国际游资对我国银行业流动性风险的影响研究
发布时间：2018-07-28 11:46
【摘要】：作为全球短期资本的重要组成部分，国际游资已成为当今世界经济中一股极为活跃的力量，在人民币升值预期和资产升值预期等市场因素的驱动下，大量国际游资涌入国内，无论是中国官方还是国际货币基金组织都承认“国际热钱已经盯上了中国”。大规模国际游资的注入，在一定程度和一定时期内可以暂时缓解国内的短期资金需求，弥补国内资金缺口，刺激金融市场的繁荣，与此同时，国际游资通过影响银行体系的资产负债结构对银行体系的流动性造成冲击，进而影响到金融体系的稳定。 本文的研究内容主要包括以下3个方面：1、我国游资规模的测算模型设计：利用残差法，结合国际收支平衡表，对波动可能性较大的跨境短期流动资金做了分析；2、国际游资对银行系统流动性的传导机制：基于临界值法，从银行系统的可贷资金规模、资产负债结构，金融发展环境，国际游资的风险传染效应分析了商业银行的流动性风险；3、商业银行流动性风险压力测试：通过设计存款准备金率、利率、汇率变动的压力情景设计，分析了商业银行的流动性承压能力。 本文的研究结论包括以下5个方面：1、在资本管制的背景下，国际游资主要通过经常项目下的国际贸易伪报、商品价格伪报、国际贸易资金的预收或延付，金融项目下的FDI、QFII、外债和货币互换渠道入境；2、2004年起游资开始大规模入境，2001年到2011年大约有11000亿美元的游资入境，，从房地产收益率与游资变动规模的比较分析来看，大量的游资流入到了房地产领域；3、2003年-2012年游资指标对银行系统的稳定性影响程度上升了7个百分点，银行自身因素对银行系统的稳定性影响程度下降了10个百分点，宏观经济指标对银行系统的稳定性影响基本保持不变；4、在单一流动性风险因子、不同情景下的动态压力测试中，准备金、利率和汇率对商业银行的流动性影响区间依次为16.89%-35.89%、0.84%-4.24%、0.84%-4.24%；5、考虑到2007年以来存款准备金率的历史调整幅度、利率市场化进程、人民币升值的强烈预期，本文认为在利率重度情景下，存款准备金变动0.5个百分点，汇率变动5个或10个百分点下的风险组合比较合理，即现阶段，法定存款准备金率、利率、汇率对商业银行流动性的联动影响程度在16.40%-22.53%之间的可能性较大。
[Abstract]:As an important part of global short-term capital, international hot money has become an extremely active force in the world economy. Driven by market factors such as RMB appreciation expectation and asset appreciation expectation, a large number of international hot money poured into China. Both Chinese officials and the International Monetary Fund acknowledge that "international hot money is targeting China." The injection of large-scale international hot money can, to a certain extent and for a certain period of time, temporarily alleviate the domestic short-term capital needs, make up for the domestic capital gap, and stimulate the prosperity of the financial market. At the same time, By influencing the structure of assets and liabilities of the banking system, the international hot money has an impact on the liquidity of the banking system, thus affecting the stability of the financial system. The research contents of this paper mainly include the following three aspects: 1, the design of the calculation model of China's floating capital scale: by using residual method, combined with the balance of payments statement, the paper makes an analysis of the possibility of volatility of cross-border short-term liquidity; (2) the transmission mechanism of international hot money to the liquidity of banking system: based on the critical value method, from the scale of loanable funds, the structure of assets and liabilities, the financial development environment of the banking system, The risk contagion effect of international hot money analyzes the liquidity risk of commercial banks. The liquidity risk stress test of commercial banks: by designing the pressure scenarios of deposit reserve ratio, interest rate, exchange rate change, The liquidity bearing capacity of commercial banks is analyzed. The conclusions of this paper include the following five aspects: 1. Under the background of capital control, international hot money is mainly paid in advance or deferred through international trade counterfeiting under current account, false declaration of commodity prices, or advance payment of international trade funds. The FDI QFII, the foreign debt and currency swap channels, began to enter China on a large scale in 2004. From 2001 to 2011, there were about 1.1 trillion US dollars of floating capital. From the comparative analysis of the real estate yield and the scale of floating capital movements, A large number of floating capital flows into the real estate sector. From 2003 to 2012, the impact of the floating capital index on the stability of the banking system has increased by 7 percentage points, while the degree of influence of the banks' own factors on the stability of the banking system has decreased by 10 percentage points. The influence of macroeconomic indicators on the stability of the banking system remains basically unchanged. In the single liquidity risk factor and the dynamic pressure test under different scenarios, the range of the influence of reserve, interest rate and exchange rate on the liquidity of commercial banks is 16.89-35.890.84 -4.240.84 -4.24. 5. Considering the historical adjustment of the reserve requirement ratio since 2007, the marketization process of interest rate and the strong expectation of RMB appreciation, this paper holds that under the heavy interest rate scenario, the reserve fund changes by 0.5 percentage points. At this stage, the legal reserve ratio, interest rate and exchange rate affect the liquidity of commercial banks in the range of 16.40- 22.53 percent.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F831.7
本文编号：2150034
[Abstract]:As an important part of global short-term capital, international hot money has become an extremely active force in the world economy. Driven by market factors such as RMB appreciation expectation and asset appreciation expectation, a large number of international hot money poured into China. Both Chinese officials and the International Monetary Fund acknowledge that "international hot money is targeting China." The injection of large-scale international hot money can, to a certain extent and for a certain period of time, temporarily alleviate the domestic short-term capital needs, make up for the domestic capital gap, and stimulate the prosperity of the financial market. At the same time, By influencing the structure of assets and liabilities of the banking system, the international hot money has an impact on the liquidity of the banking system, thus affecting the stability of the financial system. The research contents of this paper mainly include the following three aspects: 1, the design of the calculation model of China's floating capital scale: by using residual method, combined with the balance of payments statement, the paper makes an analysis of the possibility of volatility of cross-border short-term liquidity; (2) the transmission mechanism of international hot money to the liquidity of banking system: based on the critical value method, from the scale of loanable funds, the structure of assets and liabilities, the financial development environment of the banking system, The risk contagion effect of international hot money analyzes the liquidity risk of commercial banks. The liquidity risk stress test of commercial banks: by designing the pressure scenarios of deposit reserve ratio, interest rate, exchange rate change, The liquidity bearing capacity of commercial banks is analyzed. The conclusions of this paper include the following five aspects: 1. Under the background of capital control, international hot money is mainly paid in advance or deferred through international trade counterfeiting under current account, false declaration of commodity prices, or advance payment of international trade funds. The FDI QFII, the foreign debt and currency swap channels, began to enter China on a large scale in 2004. From 2001 to 2011, there were about 1.1 trillion US dollars of floating capital. From the comparative analysis of the real estate yield and the scale of floating capital movements, A large number of floating capital flows into the real estate sector. From 2003 to 2012, the impact of the floating capital index on the stability of the banking system has increased by 7 percentage points, while the degree of influence of the banks' own factors on the stability of the banking system has decreased by 10 percentage points. The influence of macroeconomic indicators on the stability of the banking system remains basically unchanged. In the single liquidity risk factor and the dynamic pressure test under different scenarios, the range of the influence of reserve, interest rate and exchange rate on the liquidity of commercial banks is 16.89-35.890.84 -4.240.84 -4.24. 5. Considering the historical adjustment of the reserve requirement ratio since 2007, the marketization process of interest rate and the strong expectation of RMB appreciation, this paper holds that under the heavy interest rate scenario, the reserve fund changes by 0.5 percentage points. At this stage, the legal reserve ratio, interest rate and exchange rate affect the liquidity of commercial banks in the range of 16.40- 22.53 percent.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F831.7
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