中国商业银行流动性管理及其对绩效的影响研究

发布时间：2018-05-21 19:11

本文选题：商业银行 + 流动性管理　；参考：《浙江工商大学》2017年硕士论文

【摘要】：流动性管理一直是商业银行研究领域的重点和难点问题之一。2008年金融危机之后,各国对商业银行的流动性管理更为关注。流动性管理已经成为商业银行必须面对的重要内容。商业银行绩效管理是其进行正常经营盈利的重要保障,良好的绩效管理力在寻找控制流动性风险和追求利润最大化的结合点。而目前基于商业银行是否积极管理流动性及商业银行流动性管理对绩效的影响研究还较为缺乏,因此无法通过对商业银行流动性管理的积极性来对预期其对商业银行绩效的正负影响。本文在流动性管理的实证分析中,选取67家商业银行2008-2015年年度数据,通过建立流动性管理的局部调整模型,研究商业银行是否在积极的管理流动性。通过存贷比(LTD)和净稳定资金比率(NSFR)两大指标来探究商业银行是否设立了目标流动性,并引入了调整速度(λ)作为研究商业银行在偏离目标值时具体调整行为的反映变量。实证结果表明,不管是以存贷比还是NSFR为监管指标,商业银行均能根据自身特点设定流动性目标值。当实际值偏离目标值时,其均拥有大于零的调整速度(即有向目标值调整的冲动),表明商业银行在积极的管理流动性。且银行资产规模、不良贷款率与流动性目标成显著负相关,银行成长性、上市银行与流动性目标成正相关。在存贷比监管时期,还可发现商业银行更关注LTA指标。在商业银行流动性管理对绩效影响的实证研究中,论文以商业银行调整速度作为流动性管理的代理变量,选取2010-2015年数据构建面板数据模型,进一步研究商业银行流动性管理对绩效的影响,从全样本分析和分不同所有制银行分析两部分探究商业银行流动性与绩效之间的影响关系。结果表明商业银行流动性管理与绩效之间存在倒U型关系,即商业银行在一定程度上增加流动性能增加银行绩效,超过最优流动性后,流动性增加会使银行绩效下降。另外,实证结果还表明商业银行是在控制风险的基础之上,以绩效最大化为目标管理流动性。
[Abstract]:Liquidity management has always been one of the key and difficult problems in the research field of commercial banks. After the financial crisis of.2008, countries have paid more attention to the liquidity management of commercial banks. Liquidity management has become an important content that commercial banks must face. Good performance management is looking for a combination of controlling liquidity risk and seeking profit maximization. However, the current research on whether commercial banks actively manage liquidity and commercial bank liquidity management has a lack of research on the impact of performance. Therefore, it is impossible for commercial banks to anticipate commercial banks through the liquidity management of commercial banks. In the empirical analysis of liquidity management, this paper selects the annual data of 67 commercial banks for 2008-2015 years, and studies the positive management liquidity of commercial banks through the establishment of the local adjustment model of liquidity management. Through the LTD and the net stable fund ratio (NSFR) two major indicators to explore commercial silver. The liquidity of the target is set up, and the adjustment speed (lambda) is introduced as a reflection variable to study the specific adjustment behavior of commercial banks when they deviate from the target value. The empirical results show that commercial banks can set liquidity targets according to their own characteristics, regardless of the ratio of deposit and loan or NSFR, when the actual value deviates from the target value, All of them have the adjustment speed of greater than zero (i.e. the impulse to adjust to the target value), which indicates that the commercial banks are actively managing liquidity. And the bank assets scale, the bad loan rate and the liquidity target have a significant negative correlation, the bank growth, the listed bank and the liquidity target are positively related. In the period of the deposit and loan ratio supervision, the commercial bank can also be found. In the empirical study of the impact of liquidity management on the performance of commercial banks, the paper takes the adjustment speed of commercial banks as the proxy variable of liquidity management, and selects 2010-2015 year data to build panel data model to further study the impact of liquidity management on commercial banks' performance, from the full sample analysis and the difference. The two part of the analysis of banking analysis explores the relationship between liquidity and performance of commercial banks. The results show that there is an inverted U relationship between liquidity management and performance in commercial banks, that is, commercial banks increase liquidity and increase bank performance to a certain extent. After exceeding the optimal liquidity, the increase of liquidity will reduce the performance of banks. The empirical results also show that commercial banks are based on controlling risks and aim at managing liquidity by maximizing performance.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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