我国上市银行次级债的市场约束效应研究

发布时间：2018-07-20 09:36

【摘要】：巴塞尔《新资本协议》确立了市场约束重要的监管要素地位,与此同时,次级债在国际上广泛被认定为一种具有很强市场约束力的金融工具。2003年以来,中国银监会和中国人民银行先后发布了两部关于次级债的法律文件,标志着我国金融监管当局一方面在增加商业银行充实资本金渠道的同时,将通过次级债这种特殊的金融工具逐步对我国业银行进行市场化监管,即市场约束。基于我国对于次级债市场约束研究相关文献的匮乏,本文在梳理国内外学者关于市场约束作用机理机制的研究基础上,搜集整理我国上市银行自2003年获许发行次级债以来至2011年12月31日的商业银行次级债发行情况,共统计案例86例。同时,在总结我国次级债市场发展现状的基础上,借鉴美国、欧洲学者对其次级债市场约束力实证分析所采用的利差模型,运用因子分析及逐步回归法对次级债市场约束效应进行初步的实证分析。实证结果显示,对于样本整体而言,无法验证次级债市场约束的存在性。在实证结果的基础上通过进一步的规范性分析得出,我国政府对银行业的隐性担保制度、信息披露机制的不完备性、市场参与者的不规范及二级市场流动性的缺乏都是导致我国次级债市场约束功能缺失的重要因素,以此为基础对我国银行发行次级债券和政府监管提出一些有益的建议,以弥补国内研究的不足。
[Abstract]:Basel "new capital agreement" has established the important regulatory element status of market constraints. At the same time, the secondary debt is widely recognized as a strong market binding financial tool in the world for.2003 years. China Banking Regulatory Commission and the people's Bank of China have issued two legal documents on subordinated debt, marking the finance of our country. On the one hand, the regulatory authorities, on the one hand, will increase the capital channels of the commercial banks while the special financial instruments such as subordinated debt will be gradually regulated by the market, that is, market constraints.
Based on the lack of relevant literature in the study of market constraint on secondary debt in China, this paper collects and collects the issuance of Commercial Bank Subordinated Debt Issued by Chinese listed banks from 2003 to December 31, 2011 on the basis of the study of the mechanism mechanism of market constraints in China and abroad, and a total of 86 cases are collected. At the same time, on the basis of summarizing the current situation of the development of the secondary debt market in China, we draw lessons from the difference model adopted by the American and European scholars on the empirical analysis of its subordinated debt market, and use factor analysis and stepwise regression to make a preliminary empirical analysis on the restraining effect of the secondary debt market. The empirical results show that it is impossible for the sample as a whole. On the basis of further normative analysis, the implicit guarantee system of the banking industry, the incompleteness of the information disclosure mechanism, the non standard of the market participants and the lack of liquidity of the two level market are all leading to the lack of the constraint function of the secondary debt market in China. On the basis of this, we put forward some useful suggestions for issuing subordinated bonds and government supervision in order to make up for the deficiency of domestic research.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】