我国商业银行特许权价值和风险行为研究

发布时间：2018-04-23 12:03

本文选题：特许权价值 + 风险行为　；参考：《南京大学》2014年硕士论文

【摘要】：特许权价值是银行利用各种特许经营优势获得的超额收益的现值总和,这些优势具体包括银行在这个市场的各种特有优势,但银行本身的经营效率也能够放大银行的特许权价值。根据传统理论,特许权价值对银行的风险行为具有约束作用,因为当银行过度冒险经营导致破产时,“特许权”这一部分银行价值会随之丧失,因此银行会自发性地规避风险行为。国内外的许多学者进一步提出证明：特许权价值高的银行相比特许权价值低的银行更有谨慎经营的动机,因此应该鼓励银行增加自身的特许权价值,利用特许权价值的自律效用抑制银行的冒险动机。但是美国金融危机的爆发却暴露了特许权价值“自律效用”理论的漏洞,美国市场上那些特许权价极高的超级银行,并没有比特许权价值低的小银行选择更为稳健的经营路线,事实上这些银行过分涉入高风险业务最终祸至整个银行体系的崩溃。美国银行业的教训为我国商业银行敲响了警钟,本文旨在通过系统梳理特许权价值的理论来探寻特许权价值的合理量化方式,并结合现实寻求新时期下影响银行风险行为的因素以修正风险计量模型,得到后危机时代我国商业银行特许权价值和风险行为之间的关系。经过分析,本文最终以托宾Q值计量银行的特许权价值,综合考虑隐性保险、行业竞争、产品创新和混业经营等四个方面的影响因素,构建了面板数据计量模型,以我国16家上市银行为研究对象,选取2007年第四季度至2013年第三季度(共计24个季度)为样本区间,得出以下结论：首先,我国商业银行的特许权价值和风险水平正向相关,特许权价值的风险约束作用在我国同样失效；其次,隐性保险、行业竞争增加了我国银行的冒险动机,而产品创新使银行的收入趋于多元化,有助于降低风险；最后,混业经营对我国银行的风险行为具有不同的影响,其中银保合作、银基合作有利于银行降低风险,而银信合作则会提升银行承担风险的水平。基于研究结论,本文提出了相应的政策建议：第一,规范股份制商业银行的经营方式,强调银行对实体经济的服务力度；第二,遏制银行市场的恶性竞争行为,提倡银行培养自身的核心竞争力；第三,.鼓励银行在范围内适度开展创新活动,尤其是风险管理方面的金融创新；第四,巩固发展传统混业经营模式,重点关注新型混业经营模式。
[Abstract]:The value of the concession is the sum of the present value of the excess income obtained by the banks using various franchise advantages, which include specific advantages of the bank in this market. But the efficiency of the bank itself can also amplify the franchise value of the bank. According to the traditional theory, the concession value has a binding effect on the bank's risk behavior, because when the bank takes too much risk, the "concession" part of the bank value will be lost. Therefore, banks will spontaneously avoid risk behavior. Many scholars at home and abroad have further proved that banks with high franchise value have more incentive to operate cautiously than those with lower franchise value, so banks should be encouraged to increase their franchise value. The use of the self-regulatory utility of the franchise value inhibits the banks' incentive to take risks. However, the outbreak of the financial crisis in the United States has exposed a loophole in the theory of the "self-regulatory utility" of franchise value. In fact, these banks were too involved in risky business and eventually the collapse of the entire banking system. The lessons of American banking have sounded the alarm for Chinese commercial banks. This paper aims to explore the reasonable quantification way of franchise value by systematically combing the theory of franchise value. Combining with the reality, we seek the factors that affect the risk behavior of the banks in the new period to modify the risk measurement model, and get the relationship between the concession value and the risk behavior of the commercial banks in the post-crisis era. Through the analysis, this paper uses Tobin Q value to measure the concession value of the bank, synthetically considers the four influencing factors of hidden insurance, industry competition, product innovation and mixed operation, and constructs the panel data measurement model. Taking 16 listed banks in China as the research object, this paper selects the fourth quarter of 2007 to the third quarter of 2013 (24 quarters in total) as the sample interval, and draws the following conclusions: first, the concession value and risk level of commercial banks in China are positively correlated. The risk constraint of franchise value is also ineffective in China. Secondly, implicit insurance and industry competition increase the risk-taking motivation of Chinese banks, while product innovation makes banks' income more diversified, which helps to reduce the risk. Mixed operation has different influence on the risk behavior of Chinese banks, in which the cooperation of bank and insurance, the cooperation of bank and the cooperation of bank base will help the banks to reduce the risk, while the cooperation of bank and credit will enhance the level of the banks to bear the risk. Based on the conclusions of the study, this paper puts forward corresponding policy recommendations: first, standardizing the management mode of joint-stock commercial banks, emphasizing the service strength of banks to the real economy; second, curbing the vicious competition behavior in the banking market. Promote banks to cultivate their core competitiveness; third. Banks should be encouraged to carry out innovative activities within the scope, especially financial innovation in risk management. Fourth, consolidate and develop the traditional mixed operation mode, focusing on the new mixed business model.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

【相似文献】