基于面板数据的我国银行净利差及其影响因素分析

发布时间：2018-07-02 14:42

本文选题：商业银行 + 净利差　；参考：《西南财经大学》2012年硕士论文

【摘要】：银行业净利差既是银行盈利基础,也影响着社会生活的方方面面。近年来,关于银行业利差水平高低的讨论不断,在利率市场化逐步深入、基准利率不断收紧的大背景下,研究我国银行净利差及其影响因素有着重要意义。本文共分为六章：第一章为绪论,对净利差问题的研究背景及意义进行了阐述,从提高银行管理水平、定价能力、为政府提供政策依据三方面进行了讨论。第二章介绍银行净利差及其相关概念间的关系及文献综述部分。对净利差与中间利润的关系,净利差与基准利差的关系进行了比较,得出净利差与中间业务无明显关系,基准利差对净利差的浮动起到限制作用。通过对国内外相关研究文献进行系统的回顾与梳理,发现国外在银行净利差上的研究己相当成熟,国内研究基本是在借鉴国外文献之上,已经取得了很多成果,但是在研究方法、样本数量上还存在一些不足。第三章对净利差影响因素进行理论分析。首先,本文通过理论推导得到理论意义上的影响因素,其次,考虑到其他文献中出现的对净利差影响性较大的因素,再次,结合我国国情,加入货币政策因素和宏观变量因素。最后对上述影响因素与净利差的理论关系进行分析,并对各影响因素的变量表示、计算公式给以说明。第四章为国内外净利差实际水平的比较分析。详细比较了我国商业银行与国外商业银行净利差水平的差异,通过比较发现,国内银行净利差水平在世界上处于中等水平,低于美国、俄罗斯银行的净利差水平；比较国内三类银行：国有银行、全国性股份制银行、城市商业银行在净利差上的差异,发现三类银行净利差水平的高低顺序是：城市商业银行、股份制银行、国有银行,并通过深入分析各类别银行的影响因素,揭示了三类银行在净利差水平上的差异的具体原因；比较国内银行与外资银行在净利差上的差异,发现国内银行在盈利能力、市场结构等方面都具有先天优势,外资银行取得高净利差的能力还与国内银行有一定差距。第五章实证分析是本文的重点。本文选取44家国内银行2005-2010年财务数据,数据皆来自BANKSCOPE数据库。首先通过多重共线性检验,将两变量从影响因素中删去；其次为平稳性检验,证实银行内部影响因素中不存在单位根。其次,通过F检验和Hausman检验确定采用固定效应模型进行估计,再次运用EGLS法建立了全样本模型、分类别模型、两阶段模型分别比较分析,最后采用分位数回归的方法对各分位点水平的净利差进行因素分析。第六章,根据理论分析与实证结论提出相应对策建议,对我国银行业整体来说,还需进一步强化风险管理、提升自主定价能力、提高经营管理水平；国有银行应利用自身规模优势,重视管理质量的提高；股份制银行需加强成本管理,提高经营效率；城市商业银行在发展壮大的同时也要兼顾发展的稳定性,注意将流动性风险控制在适当水平。最后,指出论文中存在的不足：样本选择和指标选取上还存在局限性,指出今后可以进一步研究的方向。文章的创新体现在研究范围上的创新、实证方法上的创新。 ①研究范围上的创新体现在：首先,在比较净利差及其影响因素时,将外资银行纳入讨论范围,通过与国内银行在净利差和各影响因素上的简单比较,找出其中差异。这在国内净利差研究中也是首次。其次,在影响因素方面,通过文献的阅读,影响因素的涉及面更广,根据我国国情,考虑将货币政策因素(存款基准利率和存款准备金率)和宏观经济因素(GDP增长率、通货膨胀率)引入到模型中。 ②研究方法上,采用分位数回归方法研究我国银行净利差影响因素,这在国内文献中还未出现过。除此之外,本文还分阶段研究了2008年金融危机前后各因素影响效力的变化。
[Abstract]:The net profit of the banking industry is not only the bank ' s profit foundation , but also the square face of the social life . In recent years , the discussion on the level of the level of the bank ' s profit margin is of great significance in the study of the net profit and its influencing factors in our country under the background of the gradual deepening of interest rate and the tightening of the benchmark interest rate .

This article is divided into six chapters :

In the first chapter , we discuss the background and significance of the research background and significance of the problem of net profit , from improving the bank ' s management level and pricing ability , and to discuss the policy according to the three aspects .

The second chapter introduces the relation between net profit margin and its relative concepts , and compares the relation between net profit difference and intermediate profit . The relation between net profit difference and the standard deviation is compared , and it is concluded that the net profit difference is not related to the intermediate business .

In the third chapter , the influence factors of net profit are analyzed theoretically . First , this paper derives the influential factors of theoretical significance through theoretical derivation , and then takes into account the factors that influence the difference of net profit in other documents , and then combines the factors of monetary policy and macro variables in combination with the national conditions of our country . Finally , the theoretical relationship between the above - mentioned factors and the net profit is analyzed , and the variable representation of each influencing factor is given , and the calculation formula is given to it .

The fourth chapter is a comparative analysis of the actual level of net profit at home and abroad . The difference of net profit margin between Chinese commercial banks and foreign commercial banks is compared in detail . Through comparison , the net profit margin level of domestic banks is at the middle level in the world , which is lower than the net profit margin level of American and Russian banks ;
This paper compares three kinds of banks : state - owned banks , national joint - stock banks and urban commercial banks in the difference of net profit margin . It is found that the level of net profit margin of three kinds of banks is : city commercial banks , joint - stock banks and state - owned banks .
Comparing the differences between domestic banks and foreign banks in the net profit margin , it is found that domestic banks have innate advantages in terms of profitability , market structure and so on . The ability of foreign banks to obtain high net profit margin also has a certain gap with domestic banks .

Chapter V empirical analysis is the focus of this paper . In this paper , the financial data of 44 domestic banks from 2005 to 2010 are selected from BANKSCOPE database . First , two variables are deleted from the influencing factors through multiple collinearity tests .
Secondly , the fixed effect model is used to estimate the internal influence factors of the bank . Secondly , by means of the F test and byman test , the fixed effect model is used to estimate , then the whole sample model , the classification model and the two - phase model are established by the EGLS method . Finally , the analysis of the difference of the net profit of each sub - site level is carried out by using the method of quantile regression .

In the sixth chapter , according to the theoretical analysis and the empirical conclusion , the corresponding countermeasures are put forward , and it is necessary to further strengthen the risk management , improve the ability of independent pricing and improve the management level .
State - owned banks should take advantage of their own scale and attach importance to the improvement of management quality ;
Joint - stock banks need to strengthen the cost management and improve the operating efficiency ;
At the same time , the urban commercial banks should take into account the stability of development , pay attention to the control of liquidity risk in the proper level . Finally , it is pointed out that there are some shortcomings in the paper : sample selection and indicator selection also have limitations , and point out the direction that can be further studied in the future .

The innovation of the article is embodied in the innovation in the scope of the research and the innovation in the empirical method .

Firstly , when comparing the net profit difference and the influencing factors , the foreign banks are included in the discussion scope , and the difference is found through simple comparison with the domestic banks in the net profit difference and the influencing factors . This is the first time in the domestic net profit difference study . Secondly , the paper considers the factors of the influence factors ( deposit base interest rate and reserve reserve ratio ) and the macro - economic factors ( GDP growth rate , inflation rate ) into the model .

In this paper , the influence factors of the net profit margin of our country are studied by using the method of quantile regression , which has not appeared in the domestic literature . Besides , this paper also studies the change of the effect of the factors before and after the 2008 financial crisis .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

【参考文献】