金融监管下同业业务发展的影响因素及风险研究

发布时间：2018-03-09 10:29

本文选题：同业业务　切入点：金融监管　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国银行体系同业业务在近十年来呈现井喷式发展,其增长背后的逻辑有着金融监管的动因,而银行发展同业业务也可能对银行自身的风险产生影响,为此本文对同业业务现状、影响因素与风险开展了研究:首先,本文从宏观层面就我国银行体系2006-2016年的同业业务发展趋势进行了现状分析,分别从同业资产、同业负债以及同业创收三个角度描述了同业业务发展的特征,并估计得到我国银行体系借道同业交易实现变相放贷即“银行的影子”其规模在2016年年末达到27.91万亿水平;之后,本文从我国商业银行的微观数据入手,实证分析了金融监管指标对银行配置同业业务的影响。经验结果表明资本充足率越低、存贷比越高,银行在下一期会配置更多的同业资产,另一监管指标不良贷款率的影响效应并不显著。进一步研究显示,2014年发布的旨在规范金融机构同业业务的《通知》效力有待提高;最后,本文以Log-z指数作为银行风险的衡量指标,实证检验了发展同业业务对银行自身风险的影响。结果显示银行资产中同业业务比率与其风险程度成正比,其作用机制是发展同业业务会降低银行总资产收益率及提高其波动性。此外,银行规模越小、贷款质量越差、存贷比系数越高的银行风险也相对越大。
[Abstract]:In recent ten years, the interbank business of China's banking system has been booming. The logic behind its growth has the motivation of financial supervision, and the development of interbank business may also have an impact on the risk of the bank itself. Therefore, this paper studies the current situation, influencing factors and risks of interbank business. Firstly, this paper analyzes the development trend of interbank business in China's banking system from 2006 to 2016 from the macro level, and analyzes the current situation of interbank business from the perspective of interbank assets. The characteristics of interbank business development are described from the perspectives of interbank debt and interbank income generation, and it is estimated that the scale of "shadow of banks" reached 27.91 trillion level at the end of 2016. Starting from the microcosmic data of commercial banks in China, this paper empirically analyzes the impact of financial supervision indicators on the allocation of interbank business. The empirical results show that the lower the capital adequacy ratio, the higher the deposit / loan ratio. Banks will allocate more interbank assets in the next phase, and the impact of the non-performing loan ratio, another regulatory indicator, will not be significant. Further research shows that the effectiveness of the Notification issued on 2014 to regulate interbank operations by financial institutions needs to be improved; finally, This paper takes the Log-z index as a measure of bank risk, and empirically tests the influence of developing interbank business on banks' own risk. The results show that the ratio of interbank business in bank assets is proportional to the degree of risk. In addition, the smaller the bank size, the worse the loan quality, and the higher the ratio of deposit to loan ratio, the higher the bank risk.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.1

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