资本结构对我国商业银行风险影响的实证研究

发布时间：2018-01-26 21:51

本文关键词： 银行风险资本结构因子分析固定效应模型　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：商业银行在我国金融体系中处于核心地位,对维持经济稳健发展发挥着至关重要的作用。而商业银行是经营货币资本的特殊企业,其存在和发展必须与风险相伴。资本结构作为银行的重要特征,不仅影响银行的价值创造,更在一定程度上影响其抵御风险的能力。随着金融市场的改革和发展,我国商业银行的资本结构正在经历一系列的变化,这将成为完善资本结构以增强风险防范能力、提升银行竞争力的一个重要契机。本文研究的资本结构包括两方面的含义。一是银行债务资本和权益资本之间的比例关系,即融资结构;二是银行债权资本和股权资本各自内部的构成比例关系,即股权结构和债务结构。本文首先从理论上分析资本结构对银行风险的影响机理,然后从信用风险、流动性风险和风险抵补能力三个维度选取不良贷款率、流动性比例、资本充足率等8个风险指标,应用因子分析的方法得到风险综合得分。在此基础上,应用面板数据建立固定效应模型检验资本结构如何影响银行风险。在衡量指标的选择方面,本文的风险代理指标为经因子分析方法计算的风险综合得分,而资本结构变量从融资结构、股权结构和债务结构三个方面选择具有代表性的指标;在回归模型的设定方面,本文在资本结构的框架下,针对股权结构和债务结构进行更深入的研究。在股权结构方面不仅研究不同控股股东性质和股权集中度对风险的影响,而且对其交互作用进行分析。在债务结构方面,检验了存款负债比的非线性影响和次级债的市场约束作用。通过对实证结果的分析,结合相关理论,本文从融资结构、股权结构、债务结构三个方面提出政策建议。在融资结构方面,银行应降低负债权益比,适当提升内源性融资比例;在股权结构方面,银行应增加多种性质股东,多元化投资主体,保持适度分散的股权结构。另外,对控股股东不同银行应进行差异化管理。具体来说,政府控股银行、国企控股银行应避免出现过高的股权集中度,而其他性质法人控股银行可在现有的较分散的股权结构的基础上适当增加股权集中度,降低风险;在债务结构方面,银行应选择适当的存款负债率并发行次级债,丰富债务结构,降低其面临的风险水平。
[Abstract]:Commercial banks are at the core of the financial system in China and play a vital role in maintaining the steady development of the economy. However, commercial banks are special enterprises operating monetary capital. Its existence and development must be accompanied by risk. As an important characteristic of banks, capital structure not only affects the value creation of banks. With the reform and development of financial market, the capital structure of commercial banks in China is undergoing a series of changes. This will become to improve the capital structure to enhance risk prevention capacity. The capital structure studied in this paper includes two meanings. One is the proportional relationship between bank debt capital and equity capital, that is, the financing structure; The second is the proportion relationship between creditor's capital and equity capital, that is, equity structure and debt structure. Firstly, this paper analyzes the influence mechanism of capital structure on bank risk in theory, and then analyzes the credit risk from the perspective of credit risk. The three dimensions of liquidity risk and risk offset ability choose non-performing loan ratio, liquidity ratio, capital adequacy ratio and other eight risk indicators, and use factor analysis method to get risk comprehensive score. Using panel data to establish a fixed effect model to test how the capital structure affects the risk of banks. In the selection of indicators, the risk agent index is calculated by factor analysis method of risk synthesis score. The capital structure variable selects the representative index from the financing structure, the equity structure and the debt structure. In terms of the establishment of regression model, this paper is based on the framework of capital structure. In the aspect of equity structure, we not only study the influence of different controlling shareholder nature and ownership concentration on risk. In terms of debt structure, the nonlinear effect of deposit to debt ratio and the market constraint of secondary debt are tested. Through the analysis of empirical results, combined with the relevant theory. This paper puts forward some policy suggestions from three aspects: financing structure, equity structure and debt structure. In the aspect of financing structure, banks should reduce the ratio of debt to equity and increase the proportion of endogenous financing. In the aspect of equity structure, banks should increase many kinds of shareholders, diversify investment subjects and maintain moderately dispersed equity structure. In addition, different banks with controlling shareholders should be managed differently. The government holding bank, the state-owned enterprise holding bank should avoid the excessively high equity concentration degree, but other nature legal person holding bank may increase the stock right concentration degree and reduce the risk on the basis of the existing more dispersed equity structure; In the aspect of debt structure, banks should choose appropriate deposit debt ratio and issue subordinated debt to enrich the debt structure and reduce the risk level.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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