我国不同类型商业银行稳健性与差异性研究

发布时间：2018-03-30 07:37

本文选题：银行稳健性　切入点：宏观经济　出处：《吉林大学》2014年博士论文

【摘要】：在现代经济体系中，金融业已经成为了发展的核心，对经济的增长起着巨大的推动作用，但与此同时，金融体系的动荡也会给经济运行带来负面影响，，金融危机的爆发甚至会给实体经济带来毁灭性的冲击。银行业作为金融业的基础，在维护金融稳定方面具有至关重要的作用。大量的理论和实证研究已经充分证明，银行危机先于金融危机产生，并且银行业的危机程度决定了金融危机爆发的深度与广度，因此，维护银行稳健性是维护金融稳定的关键之一。现阶段，我国银行业正面临来自外部和内部的双重压力，一方面我国已全面允许外资银行进入中国市场，由于外资银行实力雄厚，服务、管理和风险控制水平较高，给我国本土银行业发展带来较大的外部压力；另一方面，我国当前宏观经济形式放缓，同时政府不断深化对银行业的改革，银行数量不断上升，本土竞争日趋激烈，给银行业带来了较大的内部压力。在此背景下，研究我国宏观经济运行与货币政策对银行稳健性的影响及银行间风险溢出效应的度量，均具有非常重要的理论和现实意义。本文以金融稳定的理论和国内外学者对银行领域的相关研究成果为基础，运用计量经济学的分析方法，对我国不同类型银行的稳健性、不同类型银行稳健性与宏观经济运行之间的关联、货币政策对银行稳健性影响的差异以及银行系统性风险溢出效应四个方面进行了系统深入的研究，具体内容如下：首先，本文在IMF（2006）颁布的《金融稳健指标》的基础上，结合我国央行提出的宏观审慎监管指标，从资本充足性，资产质量，银行盈利能力和流动性四个方面分别选取了银行的代表性指标，构建了我国银行稳健性指标体系，并利用该指标体系中的核心指标合成了我国银行稳健性指数BSI，以综合评价我国银行的稳健性水平。通过对我国三类商业银行稳健性指数的分析，指出我国银行业稳健性明显上升，并且均受到全球性金融危机的冲击影响。然而，这种冲击对三类银行的影响略有不同，城市商业银行受到影响的时期相对滞后于其他两类银行。此外，与大型商业银行相比，股份制商业银行稳健性更易受到宏观经济形式的影响。其次，本文通过构建PVAR模型对宏观经济运行与我国不同类型商业银行稳健性之间的冲击响应路径进行了分析。脉冲响应分析结果显示：信贷增长率在短期内有利于银行稳健性，并且对城市商业银行稳健性的影响最大，股份制商业银行次之，对大型商业银行的影响最小；股票市场指数的增长对银行稳健性有正向影响，对城市商业银行的稳健性影响更持久；经济τ增长在短期内对银行稳健性有正向影响，在长期对其影响为负；大型商业银行稳健性对信贷规模几乎没有影响，股份制商业银行稳健性对信贷规模增长具有正向影响，而城市商业银行稳健性的提高却不利于信贷规模增长。同时，方差分解结果显示：股票市场指数对股份制商业银行稳健性的影响小于其他两类银行，而信贷增长率和经济增长率对三类银行稳健性的贡献很小；从三类银行稳健性对宏观经济变量的影响来看，股份制商业银行稳健性对股票市场的影响比其他两类银行大；城市商业银行对信贷规模增长的影响明显超过其他两类银行；城市商业银行稳健性对经济增长的贡献度远不如其他两类银行。第三，本文利用面板分位数回归方法分析了货币政策对不同类型商业银行稳健性影响的差异，结果显示：三类银行稳健性与汇率均呈负相关关系，并且大型商业银行受汇率波动的影响明显高于其他两类银行，随着其自身稳健性的提高，影响程度逐渐变小；利率对三类银行稳健性的影响均为正，且对具有中等稳健性的城市商业银行作用更明显，随着银行稳健水平的提高，对银行稳健性的影响程度逐渐减弱。此外，利率对城市商业银行稳健性的影响小于其对股份制商业银行的影响。通过信贷增长率对三类银行稳健性的影响，可以看到信贷增长与大型商业银行稳健性呈负相关关系，但对城市商业银行的稳健性影响并不显著。而对于股份制商业银行来说，在其稳健性较差的情况下，信贷增长率不利于银行稳健性，在其稳健性较好的情况下，信贷增长率反而有助于提高稳健程度。第四，本文还通过建立CoVaR模型，利用分位数回归技术度量了我国三类十六家上市商业银行在极端分位数条件下（τ=0.05）的风险溢出效应。通过研究金融风险的各种状态变量对银行机构极端风险的影响，得出股票市场收益率与股票市场价格波动会增加银行的极端风险，并且股票市场波动率对城市商业银行极端风险的影响最大；流动性价差会减小银行的极端风险，且对股份制商业银行与城市商业银行效果更明显；期限利差也可以减小银行的极端风险，但对大多数商业银行影响效果不明显。在此基础上，通过计算单个银行在0.05分位点下的VaRit、CoVaRit以及C oVaRsystem|it值，发现CoVaR可以更好地度量银行的风险及其对系统的溢出效应，大型商业银行的C oVaR值明显大于另外两类商业银行。通过对C oVaRsystem|it进行排序，发现对系统性风险贡献最高的四个商业银行始终是大型商业银行，其他类型银行对系统性风险贡献的排序没有明显规律，但可以发现，城市商业银行对系统性风险的贡献受宏观因素的影响大于其他两类银行。
[Abstract]:In the modern economic system , the financial industry has become the core of the development , plays an important role in the economic growth , but at the same time , the financial crisis can bring about a devastating impact on the economic operation .
On the other hand , China ' s current macro - economic form slows down , while the government is deepening the reform of the banking industry , the number of banks is increasing , the local competition is becoming more and more intense , bringing great internal pressure to the banking industry . In this context , it is very important to study the influence of macro - economic operation and monetary policy on bank robustness and the measure of inter - bank risk spillover effect .

Based on the theory of financial stability and the relevant research results of domestic and foreign scholars in the field of banking , this paper makes a systematic study on the relationship between the robustness of different types of banks , the stability of different types of banks and the macro - economic operation of different types of banks , the differences of monetary policy on the stability of banks and the spillover effects of systemic risk of banks .

First of all , on the basis of the financial stability index issued by the IMF ( 2006 ) , based on the macro - prudential supervision index proposed by the central bank of China , the bank ' s robust index system is selected from four aspects : capital adequacy , asset quality , bank profitability and liquidity .

Secondly , this paper analyzes the impact response path between macro - economic operation and the stability of different types of commercial banks by constructing PVAR model .
The increase of stock market index has positive effect on the bank ' s robustness , and has more lasting effect on the robustness of the city commercial bank ;
The growth of economy in the short term has positive effect on the bank ' s robustness , which is negative in the long term .
The stability of large commercial banks has little effect on the scale of credit , and the stability of the stock - stock commercial banks has positive impact on the growth of credit scale , while the steady growth of the commercial banks is not conducive to the increase of credit scale . At the same time , the results of variance decomposition show that the influence of stock market index on the robustness of stock - stock commercial banks is less than that of other two types of banks , while credit growth rate and economic growth rate contribute little to the robustness of three types of banks ;
From the influence of three kinds of bank ' s robustness on macro - economic variables , the influence of the stock - stock commercial banks on the stock market is bigger than that of other two kinds of banks ;
The effect of urban commercial banks on the growth of credit scale is obviously higher than that of other two kinds of banks ;
The contribution of the robustness of urban commercial banks to economic growth is far inferior to that of other two types of banks .

Thirdly , this paper analyzes the difference of the effect of monetary policy on the stability of different types of commercial banks by using the panel - quantile regression method . The results show that the three kinds of banks have negative correlation with the exchange rate , and the effect of the fluctuation of the exchange rate of the large commercial banks is obviously higher than that of the other two kinds of banks .
The effect of interest rate on the robustness of the three kinds of banks is positive , and the effect of the interest rate on the bank ' s robustness is gradually weakened with the improvement of the bank ' s sound level .

Fourthly , by establishing the CoVaR model , the risk spillover effect of three kinds of listed commercial banks in China ( 蟿 = 0.05 ) is measured by using the quantile regression technique . By studying the influence of various state variables of financial risk on the extreme risks of the banking institutions , it is concluded that the volatility of stock market returns and the market price increases the extreme risks of the banks , and the volatility of the stock market has the greatest impact on the extreme risks of the commercial banks .
The liquidity difference will reduce the bank ' s extreme risk , and the effect of the joint - stock commercial bank and the city commercial bank is more obvious ;
Based on the calculation of VaRit , CoVaRit and C oVaRsystem , it is found that CoVaR can better measure the bank ' s risk and its spillover effect by calculating VaRit , CoVaRit and C oVaRsystem at 0.05 points .

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F224;F832.33

【参考文献】