中国商业银行流动性风险的宏观压力测试研究

发布时间：2018-06-18 03:57

本文选题：宏观压力测试 + 流动性风险　；参考：《湖南大学》2015年硕士论文

【摘要】：商业银行的流动性风险成因复杂,而宏观经济发生变化是导致银行系统发生流动性风险的关键原因。采用宏观压力测试方法,运用情景分析法构建宏观经济发生极端变化时的压力情景,利用经验模态分解方法获得具体的压力冲击数值,执行压力测试得到压力情景下银行体系存贷比的变化。研究内容包括以下几个方面：首先,对流动性风险的相关文献进行梳理与分析,界定流动性风险的内涵。在此基础上,分析商业银行系统流动性风险的内在原因与外在原因,并对银行流动性风险的监管思路进行了比较,提出以宏观压力测试作为监测方法。对宏观压力测试的相关研究进行梳理与分析后,对比宏观压力测试的类型和流程,结合“新常态”下中国宏观经济的运行特征,论述了宏观压力测试对商业银行系统流动性风险监测的有效性。其次,结合现有的流动性监管指标与《巴塞尔协议III》中提供的新监管思路,将存贷比拆分为短期存款、长期存款、短期贷款和长期贷款四个部分作为压力测试的承压指标,并根据经济学理论用9个相关的宏观经济变量作为压力指标,通过逐步回归法得到压力测试模型。再次,分析9个宏观经济变量间的相关关系,以工业增加值增速作为关键指标,构建压力情景模型。利用经验模态分解,将工业增加值增速的波形分解为7个本征模态,再合成为长期趋势、中期冲击和短期波动三个部分。然后将工业增加值增速历史上最大冲击和波动作用于未来的长期趋势中,得到三种不同程度的压力冲击,并以此设计极端压力情景。最后,执行压力测试。结论是随着宏观经济压力的增加,中国银行系统的存贷比率明显上升,甚至超过了75%的监管要求。而长期存款增加是导致存贷比上升的主要原因,这意味着商业银行的存贷期限错配将更为严重,将面临更严重的流动性风险。
[Abstract]:The causes of liquidity risk of commercial banks are complex, and the change of macro economy is the key reason for the liquidity risk in the banking system. Using the method of macroscopical stress test and scenario analysis, the stress scenarios of extreme changes in macro economy are constructed, and the specific pressure shock values are obtained by using empirical mode decomposition method. Performing stress tests results in changes in the deposit-loan ratio of the banking system under stress scenarios. The research includes the following aspects: firstly, the related literature on liquidity risk is combed and analyzed to define the connotation of liquidity risk. On this basis, this paper analyzes the internal and external causes of liquidity risk in commercial bank system, compares the ideas of bank liquidity risk supervision, and puts forward the macro-stress test as the monitoring method. After combing and analyzing the relevant research of macro-stress testing, comparing the types and processes of macro-stress testing, combining with the "new normal" macroeconomic characteristics of China, This paper discusses the effectiveness of macro-stress test in monitoring liquidity risk of commercial bank system. Secondly, combined with the existing liquidity regulatory indicators and the new regulatory ideas provided in Basel III, the deposit-loan ratio is divided into four parts: short-term deposit, long-term deposit, short-term loan and long-term loan. According to the theory of economics, nine relevant macroeconomic variables are used as stress indicators, and the stress test model is obtained by stepwise regression method. Thirdly, the relationship between 9 macroeconomic variables is analyzed, and the stress scenario model is constructed by taking the growth rate of industrial added value as the key index. By means of empirical mode decomposition, the waveform of industrial value-added growth rate is decomposed into seven intrinsic modes, which are composed of three parts: long term trend, medium term shock and short term fluctuation. Then, the biggest shock and fluctuation in the history of industrial value-added growth are applied to the long-term trend in the future, and three kinds of pressure shocks are obtained, and the extreme pressure scenarios are designed. Finally, stress tests are performed. The conclusion is that with the increase of macroeconomic pressure, the deposit and loan ratio of China's banking system has increased significantly, even exceeding the 75% regulatory requirements. The increase in long-term deposits is the main reason for the rise in the loan-to-deposit ratio, which means that the maturity mismatch of commercial banks will be more serious and will face more serious liquidity risk.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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