利率市场化与银行脆弱性：国际经验和跨国实证研究

发布时间：2018-01-11 15:05

本文关键词：利率市场化与银行脆弱性：国际经验和跨国实证研究　出处：《山东大学》2014年硕士论文　论文类型：学位论文

【摘要】：早在20世纪70年代,经济学家Mckinnon(1973)和Shaw(1973)就提出了“金融深化理论”,探讨了以利率市场化为核心的金融改革与经济增长间的关系。70年代以来,Galbis(1979)等人对“金融深化理论”的基本模型提出了很多修正建议。第二代会融发展理论从“内生增长理论”的角度提出了很多关于金融发展的政策主张,认为各国(特别是发展中国家)当局的首要任务是优先发展金融。自70年代中期以来,在金融深化理论的指导下,很多国家开始进行利率市场化实践。本文将改革的模式分为“渐进式”和“激进式”,渐进式的改革包括美国、韩国等发达国家,激进式的模式以阿根廷和智利为代表。通过比较两类利率市场化模式,本文总结：利率市场化改革的外部环境要良好稳定；改革要逐步放开、安全可控；改革的过程中需要政策配套和稳定的金融市场架构。利率市场化过程总是伴随着风险,严重的会引发商业银行危机。本文归纳了从利率市场化到商业银行危机的传导机制,从来源上,利率的波动性增加会导致利率风险,汇率的波动和被高估又会导致汇率风险。存贷利差的缩小可能会导致流动性不足而产生流动性风险。由于利率上升是企业融资成本升高,最终可能留下风险控制能力较差的企业向银行融资,引起逆向选择,而银行不能完全监督借款人的行为,使其有可能参与高风险项目,引发道德风险。这些风险最终将有可能导致银行体系更加脆弱,更严重的,则会引发银行危机。本文在对现有理论及研究成果进行归纳总结的基础上,通过79个国家1980-2010年的经济数据,利用Logit模型进行实证分析,检验利率市场化、银行自由度与银行危机发生可能性的关系,并探讨系统性银行危机和非系统性银行危机影响因素的区别。本文的被解释变量为银行危机虚拟变量,主要解释变量为利率市场化变量和银行自由度指标。为了排除其他因素对银行危机的影响,本文引入其他影响银行体系脆弱性的因素作为控制变量,包括宏观经济因素：实际GDP增长率,人均GDP,实际利率,贸易条件的变化,通货膨胀率,M2与外汇储备的比率作为控制变量。实证结果发现并证实各解释变量与银行危机(主要是系统性银行危机)发生概率的影响同理论一致：首先,利率市场化与银行危机发生概率存在显著性正相关,银行自由度与银行危机发生概率也是显著正相关。说明利率市场化(或者更宽泛的银行自由度)的提高是使银行脆弱性增加的一个重要原因。其次,一国实际GDP增长率和人均国内生产总值越低,银行危机越容易发生。这也说明银行危机在发展中国家更有可能发生。另外,M2/国际储备越高,贸易条件越恶化,以及通货膨胀率越高,银行危机的发生概率越高。基于理论分析和实证结果,本文的结论和政策建议是：首先,利率市场化改革需要良好的外部环境；其次,利率市场化要与外汇管理政策、财政政策相配合；第三,利率市场化改革需要商业银行创新与转变；第四,利率市场化要加强利率调控与监管；最后,我国利率市场化改革须渐进推行。
[Abstract]:In the 1970s , economists Mckinnon ( 1973 ) and Shaw ( 1973 ) put forward " financial deepening theory " and discussed the relationship between financial reform and economic growth at the core of interest rate liberalization . Since the 1970s , Galbis ( 1979 ) has put forward many suggestions on the basic model of financial deepening theory . Since the mid - 1970s , under the guidance of financial deepening theory , many countries began to carry out the market - oriented practice of interest rate . In this paper , the reform pattern is divided into " progressive " and " radical " , the gradual reform includes the developed countries such as the United States , Korea and other developed countries , the radical mode is represented by Argentina and Chile . The marketization process of interest rate is always accompanied by the risk , which can trigger the commercial bank crisis seriously . This paper sums up the transfer mechanism from the interest rate liberalization to the commercial bank crisis . On the basis of summarizing the existing theories and research results , this paper uses Logit model to empirically analyze the relationship between the market of interest rate , the degree of freedom of bank and the risk of bank crisis . Based on the theoretical analysis and the empirical results , the conclusion and the policy suggestion of this paper are as follows : Firstly , the market reform of interest rate requires a good external environment ; secondly , the marketization of interest rate should be matched with the foreign exchange management policy and fiscal policy ; thirdly , the marketization reform of interest rate requires the innovation and transformation of commercial banks ; fourthly , the marketization of interest rate should strengthen the regulation and regulation of interest rate ; and finally , the market reform of interest rate should be gradually implemented .

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.5;F831.2

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