同业业务发展对银行风险影响的实证分析

发布时间：2018-06-24 22:10

本文选题：同业业务 + 银行风险　；参考：《山西财经大学》2017年硕士论文

【摘要】：近年来,我国同业业务的发展速度非常快。截至2015年末,16家上市银行的同业资产总额为11.23万亿元,占16家上市银行总资产的比重为9.65%。同业业务资产在银行总资产中所占的比例越来越高,地位也越来越重要。商业银行出于逃离监管约束、追求利润增长的需要而积极推进同业业务的发展,但与此同时也带来了一系列风险隐患的暴露和经营问题的突出。因此,对同业业务的性质和地位树立正确清晰的认识,对商业银行今后的发展至关重要。本文就基于同业业务视角,对商业银行的风险承担展开分析:利用2008--2015年50家商业银行的平衡面板数据,建立动态面板模型,以银行风险Z值作为被解释变量,以银行同业资产占比作为主要解释变量,以其他银行微观个体特征和宏观经济形势指标作为控制变量,采用系统广义矩估计方法,对两个方面的内容进行了研究:同业业务发展对银行风险的影响,以及同业业务发展影响银行风险的具体机制。实证分析表明:第一,同业业务的发展会增大银行风险。同业资产占比大小与银行风险大小显著相关,同业资产占比越高,银行风险越大。同业业务在开展过程中,由于模式复杂、监管困难、期限错配,易引发信用风险和系统风险。第二,银行风险受上期影响较大,具有很强的延续性。银行个体微观特征对其风险具有显著影响:存贷比越高,资产收益率越大,银行风险越大,因存贷比过高会导致银行流动性变差,收益高的银行倾向于采取更加激进的经营策略。宏观经济形势对银行风险的影响也较为显著:人均国内生产总值越大,经济形势越好,银行风险越小,因经济景气时期,就业情况良好,企业净值改善,违约风险降低,银行信贷资产稳定。货币流动性越大,银行风险越大,因流动性过剩时,易产生资产价格泡沫化,银行间竞争过度,扩大了银行利率和信用风险。第三,同业资产占比对银行风险的影响有其具体机制,同业业务发展通过对银行资产收益率产生影响,进而影响银行风险。虽然同业业务的发展可以为银行带来利润,增加收益,但会导致银行资产收益率的降低,对银行的经营绩效产生不利影响;相对于贷款业务,同业业务是一种低效的盈利模式,发展同业业务是在存贷比受到管制下的一种被迫选择。
[Abstract]:In recent years, the development speed of our country interbank business is very fast. By the end of 2015, the total interbank assets of 16 listed banks were 11.23 trillion yuan, accounting for 9.65 percent of the total assets of 16 listed banks. The proportion of interbank assets in the total assets of banks is higher and higher, and the status is becoming more and more important. Commercial banks actively promote the development of the same business in order to escape the regulatory constraints and pursue the growth of profits, but at the same time, it also brings a series of risks exposure and outstanding management problems. Therefore, establishing a correct and clear understanding of the nature and status of the business is of great importance to the future development of commercial banks. This paper analyzes the risk bearing of commercial banks from the perspective of interbank business: using the balanced panel data of 50 commercial banks from 2008 to 2015, the dynamic panel model is established, and the Z value of bank risk is taken as the explanatory variable. Taking the ratio of interbank assets as the main explanatory variable and the microcosmic characteristics of other banks and the macroeconomic situation as control variables, the generalized moment estimation method is used. This paper studies two aspects: the influence of the development of interbank business on the risk of the bank, and the specific mechanism of the development of interbank business affecting the risk of the bank. Empirical analysis shows that: first, the development of interbank business will increase bank risk. The ratio of interbank assets is significantly related to the risk of banks, and the higher the ratio of interbank assets is, the greater the risk of banks is. In the course of carrying out interbank business, it is easy to lead to credit risk and system risk because of complicated mode, difficult supervision and mismatch of term. Second, bank risk is greatly affected by the prior period, with strong continuity. The microcosmic characteristics of banks have a significant impact on their risks: the higher the deposit-loan ratio, the greater the return on assets, the greater the bank risk, because the higher the deposit-loan ratio will lead to poor bank liquidity. High-yielding banks tend to adopt more aggressive business strategies. The macroeconomic situation also has a significant impact on bank risk: the greater the GDP per capita, the better the economic situation, the smaller the bank risk, because in good economic times, the employment situation is good, the net worth of enterprises improves, and the risk of default is reduced. Bank credit assets are stable. The greater the monetary liquidity, the greater the bank risk. Because of excess liquidity, asset price is liable to bubble and the competition between banks is excessive, which expands the interest rate and credit risk of banks. Third, the influence of the ratio of interbank assets to bank risk has its specific mechanism. The development of interbank business affects the bank risk by influencing the return on bank assets. Although the development of interbank business can bring profit and increase income to the bank, it will lead to the decrease of the rate of return on assets of the bank, which will have a negative impact on the performance of the bank. Compared with the loan business, the interbank business is a kind of inefficient profit mode. The development of interbank business is a forced choice under the control of deposit-loan ratio.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.2

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