流动性创造与中国商业银行流动性风险关系研究
发布时间：2018-11-27 06:41
【摘要】：随着科技的进步与全球化的发展,银行业发生了很大的变化,金融领域的研究也面临着一些新的问题、新的挑战。随着2007年美国次贷危机进而引发的全球性金融危机影响的不断加深,各国采取了多方面的应对措施,并对危机形成的原因进行了反思,而缺乏对流动性风险的有效识别和防范是导致危机的重要原因之一。商业银行是一国经济系统重要的调节中枢,其吸收活期存款发放不同期限贷款的传统业务为其资金的供需方建立媒介平台,但是银行在行使其中介功能时会给自身带来严重的流动性期限错配问题。然而,此类流动性期限错配使银行完成了重要的社会职能——流动性创造。所以,商业银行在为市场提供流动性创造的同时,严重的期限错配也带来了流动性风险。那么,就我国银行业的实际发展状况,流动性创造与银行流动性风险到底具有怎样的关系?若因流动性创造增加而导致实体经济中的贷款规模扩大、贷款期限延长,银行遭受的流动性风险会发生怎样的变化?若银行加强对流动性风险的应对,可能会减少贷款,其实体经济系统中的流动性创造会发生怎样的变化?对这些问题的探究和分析不仅有利于防范银行体系中的潜在危机,更有利于加强银行等金融机构服务实体经济功能。本文试图从以下两个方面对现有研究进行拓展:一是考虑到流动性创造与流动性风险两个变量之间存在着反馈关系的相互作用机理,本文建立动态面板联立方程组模型,以经济理论、研究假设为基础,综合分析各部分、各因素之间的数量关系和模型的数值特征。二是在全样本银行实证检验的基础上,基于我国银行的不同类型、异质性、隐性担保程度等特征将其划分为两类,分别选取不同的单方程估计方法、系统估计方法,更为细致地探讨分样本流动性创造与银行流动性风险的关系及其存在的差异。本文首先对流动性创造、银行流动性风险的理论基础和定量方法进行了分类研究,其次具体阐述了两者关系的相关假说和理论分析,最后基于2007-2015年中国57家商业银行的微观数据,建立两者之间的联立方程组模型,基于不同样本之间有差别地实证分析流动性创造与商业银行流动性风险之间相互作用的关系。研究结果表明:流动性创造在全样本银行回归的情况下,对流动性风险有显著的正向效果;相反地,流动性风险对其创造的流动性在系统估计法下存在显著负向影响。至于分样本银行方面,不论在何种估计法下股份制银行的流动性创造均会对流动性风险表现出显著影响,而国有银行、城市商业银行分别在系统估计方法、单方程估计方法下表现出显著;国有银行、股份制银行在不同估计法下流动性风险均会对其流动性创造产生显著的负向影响,而城市商业银行在这一方面上并没表现出明显的关系。
[Abstract]:With the progress of science and technology and the development of globalization, great changes have taken place in the banking industry, and the research in the field of finance is faced with some new problems and challenges. With the deepening of the impact of the global financial crisis caused by the subprime mortgage crisis in the United States in 2007, various countries have taken various measures to deal with the crisis, and have reflected on the causes of the crisis. The lack of effective identification and prevention of liquidity risk is one of the important reasons leading to the crisis. A commercial bank is an important regulatory center of a country's economic system. Its traditional business of absorbing demand deposits to issue loans with different maturities establishes a media platform for the supply and demand side of its funds. However, when banks exercise their intermediary function, they will bring serious liquidity maturity mismatch problem. However, such maturity mismatches enable banks to perform an important social function-liquidity creation. Therefore, while commercial banks create liquidity for the market, serious term mismatch also brings liquidity risk. So what is the relationship between liquidity creation and liquidity risk in China's banking industry? What will happen to the liquidity risk of banks if the scale of loans in the real economy is enlarged and the loan term is prolonged because of the increase in liquidity creation? What will happen to liquidity creation in the real economy if banks strengthen their response to liquidity risk and may reduce lending? The research and analysis of these problems is not only helpful to prevent the potential crisis in the banking system, but also to strengthen the function of banks and other financial institutions in serving the real economy. This paper attempts to expand the existing research from the following two aspects: first, considering the interaction mechanism between the two variables of liquidity creation and liquidity risk, this paper establishes a dynamic panel simultaneous equations model. On the basis of economic theory and research hypothesis, the quantitative relationship among various parts and factors and the numerical characteristics of the model are comprehensively analyzed. Secondly, on the basis of the empirical test of all sample banks, based on the characteristics of different types, heterogeneity and degree of implicit guarantee of Chinese banks, this paper divides them into two categories, and selects different single-equation estimation methods and systematic estimation methods respectively. The relationship between sample liquidity creation and bank liquidity risk and its differences are discussed in more detail. In this paper, the theoretical basis and quantitative methods of liquidity creation, bank liquidity risk are classified, and the related hypotheses and theoretical analysis of the relationship between them are expounded. Finally, based on the microscopic data of 57 commercial banks in China from 2007 to 2015, a model of simultaneous equations between them is established. This paper empirically analyzes the relationship between liquidity creation and liquidity risk of commercial banks based on different samples. The results show that liquidity creation has a significant positive effect on liquidity risk in the case of a full-sample bank regression, whereas liquidity risk has a significant negative effect on the liquidity created by the system estimation method. As for the sample banks, the liquidity creation of the joint-stock banks will have a significant impact on liquidity risk regardless of the estimation method, while the state-owned banks and the urban commercial banks are respectively in the systematic estimation method. The method of single equation estimation shows remarkable effect. The liquidity risk of state-owned banks and joint-stock banks under different estimation methods will have a significant negative impact on their liquidity creation, but the city commercial banks have no obvious relationship in this respect.
【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：2359727
[Abstract]:With the progress of science and technology and the development of globalization, great changes have taken place in the banking industry, and the research in the field of finance is faced with some new problems and challenges. With the deepening of the impact of the global financial crisis caused by the subprime mortgage crisis in the United States in 2007, various countries have taken various measures to deal with the crisis, and have reflected on the causes of the crisis. The lack of effective identification and prevention of liquidity risk is one of the important reasons leading to the crisis. A commercial bank is an important regulatory center of a country's economic system. Its traditional business of absorbing demand deposits to issue loans with different maturities establishes a media platform for the supply and demand side of its funds. However, when banks exercise their intermediary function, they will bring serious liquidity maturity mismatch problem. However, such maturity mismatches enable banks to perform an important social function-liquidity creation. Therefore, while commercial banks create liquidity for the market, serious term mismatch also brings liquidity risk. So what is the relationship between liquidity creation and liquidity risk in China's banking industry? What will happen to the liquidity risk of banks if the scale of loans in the real economy is enlarged and the loan term is prolonged because of the increase in liquidity creation? What will happen to liquidity creation in the real economy if banks strengthen their response to liquidity risk and may reduce lending? The research and analysis of these problems is not only helpful to prevent the potential crisis in the banking system, but also to strengthen the function of banks and other financial institutions in serving the real economy. This paper attempts to expand the existing research from the following two aspects: first, considering the interaction mechanism between the two variables of liquidity creation and liquidity risk, this paper establishes a dynamic panel simultaneous equations model. On the basis of economic theory and research hypothesis, the quantitative relationship among various parts and factors and the numerical characteristics of the model are comprehensively analyzed. Secondly, on the basis of the empirical test of all sample banks, based on the characteristics of different types, heterogeneity and degree of implicit guarantee of Chinese banks, this paper divides them into two categories, and selects different single-equation estimation methods and systematic estimation methods respectively. The relationship between sample liquidity creation and bank liquidity risk and its differences are discussed in more detail. In this paper, the theoretical basis and quantitative methods of liquidity creation, bank liquidity risk are classified, and the related hypotheses and theoretical analysis of the relationship between them are expounded. Finally, based on the microscopic data of 57 commercial banks in China from 2007 to 2015, a model of simultaneous equations between them is established. This paper empirically analyzes the relationship between liquidity creation and liquidity risk of commercial banks based on different samples. The results show that liquidity creation has a significant positive effect on liquidity risk in the case of a full-sample bank regression, whereas liquidity risk has a significant negative effect on the liquidity created by the system estimation method. As for the sample banks, the liquidity creation of the joint-stock banks will have a significant impact on liquidity risk regardless of the estimation method, while the state-owned banks and the urban commercial banks are respectively in the systematic estimation method. The method of single equation estimation shows remarkable effect. The liquidity risk of state-owned banks and joint-stock banks under different estimation methods will have a significant negative impact on their liquidity creation, but the city commercial banks have no obvious relationship in this respect.
【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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