中国系统重要性银行监管研究
发布时间：2019-06-22 18:48
【摘要】：本文以中国14家上市银行为研究样本,建立了中国系统重要性银行识别、监管措施及效果评价、处置方法的分析框架进行论证。首先分别利用指标法和模型法对中国上市银行的系统重要性进行动态排序说明,发现大型商业银行在两种方法排序下系统均较为重要,应识别为系统重要性银行,同时应审慎识别股份制系统重要性商业银行；作者比较两种指标后认为指标法作为规范性指标更易操作并能反映中国上市银行的经营状况和关联信息,模型法能从市场信息的角度分析银行风险的外溢程度,因此应当两种方法有机结合、综合评估；然后比较国际和中国针对系统重要性银行的资本监管措施并梳理系统重要性金融机构的恢复和处置框架,再利用面板数据对资本监管措施的风险控制能力以及对信贷渠道的影响进行实证分析,认为资本监管措施能够有效降低系统重要性银行的系统性风险贡献、在短期内会影响信贷投放,从而对宏观经济产生影响；最后得出结论并建议建立完整的监管框架、有效识别系统重要性银行、对系统重要性银行加强事前差别监管以及建立恢复与处置框架以更为审慎地监管系统重要性银行。
[Abstract]:Taking 14 listed banks in China as research samples, this paper establishes an analytical framework for the identification, regulatory measures, effect evaluation and disposal methods of Chinese systemically important banks. Firstly, the index method and model method are used to illustrate the systematic importance of listed banks in China. It is found that the system of large commercial banks is more important under the two methods, and should be identified as systemically important banks, at the same time, the importance of joint-stock system should be carefully identified. After comparing the two indexes, the author thinks that the index method as a normative index is easier to operate and can reflect the operating situation and related information of listed banks in China. The model method can analyze the spillover degree of bank risk from the perspective of market information, so the two methods should be combined organically to evaluate comprehensively. Then it compares the international and Chinese capital supervision measures for systemically important banks and combs the recovery and disposal framework of systemically important financial institutions, and then makes an empirical analysis on the risk control ability of capital regulatory measures and the impact on credit channels by using panel data. It is considered that capital regulatory measures can effectively reduce the systemic risk contribution of systemically important banks, and will affect credit delivery in the short term. Thus having an impact on the macro economy; Finally, it is concluded that a complete regulatory framework should be established to effectively identify systemically important banks, strengthen differential supervision of systemically important banks in advance, and establish a recovery and disposal framework to supervise systemically important banks more carefully.
【学位授予单位】：南开大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1
本文编号：2504864
[Abstract]:Taking 14 listed banks in China as research samples, this paper establishes an analytical framework for the identification, regulatory measures, effect evaluation and disposal methods of Chinese systemically important banks. Firstly, the index method and model method are used to illustrate the systematic importance of listed banks in China. It is found that the system of large commercial banks is more important under the two methods, and should be identified as systemically important banks, at the same time, the importance of joint-stock system should be carefully identified. After comparing the two indexes, the author thinks that the index method as a normative index is easier to operate and can reflect the operating situation and related information of listed banks in China. The model method can analyze the spillover degree of bank risk from the perspective of market information, so the two methods should be combined organically to evaluate comprehensively. Then it compares the international and Chinese capital supervision measures for systemically important banks and combs the recovery and disposal framework of systemically important financial institutions, and then makes an empirical analysis on the risk control ability of capital regulatory measures and the impact on credit channels by using panel data. It is considered that capital regulatory measures can effectively reduce the systemic risk contribution of systemically important banks, and will affect credit delivery in the short term. Thus having an impact on the macro economy; Finally, it is concluded that a complete regulatory framework should be established to effectively identify systemically important banks, strengthen differential supervision of systemically important banks in advance, and establish a recovery and disposal framework to supervise systemically important banks more carefully.
【学位授予单位】：南开大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1
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