我国商业银行流动性风险影响因素的分析
发布时间：2018-12-08 18:28
【摘要】：自中国加入WTO后,中国经济金融发展的不确定因素、不安全因素逐渐增多,更容易受到外界的影响,由此诱发金融危机的因素也更多了。美国次贷危机引发的全球金融危机给我国的实体经济和金融体系带来了一定的冲击。在金融市场飞速发展的今天,商业银行犹如一列高速运转的列车,而充足的流动性是维持不断向前的动力。一旦出现流动性危机,随之而来的挤兑风潮和信用危机会将商业银行陷入困境之中。因此,最终打垮商业银行的是流动性风险。所以,完善流动性风险披露制度和标准,建立健全的风险管理系统显得尤为重要。 在研究思路上,本文参考了国内外的优秀文献,对我国商业银行流动性风险的管理现状展开了分析,在研究宏观经济因素对流动性风险的影响方面文章运用ARDL模型做了实证分析并得出结论。文章主体分为六章,第一章为绪论,介绍了选题背景和选题意义,并且对商业银行风险管理理论和国内外文献做出了整体的回顾。第二章为商业银行风险管理的现状分析。通过对我国国有商业银行和股份制商业银行的流动性状况进行分析,得出我国商业银行流动性风险管理中现存的问题。第三章为宏观经济因素对我国商业银行流动性风险的影响分析。从宏观经济环境、央行货币政策、商业银行融资能力、房地长市场和股票市场五个方面展开讨论。第四章为我国商业银行流动性风险的测度方法及评析。第五章为实证分析,本文分别选取了两个商业银行流动性指标来表现商业银行的流动性风险。笔者选取了2009年1月至2013年3月的数据,运用ARDL模型分析了商业银行流动性指标与同业拆借率、房地产均价、上证A股成交额以及货币流动性之间的关系,得出同业拆借率、房地产均价和货币流动性对商业银行的流动性有显著影响。第六章为针对得出的结论对我国商业银行流动性风险管理提出一些建议。 在研究方法上,本文运用了理论与实际相结合的方法、规范分析与实证分析相结合的方法和定量分析与定性分析相结合的方法。文章以国内外已有的优秀文献和商业银行风险管理理论为基础,结合我国商业银行流动性风险管理过程中的具体情况,对影响商业银行流动性风险的宏观因素进行分析。并且运用实证模型进行计量分析验证模型得出的结果。 区别于以往的文献研究,本文的创新之处在于从影响商业银行流动性的宏观因素入手,运用新的数据处理方式和计量模型分析商业银行的流动性风险问题。受限于本人的学术水平,研究过程可能存在不足。但是在金融全球化、经济一体化的背景下,重视商业银行的流动性风险问题,加强流动性风险管理在当下有着重大的意义。希望通过对商业银行的流动性风险管理问题的研究,可以使商业银行持续稳定经营的目标得以保障。
[Abstract]:Since China's entry into WTO, the uncertain factors and unsafe factors in China's economic and financial development have increased gradually, and are more susceptible to the external influence, thus inducing more factors of financial crisis. The global financial crisis caused by the subprime mortgage crisis in the United States has brought a certain impact to the real economy and financial system of our country. With the rapid development of financial market, commercial banks are like a train running at high speed, and sufficient liquidity is the driving force to keep moving forward. Once there is a liquidity crisis, the resulting run-off and credit crisis will put commercial banks into trouble. Therefore, the ultimate collapse of commercial banks is liquidity risk. Therefore, it is very important to perfect the system and standard of liquidity risk disclosure and establish a sound risk management system. Based on the research ideas, this paper analyzes the current situation of liquidity risk management of commercial banks in China, referring to the excellent literature at home and abroad. In the study of the impact of macroeconomic factors on liquidity risk, this paper makes an empirical analysis by using ARDL model and draws a conclusion. The main body of the article is divided into six chapters. The first chapter is the introduction, which introduces the background and significance of the topic, and makes an overall review of the risk management theory of commercial banks and domestic and foreign literature. The second chapter is the current situation analysis of commercial bank risk management. By analyzing the liquidity status of state-owned commercial banks and joint-stock commercial banks, the existing problems in liquidity risk management of Chinese commercial banks are obtained. The third chapter analyzes the influence of macroeconomic factors on liquidity risk of commercial banks in China. From the macroeconomic environment, the central bank monetary policy, the commercial bank financing ability, the real estate long market and the stock market five aspects starts to discuss. The fourth chapter is the measurement method and evaluation of liquidity risk of commercial banks in China. The fifth chapter is empirical analysis, this article selects two commercial bank liquidity index separately to express the commercial bank liquidity risk. The author selects the data from January 2009 to March 2013, and analyzes the relationship between the liquidity index of commercial banks and the interbank lending rate, the average real estate price, the turnover of A shares of Shanghai Stock Exchange and the currency liquidity by using the ARDL model, and obtains the interbank lending rate. The average real estate price and monetary liquidity have a significant impact on the liquidity of commercial banks. The sixth chapter gives some suggestions on liquidity risk management of commercial banks in China. In terms of research methods, this paper uses the method of combining theory with practice, the method of combining normative analysis with empirical analysis and the method of combining quantitative analysis with qualitative analysis. Based on the domestic and foreign excellent literature and the theory of commercial bank risk management, this paper analyzes the macro factors that affect the liquidity risk of commercial banks in the process of liquidity risk management of commercial banks in China. The empirical model is used to verify the results of the model. Different from the previous literatures, the innovation of this paper is to analyze the liquidity risk of commercial banks by using new data processing methods and econometric models, starting with the macro factors that affect the liquidity of commercial banks. Limited by my academic level, the research process may be inadequate. However, under the background of financial globalization and economic integration, it is of great significance to pay attention to liquidity risk of commercial banks and strengthen liquidity risk management. It is hoped that through the study of liquidity risk management of commercial banks, the goal of sustainable and stable operation of commercial banks can be guaranteed.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33
[Abstract]:Since China's entry into WTO, the uncertain factors and unsafe factors in China's economic and financial development have increased gradually, and are more susceptible to the external influence, thus inducing more factors of financial crisis. The global financial crisis caused by the subprime mortgage crisis in the United States has brought a certain impact to the real economy and financial system of our country. With the rapid development of financial market, commercial banks are like a train running at high speed, and sufficient liquidity is the driving force to keep moving forward. Once there is a liquidity crisis, the resulting run-off and credit crisis will put commercial banks into trouble. Therefore, the ultimate collapse of commercial banks is liquidity risk. Therefore, it is very important to perfect the system and standard of liquidity risk disclosure and establish a sound risk management system. Based on the research ideas, this paper analyzes the current situation of liquidity risk management of commercial banks in China, referring to the excellent literature at home and abroad. In the study of the impact of macroeconomic factors on liquidity risk, this paper makes an empirical analysis by using ARDL model and draws a conclusion. The main body of the article is divided into six chapters. The first chapter is the introduction, which introduces the background and significance of the topic, and makes an overall review of the risk management theory of commercial banks and domestic and foreign literature. The second chapter is the current situation analysis of commercial bank risk management. By analyzing the liquidity status of state-owned commercial banks and joint-stock commercial banks, the existing problems in liquidity risk management of Chinese commercial banks are obtained. The third chapter analyzes the influence of macroeconomic factors on liquidity risk of commercial banks in China. From the macroeconomic environment, the central bank monetary policy, the commercial bank financing ability, the real estate long market and the stock market five aspects starts to discuss. The fourth chapter is the measurement method and evaluation of liquidity risk of commercial banks in China. The fifth chapter is empirical analysis, this article selects two commercial bank liquidity index separately to express the commercial bank liquidity risk. The author selects the data from January 2009 to March 2013, and analyzes the relationship between the liquidity index of commercial banks and the interbank lending rate, the average real estate price, the turnover of A shares of Shanghai Stock Exchange and the currency liquidity by using the ARDL model, and obtains the interbank lending rate. The average real estate price and monetary liquidity have a significant impact on the liquidity of commercial banks. The sixth chapter gives some suggestions on liquidity risk management of commercial banks in China. In terms of research methods, this paper uses the method of combining theory with practice, the method of combining normative analysis with empirical analysis and the method of combining quantitative analysis with qualitative analysis. Based on the domestic and foreign excellent literature and the theory of commercial bank risk management, this paper analyzes the macro factors that affect the liquidity risk of commercial banks in the process of liquidity risk management of commercial banks in China. The empirical model is used to verify the results of the model. Different from the previous literatures, the innovation of this paper is to analyze the liquidity risk of commercial banks by using new data processing methods and econometric models, starting with the macro factors that affect the liquidity of commercial banks. Limited by my academic level, the research process may be inadequate. However, under the background of financial globalization and economic integration, it is of great significance to pay attention to liquidity risk of commercial banks and strengthen liquidity risk management. It is hoped that through the study of liquidity risk management of commercial banks, the goal of sustainable and stable operation of commercial banks can be guaranteed.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33
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