我国产能过剩行业债务与商业银行风险承担研究
发布时间：2019-01-20 15:38
【摘要】：近年来,由于经济增长速度的放缓和产业结构调整进展远落后于预期,国内制造业企业的产能过剩现象不容乐观。间接融资在我国社会融资体系里面占据主导地位,相关行业的运行状况对商业银行的风险承担水平有很大的影响。2016年,国务院,人民银行先后出台指导意见,明确在守住金融系统风险底线的前提下,加快解决相关行业的产能过剩现象,压缩产能过剩行业企业的债务水平。因此研究产能过剩行业债务与商业银行风险承担的关系有很强的现实意义。本文首先对商业银行风险承担与产能过剩进行了系统的分析研究,进而运用数据包络分析法测算了我国25个行业的产能利用率,明确了样本行业中哪些存在产能过剩现象。然后利用KMV模型测算了样本行业的债务违约率作为商业银行风险承担的代理变量,利用Tobit模型建模进行回归分析,分析结果表明行业的产能过剩现象将使行业债务违约率提高,进而提高商业银行的风险承担水平。为进一步完善商业应行的风险承担机制,把控商业银行风险承担水平,本文给出了以下建议:第一强化信息披露,提高企业和商业银行的信息透明度。第二提高商业银行的风险识别能力,建立风险预警机制。第三进一步完善商业银行经营模式和公司治理结构。
[Abstract]:In recent years, due to the slowdown of economic growth and the progress of industrial structure adjustment, the overcapacity of domestic manufacturing enterprises is not optimistic. Indirect financing plays a leading role in China's social financing system, and the operation of related industries has a great impact on the level of risk-bearing of commercial banks. In 2016, the State Council and the people's Bank of China successively issued guidance. Under the premise of keeping the bottom line of financial system risk, we should speed up solving the overcapacity phenomenon in related industries and reduce the debt level of enterprises in overcapacity industries. Therefore, it is of great practical significance to study the relationship between overcapacity industry debt and commercial banks' risk-taking. In this paper, the risk assumption and overcapacity of commercial banks are systematically analyzed and studied, and then the utilization ratio of capacity in 25 industries in China is calculated by using data envelopment analysis, and the phenomenon of overcapacity in the sample industries is determined. Then using KMV model to calculate the debt default rate of the sample industry as a proxy variable for commercial banks to bear the risk, using the Tobit model to model regression analysis, the analysis results show that the industry overcapacity phenomenon will make the industry debt default rate increase. And then improve the level of risk assumption of commercial banks. In order to further improve the risk-bearing mechanism of commercial banks and control the level of risk-bearing of commercial banks, this paper gives the following suggestions: first, strengthen information disclosure and improve the transparency of information of enterprises and commercial banks. Second, improve the risk identification ability of commercial banks and establish risk warning mechanism. Third, further improve the business model of commercial banks and corporate governance structure.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
，
本文编号：2412161
[Abstract]:In recent years, due to the slowdown of economic growth and the progress of industrial structure adjustment, the overcapacity of domestic manufacturing enterprises is not optimistic. Indirect financing plays a leading role in China's social financing system, and the operation of related industries has a great impact on the level of risk-bearing of commercial banks. In 2016, the State Council and the people's Bank of China successively issued guidance. Under the premise of keeping the bottom line of financial system risk, we should speed up solving the overcapacity phenomenon in related industries and reduce the debt level of enterprises in overcapacity industries. Therefore, it is of great practical significance to study the relationship between overcapacity industry debt and commercial banks' risk-taking. In this paper, the risk assumption and overcapacity of commercial banks are systematically analyzed and studied, and then the utilization ratio of capacity in 25 industries in China is calculated by using data envelopment analysis, and the phenomenon of overcapacity in the sample industries is determined. Then using KMV model to calculate the debt default rate of the sample industry as a proxy variable for commercial banks to bear the risk, using the Tobit model to model regression analysis, the analysis results show that the industry overcapacity phenomenon will make the industry debt default rate increase. And then improve the level of risk assumption of commercial banks. In order to further improve the risk-bearing mechanism of commercial banks and control the level of risk-bearing of commercial banks, this paper gives the following suggestions: first, strengthen information disclosure and improve the transparency of information of enterprises and commercial banks. Second, improve the risk identification ability of commercial banks and establish risk warning mechanism. Third, further improve the business model of commercial banks and corporate governance structure.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
，
本文编号：2412161
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