - theory and micro - theory , using financial instability hypothesis , financial crisis history , security boundary theory , information asymmetry , reverse selection and moral hazard , prisoner ' s dilemma , principal - agent problem , financial entropy , etc .
According to SCP model , the present situation of commercial bank system stability in China is analyzed , and the present situation of the stability of commercial bank system in our country is elaborated from the aspects of internal and external factors , and the qualitative description analysis is made on the existing problems .

Secondly , on the basis of the actual situation of our country , the influencing factors of bank stability are selected , and the ISM model is used to stratify and eliminate it , and the four - layer index architecture is established ;
On the basis of extracting principal components , the weights of each major influencing factor are set by subjective analytic hierarchy process and objective principal component analysis method , and the BSS ( Banking System ' s Stability ) index is constructed . The BSS index is empirically analyzed through the national data and typical time series data of eleven major commercial banks , such as Bank of China , Industrial Bank of China , Industrial and Commercial Bank , Construction Bank and China Merchants Bank . The results are in line with reality .

Thirdly , by constructing VAR model , we deeply explore the influence of influencing factors by constructing VAR model . Through ADF balance test , co - integration relation judgement , grant causality test and impulse response function , it is concluded that the five main components are unstable but have long - term co - integration with BSS index and can be tested by maximum eigenvalue statistics and trace statistics , and further study the relationship between five weight indexes and bank stability and the impact on stability .
On the one hand , the results of variance decomposition show that the fluctuation of the bank ' s robustness is mainly influenced by its own , the credit growth rate , the relative inflation rate and the short - term debt / debt total . The degree of the fluctuation of the BSS index is close to 50 % , which indicates that the stability of the bank is greatly influenced by the international environment and the stability of the comprehensive national strength of our country . On the other hand , the fixed effect panel model of the variable parameters analyzes the influence of each factor on the stability of different commercial banks and the difference between the state - owned banks and the non - state - owned banks .

Finally , according to the results of qualitative analysis and quantitative analysis , a good bank system development environment is put forward from macro - economic environment , macro - economic development trend and social credit environment , so as to strengthen banking system ' s self - construction , improve self - control level , perfect banking supervision system , construct banking system safety net and other policy suggestions from three aspects of admission exit mechanism , deposit insurance system and final lender for reference .

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

【参考文献】