基于流动性风险监管的我国商业银行盈利能力研究
发布时间：2018-08-03 08:41
【摘要】：2007年美国次贷危机爆发以来,全球银行业遭遇了流动性不足和盈利能力严重下滑的情况。认真审视了商业银行所遭受的严重的流动性风险危机后,巴塞尔银行业监督委员会颁布了流动性风险监管要求和框架,将流动性风险监管提升到了新高度,期望各国商业银行能够减小流动性风险,维持长期稳健的经营水平。美国次贷危机带来的银行流动性危机波及了整个世界,我国商业银行也因此遭遇了利润增速急速下滑和流动性不足的局面,2013年6月的“钱荒事件”及2015年多数银行利润增速接近于零为我国银行业敲响了警钟。此后我国银监会完善了流动性风险监管框架,希望通过更加严格的流动性风险监管来提升商业银行的流动性水平,并增强其经营能力,缓解利润增速下滑的不利局面。但是更加严格的流动性风险监管是否能够为商业银行盈利能力的提高带来积极的影响还需进一步研究。本文将系统的研究新的流动性风险监管对我国商业银行盈利能力的影响,并通过总结基于流动性风险监管的商业银行盈利能力理论文献,分析流动性风险监管对商业银行盈利能力影响的理论基础和影响机制,进而基于流动性风险监管,采用比较研究法、历史分析法和实证分析法研究流动性风险监管对我国银行业盈利能力的影响,并针对分析结果提出政策建议。本文的主要创新点是通过实证探究了流动性风险监管对我国银行业盈利能力的影响方和及影响力度,其中包括了净稳定资金比例的影响。尽管我国还未正式引入净稳定资金比例监管指标,无法直接得到相关数据,但本文参照前人的研究方法对我国上市商业银行的净稳定资金比例进行了测算,从而实现了基于该项监管指标的研究。本文研究的重要结论为:(1)流动性风险监管对我国银行业的盈利能力有着直接作用和间接作用,直接作用表现为对融资成本、风险资产净额及贷款结构等的作用,间接作用表现为通过金融市场和内部治理结构等对盈利能力产生作用,且直接作用与间接作用相互联系;(2)我国严格的流动性风险监管对银行业的流动性充足状况发挥了一定的作用,新的监管指标流动性覆盖率全部高于监管水平线,且上市银行的银行流动性比例也远高于30%,但从另一方面来看,这些指标数值正在逐年下降,上市银行的利润增长率严重下滑:(3)通过对各银行的净稳定资金比例测算后发现我国部分上市商业银行并未达到监管要求,未来有待于提高;(4)流动性比例对商业银行的盈利能力产生了负面的作用,并且是通过削弱银行负债类资产的收益能力来削弱盈利水平,而净稳定资金比例能够提高上市银行单位权益资本的收益,对盈利能力有正面影响。总之不同的监管指标对商业银行产生不同的作用;(5)针对全文的研究结果提出了一些对策,商业银行要优化资产结构、提升资本充足水平和控制短期流动性水平等,监管部门要调整流动性比例监管要求,并尽早实现净稳定资金比例的监管。
[Abstract]:Since the outbreak of the United States subprime crisis in 2007, the global banking industry has encountered a lack of liquidity and a serious decline in profitability. After careful examination of the serious liquidity risk crisis that the commercial banks have suffered, the Basel banking supervision committee has promulgated the requirements and framework of liquidity risk supervision and regulation to improve the liquidity risk regulation. New heights are expected to be expected to reduce liquidity risks and maintain a long-term and robust management level. The bank liquidity crisis in the United States subprime mortgage crisis has swept the world, and commercial banks in China have suffered a situation of rapid decline in profit growth and lack of liquidity in the June 2013, and the "money famine event" and 2015 in June 2013. Since most of the bank's profit growth is close to zero, China's banking industry has rounded the alarm clock. After that, China Banking Regulatory Commission has perfected the liquidity risk regulatory framework, hoping to improve the liquidity level of commercial banks through more stringent liquidity risk regulation, and enhance its operational capability to alleviate the adverse situation of the decline in profit growth. Whether the liquidity risk regulation can bring positive impact on the improvement of commercial banks' profitability needs further study. This paper will systematically study the influence of new liquidity risk regulation on the profitability of commercial banks in China, and analyze the theoretical literature of commercial banks' profitability based on liquidity risk supervision and analysis. The theoretical basis and influence mechanism of liquidity risk regulation on the profitability of commercial banks, and then based on the liquidity risk supervision, using comparative research method, historical analysis method and empirical analysis method to study the influence of liquidity risk supervision on the profitability of China's banking industry, and put forward policy suggestions on the results of the analysis. The new point is to explore the impact of liquidity risk regulation on the profitability of China's banking industry and its impact, including the impact of the proportion of net stable funds. Although China has not formally introduced the regulatory index of the proportion of net stable funds, we can not get the relevant data directly, but this article refer to our predecessors' research methods. The proportion of the net stable funds of the listed commercial banks has been calculated, and the research based on the regulatory index is realized. The important conclusions of this study are as follows: (1) liquidity risk regulation has direct and indirect effects on the profitability of China's banking industry, and the direct effect is now on the financing cost, the net risk assets and the loan structure. The indirect effect is that the indirect effect is through the financial market and the internal governance structure, and the direct and indirect effects are related to each other. (2) China's strict liquidity risk regulation has played a certain role in the liquidity condition of the banking industry, and the liquidity coverage of the new regulatory indicators is all higher than the supervision. The liquidity ratio of the listed banks is far higher than 30%, but on the other hand, these indexes are declining year by year, and the profit growth rate of listed banks is declining seriously: (3) it is found that some of the listed commercial banks in China have not reached the regulatory requirements through the calculation of the net stable capital ratio of each bank. To be improved; (4) the liquidity ratio has a negative effect on the profitability of commercial banks and weakens the profit level by weakening the profitability of the bank's debt assets, and the net stable capital ratio can improve the earnings of the equity capital of the listed banks and have a positive impact on the profitability. There are different functions for commercial banks. (5) some countermeasures are put forward in view of the research results of the full text. Commercial banks should optimize the structure of assets, improve the level of capital adequacy and control the level of short-term liquidity. The regulatory authorities should adjust the regulatory requirements of the liquidity ratio and realize the supervision of the proportion of net stable funds as soon as possible.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
本文编号：2161203
[Abstract]:Since the outbreak of the United States subprime crisis in 2007, the global banking industry has encountered a lack of liquidity and a serious decline in profitability. After careful examination of the serious liquidity risk crisis that the commercial banks have suffered, the Basel banking supervision committee has promulgated the requirements and framework of liquidity risk supervision and regulation to improve the liquidity risk regulation. New heights are expected to be expected to reduce liquidity risks and maintain a long-term and robust management level. The bank liquidity crisis in the United States subprime mortgage crisis has swept the world, and commercial banks in China have suffered a situation of rapid decline in profit growth and lack of liquidity in the June 2013, and the "money famine event" and 2015 in June 2013. Since most of the bank's profit growth is close to zero, China's banking industry has rounded the alarm clock. After that, China Banking Regulatory Commission has perfected the liquidity risk regulatory framework, hoping to improve the liquidity level of commercial banks through more stringent liquidity risk regulation, and enhance its operational capability to alleviate the adverse situation of the decline in profit growth. Whether the liquidity risk regulation can bring positive impact on the improvement of commercial banks' profitability needs further study. This paper will systematically study the influence of new liquidity risk regulation on the profitability of commercial banks in China, and analyze the theoretical literature of commercial banks' profitability based on liquidity risk supervision and analysis. The theoretical basis and influence mechanism of liquidity risk regulation on the profitability of commercial banks, and then based on the liquidity risk supervision, using comparative research method, historical analysis method and empirical analysis method to study the influence of liquidity risk supervision on the profitability of China's banking industry, and put forward policy suggestions on the results of the analysis. The new point is to explore the impact of liquidity risk regulation on the profitability of China's banking industry and its impact, including the impact of the proportion of net stable funds. Although China has not formally introduced the regulatory index of the proportion of net stable funds, we can not get the relevant data directly, but this article refer to our predecessors' research methods. The proportion of the net stable funds of the listed commercial banks has been calculated, and the research based on the regulatory index is realized. The important conclusions of this study are as follows: (1) liquidity risk regulation has direct and indirect effects on the profitability of China's banking industry, and the direct effect is now on the financing cost, the net risk assets and the loan structure. The indirect effect is that the indirect effect is through the financial market and the internal governance structure, and the direct and indirect effects are related to each other. (2) China's strict liquidity risk regulation has played a certain role in the liquidity condition of the banking industry, and the liquidity coverage of the new regulatory indicators is all higher than the supervision. The liquidity ratio of the listed banks is far higher than 30%, but on the other hand, these indexes are declining year by year, and the profit growth rate of listed banks is declining seriously: (3) it is found that some of the listed commercial banks in China have not reached the regulatory requirements through the calculation of the net stable capital ratio of each bank. To be improved; (4) the liquidity ratio has a negative effect on the profitability of commercial banks and weakens the profit level by weakening the profitability of the bank's debt assets, and the net stable capital ratio can improve the earnings of the equity capital of the listed banks and have a positive impact on the profitability. There are different functions for commercial banks. (5) some countermeasures are put forward in view of the research results of the full text. Commercial banks should optimize the structure of assets, improve the level of capital adequacy and control the level of short-term liquidity. The regulatory authorities should adjust the regulatory requirements of the liquidity ratio and realize the supervision of the proportion of net stable funds as soon as possible.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
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