资产价格波动对银行脆弱性的影响研究

发布时间：2018-06-04 17:50

本文选题：资产价格 + 银行脆弱性　；参考：《天津财经大学》2013年硕士论文

【摘要】：在过去几十年中,随着世界各国金融危机的频繁爆发,由资产价格波动所引发的系统性金融危机已经成为各国政府和中央银行普遍关注的焦点。而我国目前仍处于以商业银行为主导的金融体系中,金融危机的产生与发展必然与商业银行的稳健经营存在着密切联系。因此重视资产价格波动对我国银行脆弱性的影响,探讨其对我国银行体系脆弱性影响的传导途径,对于我国银行体系的稳健经营和风险防范具有深远的意义。在梳理国内外学者已有的研究成果的基础上,本文首先从宏观经济和微观金融角度分别选取了贷款增长率、CPI和不良贷款率、资本充足率四个指标对我国银行体系脆弱性进行了综合评估,然后运用VAR模型、Granger因果关系检验、脉冲响应、方差分析等实证学分析方法分别从整个股市板块、房地产价格板块和金融板块三个方面研究了其对银行体系脆弱性综合指标的影响。实证结果表明,房地产价格波动对银行脆弱性影响最大,金融板块对其影响次之,整个股市的价格波动对银行脆弱性没有显著影响。更详细的讲,资产价格波动对代表银行脆弱性的宏观经济指标即贷款增长率和CPI的影响较为显著,而代表银行体系脆弱性的微观金融指标即不良贷款率和资本充足率则更多的受制于银监会的监管,受资产价格波动影响较小。最后,在此基础上,本文分别从银行自身角度、资产价格调控角度、银行业监管角度和整个资本市场角度提出了相应的政策建议。
[Abstract]:In the past few decades, with the frequent outbreak of financial crises in the world, the systemic financial crisis caused by the fluctuation of asset prices has become the focus of attention of governments and central banks. At present, China is still in the financial system dominated by commercial banks. The emergence and development of financial crisis must be closely related to the steady operation of commercial banks. Therefore, we attach importance to the impact of asset price fluctuation on the vulnerability of Chinese banks, and explore the transmission ways of its impact on the vulnerability of China's banking system. It has far-reaching significance for the steady operation and risk prevention of the banking system in China. On the basis of combing the existing research results of domestic and foreign scholars, This paper firstly selects four indicators of loan growth rate (CPI), non-performing loan ratio (NPLR) and capital adequacy ratio (capital adequacy ratio) to evaluate the vulnerability of China's banking system from the point of view of macro-economy and micro-finance respectively, and then uses VAR model to test the Granger causality. The impact of impulse response and variance analysis on the vulnerability of the banking system is studied from three aspects: the whole stock market, the real estate price and the financial sector. The empirical results show that the volatility of real estate prices has the greatest impact on the vulnerability of banks, followed by the financial sector, and the volatility of the whole stock market has no significant impact on the vulnerability of banks. More specifically, asset price volatility has a significant impact on the macroeconomic indicators that represent the vulnerability of banks, namely, the growth rate of loans and the CPI. On the other hand, the micro-financial index, that is, non-performing loan ratio and capital adequacy ratio, which represents the fragility of the banking system, is more subject to the supervision of the CBRC and is less affected by the fluctuation of asset prices. Finally, on this basis, this paper puts forward the corresponding policy recommendations from the perspective of the bank itself, asset price regulation, banking supervision and the whole capital market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F832.3

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