中国商业银行市场约束研究
发布时间：2018-08-27 07:47
【摘要】：从宏观经济角度看，改革开放三十多年来，中国通过渐进式改革逐步从计划经济步入市场经济发展模式，但是在金融行业市场化改革的发展还远远不够。中国的金融业目前仍然是一个政府主导型行业，中国政府对于金融业的控制是强有力的。具体体现在商业银行的国有控股性质；存贷款基准利率央行统一制定；信贷规模的控制等诸多方面。尽管金融自由化一直受到争议，国家出于金融安全及政治稳定等因素的考虑必须对金融业施行必要的管制。但是不可否认的是，金融市场化在调节资源配置，提高经济效率等方面发挥着巨大的作用。因此稳步推进金融市场化发展对我国的经济发展有着重要的实践意义。从银行业发展的微观角度看，中国企业的融资手段依然以商业银行贷款的间接融资为主，在这样的背景下加强银行业的风险监管对我国的意义尤为重要。中国银监会对银行的监管一直以巴塞尔协议为蓝本依托，制定符合中国国情的监管制度。而巴塞尔协议的三大监管支柱为：（1）资本充足监管；（2）监管当局监管；（3）市场约束监管。所谓市场约束即为发挥市场力量对银行业的风险行为构成约束，形成一种以市场为导向的监管机制。可见市场约束是集合市场经济和监管机制的综合产物。作为巴塞尔协议银行监管的第三大支柱，市场约束在商业银行监管中发挥着不可替代的作用。 本文旨在运用从总体到细节的分析框架与方法，并结合金融学的分支以及数学的重要原理，同时利用计量方法和翔实的数据对中国商业银行的市场约束情况进行理论分析和实证研究。在理论方面，建立综合考察市场约束主要主体——存款人、债权人、股东的激励机制以及商业银行对市场约束的博弈反应等模型；在实证方面，结合中国商业银行的实际数据进行逐一分析。进而研究市场约束如何发挥其对商业银行监管的主要规律和作用机制，并结合中国实际，探求市场约束在我国的发展情况。本文通过以上分析论述得出一些关于如何通过市场约束促进商业银行监管的结论，并对中国的银行业监管发展进行展望。 本文共有八章。第一章为导论，介绍问题提出的背景、本文的研究思路、方法、特点，以及本文的创新点及难点。第二章为理论综述与文献述评。回顾了市场约束及其相关内容的重要文献，并从整体上阐述了市场约束的作用机制。详细论述了市场约束的历史、发挥作用的一般原理、市场约束的内涵及主体（存款人、次级债投资人、股东等）。在文献综述的同时简要的分析了市场约束的条件及发展，也分析了市场约束与其他监管支柱的联系。从第三章开始，具体分析市场约束主体在中国的实际情况。第三章从存款人的角度对市场约束作用的发挥进行论述。理论部分介绍了存款人发挥市场约束作用的机理及重要意义。实证部分就我国的存款市场进行了统计性描述及市场约束的计量分析。第四章从次级债投资人的角度对市场约束进行了论述。应用资产定价的原理，用数学模型推导了次级债投资人如何发挥市场约束作用。并就商业银行引入次级债后会引起其他利益相关人的变化进行了分析。并通过建立数学模型和数值模拟就我国次级债市场等问题的特殊性进行了分析。还就我国商业银行次级债发展的特有现象——“相互持有”的角度对市场约束的影响进行了分析。第五章从股东在股市进行交易的角度，对我国上市商业银行的市场约束进行了分析。本章论述了股东市场约束的内涵、意义，分析了我国商业银行股东的市场约束存在的途径。实证部分用GMM动态面板分析了基于股票交易的角度对商业银行风险的市场约束。实证结果显示，股票市场交易的非系统性波动对商业银行的风险管理构成了市场约束。第六章主要论述了市场约束受到周围环境怎样的影响。以及面对市场约束，商业银行会进行哪些相应的博弈。论述了信息披露与市场约束的关系；如果存在市场约束，或者市场约束预期，商业银行会做出盈余管理、资本管理、监管资本套利等博弈及外部环境对市场约束的影响。第七章总结了市场约束在我国的发展情况，对如何在我国践行市场约束等问题进行了分析。第八章为本文的总结论和未来的研究方向。 通过理论和实证分析，本文得出如下结论：首先，市场约束在商业银行监管问题上发挥着不可替代的作用。第二，中国商业银行的市场约束机制还很薄弱，尤其表现在存款人及次级债投资人上。第三，，面对市场约束，商业银行会做出盈余管理、资本管理等博弈反应。市场约束总体上促进巴塞尔协议的另两大监管支柱。第四，市场约束的发展在我国银行业是必要且重要的，因此应加强我国商业银行的市场约束监管，这对我国商业银行的健康发展具有重要意义。
[Abstract]:From the macroeconomic point of view, over the past 30 years of reform and opening up, China has gradually stepped into the market economy through gradual reform from the planned economy, but the development of market-oriented reform in the financial industry is far from enough. Although financial liberalization has been controversial, the state has to impose necessary controls on the financial sector for the sake of financial security and political stability. Financial marketization plays an important role in adjusting resource allocation and improving economic efficiency. Therefore, it is of great practical significance to promote the development of financial marketization steadily for China's economic development. China Banking Regulatory Commission (CBRC) has been formulating a regulatory system in line with China's national conditions based on the Basel Accord. The three main regulatory pillars of the Basel Accord are: (1) capital adequacy supervision; (2) regulatory authority supervision; (3) market constraints. As the third pillar of Basel Accord banking supervision, market restraint plays an important role in the supervision of commercial banks. An irreplaceable role.
The purpose of this paper is to make theoretical analysis and empirical research on the market constraints of commercial banks in China by using the framework and methods of analysis from the whole to the details, combining the branches of Finance and the important principles of mathematics, and using quantitative methods and detailed data. The incentive mechanism of depositors, creditors, shareholders and the game reaction of commercial banks to market constraints are analyzed one by one in the empirical aspect. Then the main laws and mechanism of market constraints on commercial banks are studied, and the market is explored in the light of China's reality. Based on the above analysis and discussion, this paper draws some conclusions on how to promote the supervision of commercial banks through market constraints, and prospects the development of China's banking supervision.
The first chapter is the introduction, which introduces the background of the problem, the research ideas, methods, characteristics, and the innovation and difficulties of this paper. The second chapter is the theoretical review and literature review. The history of market restraint, the general principle of market restraint, the connotation and main body of market restraint (depositors, subordinated bond investors, shareholders, etc.) are reviewed. At the same time, the conditions and development of market restraint are briefly analyzed, and the relationship between market restraint and other regulatory pillars is also analyzed. Chapter 3 discusses the role of market constraints from the perspective of depositors. The theoretical part introduces the mechanism and significance of market constraints exerted by depositors. The empirical part makes a statistical description of the deposit market in China and a quantitative analysis of market constraints. Chapter 4 discusses the investors in subordinated bonds. This paper discusses the market constraints from the angle of market. Applying the principle of asset pricing, the paper deduces how the investors of subordinated bonds exert their market constraints by means of mathematical models, and analyzes the changes of other stakeholders caused by the introduction of subordinated bonds by commercial banks. The particularity of these problems is analyzed. The influence of market restraint is also analyzed from the perspective of "mutual holding", a peculiar phenomenon in the development of subordinated bonds of commercial banks in China. The fifth chapter analyzes the market restraint of listed commercial banks in China from the perspective of stockholders'trading in the stock market. The connotation and significance of constraints are analyzed. The empirical part uses GMM dynamic panel to analyze the market constraints on the risks of commercial banks. The empirical results show that the non-systematic volatility of stock market transactions constrains the risk management of commercial banks. Chapter 6 mainly discusses how market constraints are affected by the surrounding environment, and what corresponding games commercial banks will play in the face of market constraints. Discusses the relationship between information disclosure and market constraints; if there are market constraints, or market constraints expectations, commercial banks will make earnings management, capital management, regulatory capital sets. Chapter 7 summarizes the development of market constraints in China and analyzes how to practice market constraints in China. Chapter 8 is the summary of this paper and the future research direction.
Through theoretical and empirical analysis, this paper draws the following conclusions: firstly, market constraints play an irreplaceable role in the supervision of commercial banks. secondly, the market restraint mechanism of Chinese commercial banks is still very weak, especially for depositors and investors in subordinated bonds. thirdly, commercial banks will make earnings management in the face of market constraints. Fourthly, the development of market constraints is necessary and important in China's banking industry. Therefore, it is of great significance for the healthy development of China's commercial banks to strengthen the supervision of market constraints.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.33;F832.51;F224
[Abstract]:From the macroeconomic point of view, over the past 30 years of reform and opening up, China has gradually stepped into the market economy through gradual reform from the planned economy, but the development of market-oriented reform in the financial industry is far from enough. Although financial liberalization has been controversial, the state has to impose necessary controls on the financial sector for the sake of financial security and political stability. Financial marketization plays an important role in adjusting resource allocation and improving economic efficiency. Therefore, it is of great practical significance to promote the development of financial marketization steadily for China's economic development. China Banking Regulatory Commission (CBRC) has been formulating a regulatory system in line with China's national conditions based on the Basel Accord. The three main regulatory pillars of the Basel Accord are: (1) capital adequacy supervision; (2) regulatory authority supervision; (3) market constraints. As the third pillar of Basel Accord banking supervision, market restraint plays an important role in the supervision of commercial banks. An irreplaceable role.
The purpose of this paper is to make theoretical analysis and empirical research on the market constraints of commercial banks in China by using the framework and methods of analysis from the whole to the details, combining the branches of Finance and the important principles of mathematics, and using quantitative methods and detailed data. The incentive mechanism of depositors, creditors, shareholders and the game reaction of commercial banks to market constraints are analyzed one by one in the empirical aspect. Then the main laws and mechanism of market constraints on commercial banks are studied, and the market is explored in the light of China's reality. Based on the above analysis and discussion, this paper draws some conclusions on how to promote the supervision of commercial banks through market constraints, and prospects the development of China's banking supervision.
The first chapter is the introduction, which introduces the background of the problem, the research ideas, methods, characteristics, and the innovation and difficulties of this paper. The second chapter is the theoretical review and literature review. The history of market restraint, the general principle of market restraint, the connotation and main body of market restraint (depositors, subordinated bond investors, shareholders, etc.) are reviewed. At the same time, the conditions and development of market restraint are briefly analyzed, and the relationship between market restraint and other regulatory pillars is also analyzed. Chapter 3 discusses the role of market constraints from the perspective of depositors. The theoretical part introduces the mechanism and significance of market constraints exerted by depositors. The empirical part makes a statistical description of the deposit market in China and a quantitative analysis of market constraints. Chapter 4 discusses the investors in subordinated bonds. This paper discusses the market constraints from the angle of market. Applying the principle of asset pricing, the paper deduces how the investors of subordinated bonds exert their market constraints by means of mathematical models, and analyzes the changes of other stakeholders caused by the introduction of subordinated bonds by commercial banks. The particularity of these problems is analyzed. The influence of market restraint is also analyzed from the perspective of "mutual holding", a peculiar phenomenon in the development of subordinated bonds of commercial banks in China. The fifth chapter analyzes the market restraint of listed commercial banks in China from the perspective of stockholders'trading in the stock market. The connotation and significance of constraints are analyzed. The empirical part uses GMM dynamic panel to analyze the market constraints on the risks of commercial banks. The empirical results show that the non-systematic volatility of stock market transactions constrains the risk management of commercial banks. Chapter 6 mainly discusses how market constraints are affected by the surrounding environment, and what corresponding games commercial banks will play in the face of market constraints. Discusses the relationship between information disclosure and market constraints; if there are market constraints, or market constraints expectations, commercial banks will make earnings management, capital management, regulatory capital sets. Chapter 7 summarizes the development of market constraints in China and analyzes how to practice market constraints in China. Chapter 8 is the summary of this paper and the future research direction.
Through theoretical and empirical analysis, this paper draws the following conclusions: firstly, market constraints play an irreplaceable role in the supervision of commercial banks. secondly, the market restraint mechanism of Chinese commercial banks is still very weak, especially for depositors and investors in subordinated bonds. thirdly, commercial banks will make earnings management in the face of market constraints. Fourthly, the development of market constraints is necessary and important in China's banking industry. Therefore, it is of great significance for the healthy development of China's commercial banks to strengthen the supervision of market constraints.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.33;F832.51;F224
【参考文献】
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