我国商业银行系统重要性度量与其影响因素研究

发布时间：2018-04-23 20:13

本文选题：系统重要性 + CoVaR　；参考：《苏州大学》2015年硕士论文

【摘要】：美国次贷危机的发生暴露了系统重要性的金融机构的监管不足。为了维护国民经济、银行业和金融体系的稳定,我们必须明确识别那些具有系统重要性的机构,从而控制系统性风险。其次,我们还需要研究影响银行系统重要性的因素,从而有助于我们及早采取对策,规避和化解我国经济发展中的不稳定因素,以保持我国经济的稳定健康发展。因此,本文不但实证地对我国具有系统重要性的商业银行进行度量,而且从微观审慎方面对影响银行系统重要性的因素进行了实证分析,具有较强的现实意义,能够为监管当局与银行业自身提供相应的监管依据。在内容框架上,第一章为本文的导论部分,主要包括选题背景和选题意义,以及关于系统重要性度量方法方面的国内外文献综述,并给出了本文的主要内容和研究方法。第二章是关于测度银行系统重要性所用到模型,也就是论文的主体模型Co Va R方法,并概念性的详述了的分位数回归模型和Co Va R的具体推导过程,为下章的实证分析奠定理论基础。第三章是本文的实证部分,我们运用△Co Va R方法度量了我国商业银行的系统重要性,对12家商业银行进行了排序,并详细分析了实证结果。第四章是本文关于系统重要性影响因素的实证部分,根据第四章得出的实证结果,对文章进行进一步的研究。第五章是在对前文的研究做出了总结梳理,此外,本章还提出了具体的、可操作性的政策方面的建议,最后本文研究主题方面的前景进行了展望。研究结论方面,本文研究发现国有大型股份制银行如中国银行,建设银行,工商银行和交通银行的系统重要性都是在按资产总量排序中是最大的,这说明国有大型股份制银行对整个银行系统的影响是最大的,这几家银行是否稳健运行是整个银行系统的能否健康运转的关键。其中,在国有大型股份制银行中,建设银行的系统重要性值最大。中国银行略低于建设银行,也就是说建设银行的系统重要性程度最高,虽然这与目前国内得出的中国银行是目前国内系统重要性程度最高的结论稍有差异。但考虑到模型选择,时效性等方面的因素,本文对实证结果总体满意。而股份制银行排在大型国有银行之后,但是其对整个银行体系的影响是仅次于大型国有银行,差距并不明显,因为股份制银行对整个银行体系的影响之大也是符合现实中的实际情况的。城商行是排在三组之末的,代表着城市商业银行对整个银行系统的影响,由于地域及其规模的限制因素,其对银行体系的影响不如大型国有银行和股份制银行,但是在整个银行体系中它有着举足轻重的作用,同样不容小觑。在影响因素上,研究结论发现,核心资本充足率、总资产净回报率、不良资产率这三个因素在影响系统重要性的过程中,起到了至关重要的作用。
[Abstract]:The occurrence of the subprime mortgage crisis in the United States exposed the inadequate supervision of systemically important financial institutions. To maintain the stability of the national economy, banking and financial systems, we must clearly identify systemically important institutions to control systemic risk. Secondly, we also need to study the factors that affect the importance of the banking system, so as to help us to take early measures to avoid and resolve the unstable factors in the economic development of our country, so as to maintain the stable and healthy development of our economy. Therefore, this paper not only measures the systemically important commercial banks in China, but also makes an empirical analysis on the factors affecting the importance of banking system from the microprudential aspect, which is of great practical significance. Can provide the corresponding regulatory basis for the regulatory authorities and the banking industry itself. In the content framework, the first chapter is the introduction of this paper, including the background and significance of the topic, as well as the domestic and foreign literature review on the measurement of the importance of the system, and gives the main content and research methods of this paper. The second chapter is about the model used to measure the importance of the banking system, that is, the main body model, the CoVa-R method, and conceptually details the quantile regression model and the specific derivation process of the CoVa-R. For the next chapter of empirical analysis to lay a theoretical foundation. The third chapter is the empirical part of this paper. We measure the systematical importance of Chinese commercial banks by using the method of CoVa R, rank 12 commercial banks, and analyze the empirical results in detail. The fourth chapter is the empirical part of this paper about the influence factors of system importance, according to the empirical results obtained in the fourth chapter, the paper carries on further research. The fifth chapter is a summary of the previous research, in addition, this chapter also put forward specific, operational policy recommendations, and finally the future of the theme of this paper is prospected. In conclusion, this paper finds that the systematical importance of large state-owned joint-stock banks such as Bank of China, China Construction Bank, Industrial and Commercial Bank and Bank of Communications is the largest in the order of total assets. This shows that large state-owned joint-stock banks have the greatest impact on the banking system as a whole, and whether these banks are running smoothly is the key to the healthy operation of the entire banking system. Among them, in the state-owned large-scale joint-stock banks, the construction bank's system importance value is the biggest. Bank of China is slightly lower than CCB, that is to say, CCB has the highest degree of system-importance, although this is slightly different from the conclusion that Bank of China is the most important in China. However, considering the factors of model selection and timeliness, this paper is satisfied with the empirical results. The joint-stock banks rank behind the large state-owned banks, but their impact on the entire banking system is second only to the large state-owned banks, and the gap is not obvious. This is because the impact of shareholding banks on the whole banking system is also in line with the actual situation. City Commercial Bank is at the end of three groups, representing the influence of city commercial banks on the banking system as a whole. Due to regional and scale constraints, their impact on the banking system is not as good as that of large state-owned banks and joint-stock banks. But it plays an important role in the banking system as a whole. In terms of the influencing factors, it is found that the core capital adequacy ratio, the net return rate of total assets and the non-performing assets ratio play an important role in the process of affecting the system importance.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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