资本充足率监管对我国商业银行价值影响研究

发布时间：2018-05-20 02:05

本文选题：资本充足率监管 + 商业银行价值　；参考：《山东财经大学》2012年硕士论文

【摘要】：商业银行的资本是其从事经营活动必须注入的资金，包括自身拥有和能够永久性使用的资金两部分。只有拥有充足的资本，才能维护存款人的权益；商业银行才能安全经营、稳健发展；才能满足监管机构的监管标准，促进金融体系稳定发展，实现监管与商业银行互相促进、共同发展的目标。鉴于商业银行在经济系统中的重要地位以及银行业自身发展的特点，商业银行的资本充足性监管对于避免系统性银行危机、实现银行体系稳健运行以及经济健康发展都具有极为重要的作用。经过各次金融危机的洗礼，资本充足性监管也在不断地完善，特别是2008年美国次贷危机之后，于2010年9月12日达成的《巴塞尔协议Ⅲ》提高了资本充足率监管标准，并且增加了多重监管指标，作为资本充足率监管的补充。自银监会于2004年颁布实施《商业银行资本充足率管理办法》，迈出资本充足率监管的第一步，我国银行业监管逐步形成以资本充足率为核心的资本监管模式。2011年8月，在《巴塞尔协议Ⅲ》背景下我国银监会又下发《商业银行资本管理办法（征求意见稿）》，这说明我国的资本充足率监管一直在稳步前行、紧跟国际趋势，同时新的监管标准势必会影响我国商业银行的经营管理。我国的资本充足率监管是否有效？商业银行作为企业，是以价值最大化为经营目标的，那以资本充足率为核心的资本充足性监管会对商业银行价值产生什么影响，会不会实现预期效应，即约束风险，减少损失？商业银行应如何应对资本充足的严格管理标准，在寻求价值最大化和遵守监管标准之间寻求一种平衡？所以，研究我国资本充足率监管对商业银行价值的影响，对于我国商业银行更好的应对资本监管，提高其经营管理水平以及资本监管的有效性具有重要的现实意义。鉴于商业银行资本充足率监管对银行价值影响研究具有很强的政策意义，国内外学者在理论及实证上对其进行了充分的研究，但到目前为止在这两方面上都未达成一致结论。目前主要分为两种观点：资本充足率监管是有效的；资本充足率监管是无效的。本文首先就资本充足率监管对商业银行的影响进行理论分析。然后阐述我国资本充足率监管发展历程并分析新的监管标准对我国商业银行的影响。最后，以商业银行价值为被解释变量，资本充足率为解释变量，引入一系列控制变量，进行控制因果关系分析，并且运用灰色理论中的灰关联分析法对资本充足率、静态资本充足率即杠杆率与银行价值进行灰关联分析。这对于提高我国商业银行的经营管理及风险管理水平，实现稳健发展，为经济稳健发展提供强大的保障具有很强的现实意义，同时也丰富了银行监管理论，推动其进一步发展。在总体结构上，全文共分为五章：第一章为导言。本部分首先提出了本文的选题背景与研究意义。为顺应国际银行业的监管趋势，我国银行业监管当局根据《巴塞尔协议Ⅲ》，并结合我国经济发展的阶段需要及银行业的实际发展情况，下发《商业银行资本管理办法（征求意见稿）》。这势必会对我国商业银行造成一定影响。我国商业银行必须积极寻找对策，在价值最大化和遵守监管政策两者之间寻求一种平衡。其次为文献综述部分，国外文献综述和国内文献综述都分为两类：有效论和无效论。最后阐述了本文的研究思路与方法及创新点。第二章为资本充足性监管影响商业银行价值的理论分析。首先介绍资本充足率监管的涵义及银行价值的涵义及衡量指标。然后，从理论上分析资本充足率监管对银行价值的影响。最后，通过效应的角度阐述资本充足率监管对银行价值的作用机制。第三章为我国商业银行资本充足率监管发展过程及新的监管标准对我国银行业的影响。首先介绍我国资本充足率监管的发展历程，分析其存在的问题，然后结合我国资本充足率现状，分析新的监管标准对我国商业银行的影响。第四章为资本充足率监管影响我国商业银行价值的实证分析。首先以银行价值为被解释变量，资本充足率为解释变量，引入一系列控制变量，对资本充足率与银行价值进行控制因果关系分析及超外生性检验。结果表明，作为解释变量的资本充足率具有超外生性，依据条件模型估计资本充足率监管对商业银行的影响是有效地，国有控股的四大银行中两者是负向关系，股份制上市商业银行中两者之间则是正向关系。其次将资本充足率、静态资本充足率即杠杆率与银行价值进行灰关联分析。结果表明，杠杆率即静态资本充足率与银行价值有很强的关联性，这也在实证上证明新监管指标中将杠杆率作为资本充足率补充的正确性。第五章为对策建议。本文结合实证结论，对我国商业银行如何在追求价值最大化及应对资本充足性监管两者之间寻求平衡提出四点建议，这四点建议分别从资本管理，提高资本充足率；资产管理；风险管理；与监管部门合作角度出发。同时对于我国银行监管部门从转变监管理念及模式；发挥央行及银行业自律组织职能四个方面给出了建议，促进其实现功能性监管，提高资本监管有效性。本文的创新点主要集中在三个方面：第一，在资本充足率监管有效性的研究中，多是基于资本充足率监管可以降低银行风险方面，本文在结合相关文献综述及理论基础之上，总结出资本充足率监管对银行的影响效应，，并通过效应的视角来阐述资本充足率监管对银行价值影响的途径。第二，在实证方法上，以资本充足率为解释变量，以银行价值为被解释变量，在引入一系列控制变量的基础之上进行控制因果关系分析，超外生性检验。第三，在引入监管指标，作为资本充足率监管的补充指标上，只是提出建议，并没有进行实证分析，本文将杠杆率看做静态资本充足率，运用灰关联分析法将静态资本充足率即杠杆率、资本充足率与银行价值的关联性进行实证分析。
[Abstract]:The capital of a commercial bank is the capital which it has to inject into its business activities, including two parts of the capital that it owns and can use permanently. Only with sufficient capital can the interests of the depositors be maintained; the commercial banks can operate safely and steadily, and can meet the regulatory standards of the regulators and promote the stability of the financial system. In view of the important position of commercial banks in the economic system and the characteristics of the development of the banking industry, the regulation of capital adequacy of commercial banks is very important to avoid systemic banking crisis, to realize the stable operation of the banking system and to develop healthy economy. The role.
After the baptism of the financial crisis, the regulation of capital adequacy is also being perfected, especially after the US subprime crisis in 2008. In September 12, 2010, the Basel Agreement III increased the regulatory standards for the capital adequacy ratio and added multiple regulatory indicators as a supplement to the regulation of capital adequacy. The CBRC issued the CBRC in 2004. With the implementation of the management method of capital adequacy ratio of commercial banks and the first step in the supervision of capital adequacy ratio, China's banking supervision has gradually formed a capital regulation model with capital adequacy ratio as the core of.2011 in August. Under the background of the Basel Agreement III, China's Banking Regulatory Commission also issued the capital management method for commercial banks (solicit draft). It is clear that the regulation of capital adequacy in China has been advancing steadily, closely following the international trend, and the new regulatory standards will inevitably affect the management of commercial banks in our country. Is the capital adequacy regulation of our country effective? Commercial banks, as enterprises, are the goal of maximizing the value, and the capital adequacy ratio is the capital charge. What effect does the foot Regulatory Commission have on the value of commercial banks? Will it achieve the expected effect, that is, to constrain the risk and reduce the loss? How should commercial banks respond to the strict management standards of capital adequacy and seek a balance between maximizing value and observing regulatory standards? So, the study of China's capital adequacy regulation on Commercial Banks The influence of value is of great practical significance for China's commercial banks to better cope with capital supervision, improve their management level and the effectiveness of capital supervision.
In view of the strong policy significance of the research on the impact of capital adequacy regulation on bank value, scholars both at home and abroad have made full research on it in theory and empirical, but so far there are no consistent conclusions in these two aspects. At present, it is mainly divided into two points of view: the capital adequacy regulation is effective; This article first analyzes the impact of capital adequacy regulation on commercial banks. Then it expounds the development process of China's capital adequacy regulation and analyzes the influence of new regulatory standards on China's commercial banks. Finally, the value of commercial banks is interpreted as interpreted variable and capital adequacy ratio as an explanatory variable. A series of control variables are introduced to control causality analysis, and grey relational analysis in grey theory is used to analyze the capital adequacy ratio and the static capital adequacy ratio, that is, the leverage ratio and the bank value, which can improve the management and risk management level of commercial banks in China, and achieve robust development and economic stability. It is of great practical significance to provide a strong guarantee for development, and it also enriches the theory of banking supervision and promotes its further development.
On the overall structure, the full text is divided into five chapters.
The first chapter is the introduction. This section first puts forward the background and research significance of this article. In order to comply with the trend of international banking supervision, the banking regulatory authorities of China, according to the Basel Agreement III, combined with the needs of the stage of economic development in China and the actual development of the banking industry, issued the method of capital management of commercial banks. It is bound to have a certain impact on China's commercial banks. The commercial banks of our country must seek the countermeasures actively and seek a balance between the value maximization and the compliance with the regulatory policy. Secondly, the literature review and the domestic literature review are divided into two categories: validity and inefficiency. Finally, this paper expounds the theory of the literature The research ideas and methods and innovation points of this paper.
The second chapter is the theoretical analysis of the influence of capital adequacy supervision on the value of commercial banks. First, it introduces the meaning of capital adequacy regulation and the meaning of bank value and the measure index. Then, it analyzes the influence of capital adequacy regulation on bank value theoretically. Finally, the value of capital adequacy regulation is expounded through the angle of effect. Mechanism of action.
The third chapter is the development process of China's commercial bank capital adequacy regulation and the influence of new regulatory standards on China's banking industry. First, it introduces the development process of China's capital adequacy regulation, analyzes its existing problems, and then analyzes the impact of the new supervision standards on China's commercial banks with the current situation of China's capital adequacy ratio.
The fourth chapter is an empirical analysis of the influence of capital adequacy regulation on the value of commercial banks in China. First, the variable of bank value is interpreted and the capital adequacy ratio is the explanatory variable, and a series of control variables are introduced to control the causal relationship between the capital adequacy ratio and the bank value. The result shows that it is an explanatory variable. The capital adequacy ratio is super out of nature. According to the conditional model, it is effective to estimate the impact of capital adequacy regulation on commercial banks. The four big banks in state-owned holding are negative relations, and the two are positive relations among the stock listed commercial banks. Secondly, the capital adequacy ratio, the static capital adequacy ratio, the leverage ratio and the bank price, is the second. The results show that the leverage ratio, that is, the static capital adequacy ratio has a strong correlation with the bank value, which proves the correctness of the new regulatory index as a supplement to the capital adequacy ratio.
The fifth chapter is the countermeasures and suggestions. This paper, combining with the empirical conclusions, puts forward four suggestions on how our commercial banks seek to balance between the pursuit of maximization of value and the regulation of capital adequacy regulation. The four suggestions are from capital management, raising capital adequacy ratio, asset management, risk management, and cooperation with the supervision department. At the same time, it gives some suggestions on the transformation of the regulatory concept and mode of the bank supervision and the four aspects of the functions of the central bank and the banking self-discipline organization to promote its functional supervision and improve the effectiveness of the capital supervision.
The innovation of this article is mainly concentrated in three aspects:
First, in the study of the effectiveness of capital adequacy regulation, most of them can reduce the bank risk based on the regulation of capital adequacy ratio. On the basis of relevant literature review and theory, this paper summarizes the influence effect of capital adequacy regulation on banks, and expounds the effect of capital adequacy regulation on bank value through the perspective of effect. The way to sound.
Second, in the empirical method, the capital adequacy ratio is used as the explanatory variable and the bank value is interpreted as the explanatory variable. On the basis of the introduction of a series of control variables, the causality analysis is controlled and the extra external test is used.
Third, in the introduction of regulatory indicators, as a supplementary indicator of the regulation of capital adequacy, only suggestions are proposed and no empirical analysis is carried out. The leverage ratio is regarded as a static capital adequacy ratio, and the correlation of capital adequacy ratio, capital adequacy ratio and bank value is empirically analyzed by the grey correlation analysis method.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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