资产价格波动对我国银行体系稳定性的影响研究

发布时间：2018-04-17 19:50

本文选题：资产价格 + 银行体系　；参考：《山西财经大学》2013年硕士论文

【摘要】：2007年美国的次贷危机给世界经济带来了巨大的影响，迫使各国央行以及商业银行采取各种措施来缓解金融危机，此时银行体系的稳定性成为我国央行以及监管当局重点关注的目标。银行体系不稳定总会伴随着资产价格的波动，金融危机期间，我国股票价格剧烈下跌，上证综合指数从6000多点连续下跌至1600多点，房地产价格也有所下跌，给我国整个金融市场造成了巨大的冲击，从而加剧了银行体系的不稳定。因此，研究资产价格波动尤其是股票价格波动和房地产价格波动对银行体系的稳定性研究有着重要的意义。本文以银行体系稳定为研究对象，把股票价格和房地产价格作为影响因素，根据2003-2012年的股票价格和房地产价格的月度数据对银行体系的稳定性进行实证研究，，银行体系稳定性指数根据选取的六个指标：银行存款(YHCK)、银行对非政府部门的贷款(DKZE)、银行的外币负债(WBFZ)、中央银行对存款货币银行贷款(YHDK)、储蓄存款/M2(CM)、贷款/存款(DC)，采用合成指数法合成。在此基础上，主要建立VAR模型，分析资产价格波动对银行体系稳定性的影响。研究结果表明：2007年之前我国的银行稳定性还是比较高的，2008年由于受金融危机的影响，资产价格大幅下跌，稳定性指数下降，在2009年末之后，稳定性有所上升；同时，股票价格和房地产价格这两种资产价格的波动对我国银行体系的稳定性有着明显的影响，在不同的阶段，资产价格的波动对银行体系稳定性的方向和影响程度也不同。
[Abstract]:The subprime mortgage crisis in the United States in 2007 had a great impact on the world economy, forcing central banks and commercial banks to take various measures to alleviate the financial crisis.At this time, the stability of the banking system has become the focus of the central bank and regulatory authorities.The instability of the banking system is always accompanied by fluctuations in asset prices. During the financial crisis, the stock price of our country plummeted, the Shanghai Composite Index fell from more than 6000 points to more than 1600 points in succession, and real estate prices also fell.It has caused a huge impact on the whole financial market of our country, thus exacerbating the instability of the banking system.Therefore, it is of great significance to study the stability of the banking system by studying the volatility of asset price, especially the fluctuation of stock price and real estate price.Based on the monthly data of stock price and real estate price from 2003 to 2012, this paper makes an empirical study on the stability of the banking system based on the monthly data of stock price and real estate price from 2003 to 2012.The banking system stability index is based on six selected indicators: bank deposits, bank loans to the non-governmental sector, banks' foreign currency liabilities, central bank loans to deposit-money banks, savings deposits / deposits, loans / deposits,Synthesis by synthetic index method.On this basis, VAR model is established to analyze the influence of asset price fluctuation on the stability of banking system.The results show that: before 2007, China's banking stability is still relatively high, due to the impact of the financial crisis in 2008, asset prices fell sharply, stability index decreased, after the end of 2009, the stability increased; at the same time,The fluctuation of stock price and real estate price has obvious influence on the stability of Chinese banking system. In different stages, the fluctuation of asset price has different direction and degree of influence on the stability of banking system.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3;F832.5;F224

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