我国商业银行净稳定融资比率对银行盈利性的影响

发布时间：2018-01-23 04:15

本文关键词： 巴塞尔协议Ⅲ 流动性风险净稳定融资比率　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：本篇文章以《巴塞尔协议Ⅲ》中所提出的长期流动性监管指标净稳定融资比率为核心,主要探讨净稳定融资比率指标的实施对国内商业银行盈利能力的影响。文章基于2008-2015年8年样本期内国内53家商业银行的微观数据,研究了样本时期内我国商业银行净稳定融资比率情况,并同时采用动态面板模型进行了实证检验。研究结果发现:(1)整体而言,我国商业银行净稳定融资比率呈现出一个持续下降的趋势,其中大型银行尤为突出。(2)我们采用系统矩估计对动态模型系数进行估计发现:净稳定融资比率的提高能够显著提升我国商业银行的平均净资产回报率,其中对大型银行和小型银行影响较为显著,并且净稳定融资比率指标会进一步提升盈利能力较强银行的盈利能力;提高净稳定融资比率还将降低国内商业银行净息差水平,大型银行的反应更为激烈;净稳定融资比率与我国商业银行贷款资产收益率呈负相关关系,中型银行表现明显,然而需要注意的是,不同于全样本,净稳定融资比率与大型银行的贷款资产收益率却呈现出了显著的正相关关系。
[Abstract]:This paper focuses on the net stable financing ratio of the long-term liquidity regulatory indicators proposed in Basel III. This paper mainly discusses the impact of the implementation of the net stable financing ratio on the profitability of domestic commercial banks. This paper is based on the microcosmic data of 53 domestic commercial banks during the sample period of 2008-2015. This paper studies the net stable financing ratio of commercial banks in China during the sample period, and uses dynamic panel model to make an empirical test. The research results show that: 1) as a whole. The net stable financing ratio of commercial banks in China shows a continuous downward trend. We use system moment estimation to estimate the dynamic model coefficient. We find that the increase of net stable financing ratio can significantly improve the average return on net assets of commercial banks in China. Among them, the impact on large banks and small banks is more significant, and the net stable financing ratio index will further enhance the profitability of the more profitable banks; Increasing the net stable financing ratio will also reduce the net interest margin level of domestic commercial banks, the response of large banks is more fierce; There is a negative correlation between the net stable financing ratio and the return on loan assets of commercial banks in China, and the performance of medium-sized banks is obvious. However, it should be noted that it is different from the full sample. However, the net stable financing ratio has a significant positive correlation with the return on loan assets of large banks.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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