我国商业银行流动性缺口管理研究

发布时间：2018-04-04 06:54

本文选题：商业银行　切入点：流动性缺口　出处：《山西财经大学》2016年硕士论文

【摘要】：流动性风险会引发商业银行的其他风险,并通过“传染效应”危及金融体系和经济体系运行的安全。我国商业银行对流动性的管理,从1994年至今,基本依赖静态的比率管理,流动性风险的量化管理及测算统计工作也始终处于经验性的传统管理。对比国外我国一直处于被动阶段。改进流动性管理方法科学化、制度化、战略化,仍然是现阶段努力的方向。缺口管理下的我国商业银行流动性管理研究是基于流动性缺口模型,对商业银行资产负债的实际流量和潜在流量进行管理。管理实际流量是对现有流动性资产和稳定存款的测算,而潜在流量管理是对未来一定时间内将增加的资产和负债的预测。本文运用商业银行经营管理基本理论,结合计量经济学相关知识,在收集相关数据的前提下,探索了我国的商业银行流动性管理实践,分析了现状及存在的问题,重点完成了如下工作:使用计量经济学软件测算了稳定存款,同时基于分析结果,分析了稳定存款与流动性缺口之间的关系,探索了稳定存款与贷款总额、活期存款、定期存款之间的关系,测算了工商银行一定时期的流动性缺口,预测了商业银行在接下来一段时间的潜在流动性需求,最后在分析我国资产负债结构和借鉴国外经验的基础之上,提出了政策建议。研究结果如下:稳定存款与流动性缺口之间存在正相关的关系,商业银行的贷款总额受前一年稳定存款的影响,验证了我国商业银行量入为出的流动性管理现状;稳定存款总额不受同期活期存款或者是定期存款的影响,三者之间不存在协整的关系;而基于稳定存款的流动性缺口计算方法结果与商业银行同期的中央银行借款在一定程度上是对应的,说明了此方法的有效性;将潜在流动性需求的预测结果与实际量对比,误差较小,预测方法可行,可以用于实践中对潜在流动性的预测;通过分析我国资产负债结构及借鉴国外经验,提出如下观点:我国现阶段的流动性缺口管理须采用综合管理法,综合法就是先将大金额、期限长的现金流进行匹配,在保证大额资金缺口现象不发生的前提下,按资产组合法对剩余资产和负债进行匹配。在资产方面采用资金汇集法和贷款出售,在负债方面实施多元化负债,在流动性需求的预测中加入概率调整,并且从多个角度发展稳定存款。本文的创新点是:从实际流量和潜在流量两方面进行研究,将稳定存款与流动性缺口的关系研究从理论拓展到实证,使用Granger因果检验及协整检验对稳定存款进行分析,将流动性缺口模型中的潜在流动性管理进行拓展,使用ARIMA模型对未来一定时期增加的存贷款进行预测,并在此基础上结合国外流动性缺口管理经验提出政策建议。
[Abstract]:Liquidity risk can lead to other risks of commercial banks and endanger the safety of financial system and economic system by "contagion effect".From 1994 to now, the management of liquidity in Chinese commercial banks has basically depended on static ratio management, and the quantitative management of liquidity risk and the statistical work of measuring and calculating liquidity risk have always been in the traditional management of experience.Compared with foreign countries, China has been in a passive stage.Scientific, institutionalized and strategic improvement of liquidity management methods is still the direction of current efforts.The research on liquidity management of Chinese commercial banks under gap management is based on the liquidity gap model to manage the actual and potential flow of assets and liabilities of commercial banks.The actual flow management is the measurement of the existing liquid assets and stable deposits, while the potential flow management is the forecast of the assets and liabilities that will increase in a certain period of time in the future.Based on the basic theory of commercial bank management and related knowledge of econometrics, this paper explores the practice of liquidity management of commercial banks in China, and analyzes the present situation and existing problems under the premise of collecting relevant data.The main work is as follows: using econometrics software to calculate the stable deposit, at the same time, based on the analysis results, the relationship between the stable deposit and the liquidity gap is analyzed, and the relationship between the stable deposit and the total loan amount, the demand deposit is explored.The relationship between time deposits estimates the liquidity gap of ICBC for a certain period of time and predicts the potential liquidity demand of commercial banks for some time to come.Finally, on the basis of analyzing the structure of assets and liabilities of our country and drawing on the experience of foreign countries, some policy suggestions are put forward.The results are as follows: there is a positive correlation between stable deposit and liquidity gap. The total loan amount of commercial bank is affected by the stable deposit in the previous year, which verifies the current situation of liquidity management of commercial bank in our country.The total amount of stable deposits is not affected by demand deposits or time deposits in the same period, and there is no cointegration relationship among them.The result of liquidity gap calculation based on stable deposit is corresponding to the central bank loan in the same period to some extent, which shows the validity of this method, and compares the forecast result of potential liquidity demand with the actual amount.The error is small, the forecasting method is feasible, it can be used to predict the potential liquidity in practice, by analyzing the structure of assets and liabilities in our country and drawing lessons from foreign experience,This paper puts forward the following points: at present, the liquidity gap management in our country must adopt the comprehensive management method, which is to match the cash flow of large amount and long term first, and to ensure that the phenomenon of large fund gap does not occur.The remaining assets and liabilities are matched according to the portfolio method.In terms of assets, capital collection and loan sales, diversified liabilities are implemented in debt, probability adjustment is added to the forecast of liquidity demand, and stable deposits are developed from many angles.The innovation of this paper is: from the actual flow and potential flow, the relationship between stable deposit and liquidity gap is extended from theory to empirical, and the Granger causality test and cointegration test are used to analyze stable deposit.The potential liquidity management in the liquidity gap model is extended and the ARIMA model is used to predict the increase of deposits and loans in a certain period in the future. Based on this, some policy suggestions are put forward based on the experience of foreign liquidity gap management.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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