同业拆借对我国商业银行流动性风险影响的实证研究

发布时间：2018-05-25 17:43

本文选题：流动性风险 + 同业拆借　；参考：《南京师范大学》2014年硕士论文

【摘要】：流动性风险是导致银行破产的主要风险。尤其在经过2008年金融危机后,各国更加重视防范流动性风险,巴塞尔协议Ⅲ更是提出了新的流动性风险监管措施和指标。近年来我国同业拆借业务快速发展,同业拆借改变了银行的资产和负债结构,势必对银行的流动性风险有所影响。本文立足于以上背景,分析同业拆借对银行流动性风险的影响方式和程度。本文围绕同业拆借对商业银行流动性风险影响的主题,从理论和实证两方面展开了分析。在对国内外相关文献进行梳理的基础上,首先从理论上分析了同业拆借对银行流动性风险的三种影响渠道：第一,通过风险传染对其他银行的流动性风险产生影响；第二,同业拆借能够降低银行流动性风险并能实现收益；第三,为应对短期流动性需求拆入资金引发流动性风险。其次,分析了几种银行流动性风险的度量方法,有静态指标法、动态指标法、压力测试以及主成分分析法,经过比较,主成分分析法可以综合多个流动性风险指标,能够更全面、系统地反映流动性风险状况,故本文采用主成分分析法度量银行流动性风险。本文的实证研究分为两部分,第一部分采用主成分分析法评估银行流动性风险水平,结论是不同类别银行间流动性风险水平有较大差距,城市商业银行的流动性风险普遍较高。第二部分用固定效应模型检验同业拆借对银行流动性风险的影响程度,并利用主成分分析法衡量银行流动性风险的结果作为模型的被解释变量。通过实证研究发现,同业拆借利率对银行流动性风险有着显著的影响,此外,银行规模、资本充足率以及货币增长率和通货膨胀均对银行流动性风险有显著影响。最后,本文根据理论结论和实证检验结果,针对同业拆借业务,提出了强化银行流动性风险管理的建议。
[Abstract]:Liquidity risk is the main risk leading to bank bankruptcy. Especially after the financial crisis in 2008, countries pay more attention to the prevention of liquidity risk, Basel III proposed a new regulatory measures and indicators of liquidity risk. With the rapid development of interbank lending in China in recent years, interbank lending has changed the structure of assets and liabilities of banks, which is bound to affect the liquidity risk of banks. Based on the above background, this paper analyzes the influence of interbank lending on bank liquidity risk. This paper analyzes the effect of interbank lending on liquidity risk of commercial banks from both theoretical and empirical aspects. On the basis of combing the relevant literature at home and abroad, this paper first analyzes three kinds of influence channels of interbank lending on bank liquidity risk: first, the influence of risk contagion on liquidity risk of other banks; second, Interbank lending can reduce bank liquidity risk and achieve returns; third, liquidity risk is triggered by borrowing funds in response to short-term liquidity needs. Secondly, this paper analyzes several kinds of measurement methods of bank liquidity risk, including static index method, dynamic index method, stress test and principal component analysis method. After comparison, principal component analysis method can synthesize multiple liquidity risk indicators. It can reflect liquidity risk more comprehensively and systematically, so this paper uses principal component analysis to measure liquidity risk. The empirical study of this paper is divided into two parts. The first part uses principal component analysis method to evaluate the liquidity risk level of banks. The conclusion is that there is a big gap between different types of banks liquidity risk level, the liquidity risk of urban commercial banks is generally higher. In the second part, the fixed effect model is used to test the influence of interbank lending on bank liquidity risk, and the results of principal component analysis are used as the explanatory variables of the model. The empirical study shows that the interbank lending rate has a significant impact on the liquidity risk of banks, in addition, the size of the bank, capital adequacy ratio, monetary growth rate and inflation have significant effects on the liquidity risk of banks. Finally, according to the theoretical conclusions and empirical test results, this paper puts forward some suggestions to strengthen the liquidity risk management of banks.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F832.2

【参考文献】