银行破产的财务因素分析:金融危机冲击下美国银行业的实证

发布时间：2018-01-21 06:41

本文关键词： 银行破产资本回报率资本充足率净贷款占比金融衍生产品　出处：《中国管理科学》2012年01期 　论文类型：期刊论文

【摘要】：由次贷危机引发的金融危机对美国银行业造成数以百计的商业银行破产,为研究商业银行破产提供了绝佳的样本。本文收集了受危机冲击的美国破产的商业银行样本以及对比样本,研究美国商业银行破产的财务影响因素。本文在用单变量检验方法检验备选财务指标有效性的基础上,建立了加权Logit模型,利用模型贡献度指标分析财务因素的显著性和影响程度。实证结果表明,不仅资产回报率、资本充足率、净贷款占比和金融衍生产品投资对银行破产具有显著影响,资产回报率和净贷款占比的变化率也具有显著作用;而且资产回报率和资本充足率的影响远远大于其他因素。值得特别提出的是,尽管金融衍生产品被广泛认为是这次金融危机的主要原因之一,实证结果显示金融衍生产品投资对样本银行的稳健性具有正向影响。
[Abstract]:The financial crisis caused by the subprime mortgage crisis caused hundreds of bankruptcy of commercial banks in the United States. It provides a perfect sample for the study of the bankruptcy of commercial banks. This paper collects the samples of the American bankruptcy affected by the crisis as well as the comparative samples. Based on the univariate test method to test the validity of alternative financial indicators, a weighted Logit model is established. The model contribution index is used to analyze the significance and influence of financial factors. The empirical results show that not only the return on assets, capital adequacy ratio. The proportion of net loans and the investment of financial derivatives have a significant impact on bank bankruptcy, and the rate of return on assets and the percentage of net loans also play a significant role. And the impact of return on assets and capital adequacy is much greater than other factors. It is worth noting that although financial derivatives are widely recognized as one of the main causes of the financial crisis. The empirical results show that the investment of financial derivatives has a positive impact on the robustness of the sample banks.
【作者单位】：中国科学院研究生院管理学院;中国科学院数学与系统科学研究院;中国石油大学(北京);
【基金】：国家自然科学基金重点项目(70933003);国家自然科学基金委创新群体项目(70621001) 中科院创新团队国际合作伙伴计划
【分类号】：F837.12;F224
【正文快照】： 1引言次贷危机发生后的2008-2009年间,美国有近160家商业银行破产或被收购,迫使政府支付占GDP 4.9%的财务成本。可见,银行破产对一国经济发展的影响之严重,因此探讨与银行破产关系密切的因素,对于针对性地对商业银行进行风险管理具有重要的现实意义。这次前所未有的大量银行

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