我国商业银行流动性风险影响因素研究

发布时间：2018-01-27 00:17

本文关键词： 流动性风险因子分析影响因素　出处：《深圳大学》2017年硕士论文　论文类型：学位论文

【摘要】：从历次金融危机以及我国“钱荒”事件中可以看出,流动性风险是其他各种风险的最终外在表现形式,成为压倒银行的最后一棵稻草。无论是国内外学者、监管机构还是商业银行自身都越来越重视对流动性风险的管理。随着我国金融市场不断发展,我国的金融环境发生了很大变化,商业银行的业务构成也随之发生着改变,商业银行流动性风险成因越来越复杂,来源也越来越广泛。值此背景之下,本文对我国商业银行流动性风险进行相关研究。本文首先从内生和外生两个角度对商业银行流动性风险的形成机制进行分析,并结合实际情况分析了现阶段我国商业银行流动性风险的潜在来源。紧接着,本文对目前我国商业银行流动性风险的静态和动态衡量方法分别进行了介绍,并对比评价了这两类衡量方法的优缺点和在我国的局限性。有别于此前多数学者采用单一衡量指标对流动性风险进行研究,本文从资产负债期限错配,负债来源稳定程度,资产质量,风险抵御能力四个维度选取了8个具有代表性的基础评价指标,运用因子分析法对这些基础评价指标进行整合,运用我国16家上市商业银行2010年~2016年年度与半年度数据构建出了16家上市商业银行流动性风险综合衡量指标。利用该指标,本文对各商业银行的流动性状况进行了横向比较并排名,纵向分析了各商业银行近年来的流动性发展情况。研究结果表明,不同类型的商业银行流动性风险呈现出不同特征,国有四大行的流动性状况好于其他商业银行,股份制商业银行的流动性风险相对较高。近年来我国商业银行流动性状况处于偶有波动,稳中有升的状态,从总体上看,商业银行流动性保持稳定。在对我国商业银行流动性风险进行综合衡量基础上,本文利用面板数据回归模型对商业银行流动性风险影响因素进行建模,从宏观和微观两个角度探究现阶段我国商业银行流动性状况主要受到哪些因素的影响。研究表明,在宏观方面,货币政策与商业银行的同业关联程度对商业银行的流动性状况影响显著;在微观方面商业银行流动性状况主要受到资产规模和盈利能力的影响。最后,本文根据研究结论,从强化商业银行自身流动性风险管理和优化宏观环境两个方面提出相应的政策建议。
[Abstract]:From the past financial crises and the "money shortage" events in China, we can see that liquidity risk is the ultimate external form of other risks, and it has become the last straw to overwhelm banks, whether domestic or foreign scholars. Regulators or commercial banks themselves pay more and more attention to the management of liquidity risk. With the continuous development of our financial market, the financial environment of our country has changed a lot. The business composition of commercial banks has also been changed, the causes of liquidity risk of commercial banks are becoming more and more complex, and the sources are more and more extensive. Under this background. This paper studies the liquidity risk of commercial banks in China. Firstly, this paper analyzes the formation mechanism of liquidity risk in commercial banks from both endogenous and exogenous perspectives. Combined with the actual situation, this paper analyzes the potential sources of liquidity risk of commercial banks in China at the present stage. Then, this paper introduces the static and dynamic measurement methods of liquidity risk of commercial banks in China. And compared the advantages and disadvantages of these two kinds of measurement methods and their limitations in China. Different from most previous scholars using a single measurement index to study liquidity risk, this paper from the term mismatch of assets and liabilities. Four dimensions of debt source stability, asset quality, risk resistance ability selected 8 representative basic evaluation indicators, the use of factor analysis to integrate these basic evaluation indicators. Using the annual and semi-annual data of 16 listed commercial banks from 2010 to 2016, this paper constructs a comprehensive index of liquidity risk of 16 listed commercial banks. In this paper, the liquidity status of commercial banks is compared and ranked horizontally, and the liquidity development of commercial banks in recent years is analyzed longitudinally. The results show that. Different types of commercial banks have different characteristics of liquidity risk. The liquidity status of state-owned four banks is better than that of other commercial banks. The liquidity risk of joint-stock commercial banks is relatively high. In recent years, the liquidity situation of commercial banks in China is in the state of occasional fluctuations and steady rise, from the overall point of view. The liquidity of commercial banks remains stable. On the basis of comprehensive measurement of liquidity risk of commercial banks in China, this paper uses panel data regression model to model the influencing factors of liquidity risk of commercial banks. From the macro and micro perspectives to explore the current liquidity status of commercial banks in China by what factors. The study shows that in the macro aspect. The degree of interbank connection between monetary policy and commercial banks has a significant impact on the liquidity status of commercial banks; At the micro level, the liquidity status of commercial banks is mainly affected by the size of assets and profitability. Finally, this paper based on the conclusions of the study. This paper puts forward the corresponding policy suggestions from two aspects: strengthening the liquidity risk management of commercial banks and optimizing the macro environment.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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