中东欧五国银行业系统性风险影响因素研究（2000-2012）

发布时间：2018-01-04 12:24

本文关键词：中东欧五国银行业系统性风险影响因素研究（2000-2012）　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：中东欧五国21世纪初相继完成了银行业改革,外资银行占据了主导地位,因此银行业变得更加脆弱。为了便于监管机构监管,做到有的放矢,有必要对银行业系统性风险的影响因素进行探讨。本文在前人的基础上,综合采用宏微观指标对中东欧银行业系统性风险进行研究。首先,采用指标评分法粗略测度中东欧五国2004-2011年间银行业系统性风险走势。初步发现中东欧五国2006之前银行业系统性风险逐渐减低,2006-2007表现最为稳定。2008年次贷危机后,中东欧五国银行业系统性风险整体上升。2009年之后,中东欧五国银行业系统性风险表现有差异。其次利用三步回归模型(基础回归模型、加入GDP制约因素回归模型、加入金融开放程度制约因素回归模型)对中东欧五国2000-2012年数据进行分析。结果发现1.中东欧五国21世纪初完成银行业改革,使得中东欧银行业系统性风险在2006年之前逐步下降；2.2008年金融危机主要通过国际贸易渠道使高度依赖欧盟贸易的中东欧五国经济受挫,并影响到银行业稳定性。实证回归结果验证了该观点。中东欧五国高外资依赖和高外债依赖的自身特征也让金融危机通过预期渠道干扰了中东欧五国银行业稳定。事实上外资没有大量撤资,资金流动和银行等金融机构渠道并没有显著地传递金融危机产生的风险进入中东欧五国银行业。相反,实证结果表明外资促进了中东欧银行业的稳定,提高银行资产回报率,降低不良贷款率,同时发现中东欧五国经济发展水平影响外资银行对东道国银行业作用的发挥。虽然,此次2008年次贷危机,外资银行没有大量撤资对中东欧五国银行体系造成冲击,但是中东欧五国政府为了进一步保障本国银行业的稳定性,需要改善“三高”局面--多元化贸易合作伙伴,降低外债负担率和改善外资银行控制本国银行业的局面。
[Abstract]:In 21th century, five countries in Central and Eastern Europe completed the banking reform one after another, foreign banks occupied the dominant position, so the banking industry became more vulnerable. It is necessary to explore the influencing factors of banking systemic risk. Based on the previous studies, this paper comprehensively uses macro and micro indicators to study the systemic risk of banking in Central and Eastern Europe. Using index scoring method to roughly measure the trend of banking systemic risk in five countries of Central and Eastern Europe from 2004 to 2011. The preliminary results show that the systemic risk of banking in the five countries of Central and Eastern Europe before 2006 gradually decreased. 2006-2007 was the most stable. After the subprime mortgage crisis in 2008, the systemic risk of banking in five countries of Central and Eastern Europe rose overall. After 2009. There are differences in the performance of banking systemic risk in five countries of Central and Eastern Europe. Secondly, the three-step regression model (basic regression model) is used to add the regression model of GDP constraint factors. This paper analyzes the data of the five countries in Central and Eastern Europe from 2000 to 2012 by adding the regression model of financial openness. The results show that 1.The banking reform of the five countries in Central and Eastern Europe was completed in early 21th century. The systemic risk of banking in central and eastern Europe gradually declined before 2006; 2. The 2008 financial crisis has frustrated the economies of the five Central and Eastern European countries, which are highly dependent on EU trade, mainly through international trade channels. Empirical regression results verify this view. The characteristics of high foreign capital dependence and high external debt dependence of the five countries in Central and Eastern Europe also make the financial crisis interfere with the banking stability of the five central and eastern European countries through the expected channels. The fact is that foreign capital has not divested in large quantities. Financial institutions such as capital flows and banks do not significantly transfer the risk of financial crisis into the banking sector of the five central and eastern European countries. On the contrary, the empirical results show that foreign investment promotes the stability of the banking sector in Central and Eastern Europe. At the same time, it is found that the economic development level of five countries in Central and Eastern Europe affects the role of foreign banks in the banking industry of the host country. Although, in 2008, the subprime mortgage crisis. Foreign banks did not withdraw a large amount of the impact on the banking system of the five central and eastern European countries, but the five central and eastern European governments in order to further protect the stability of their banking sector. There is a need to improve the "three high" situation-diversification of trading partners, reduction of foreign debt burden and foreign banks to control the domestic banking sector.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.2

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