我国商业银行流动性风险影响因素的实证研究

发布时间：2018-05-25 22:06

本文选题：商业银行 + 流动性风险　；参考：《扬州大学》2017年硕士论文

【摘要】：作为特殊金融中介机构的商业银行,是当代经济运行中的重要枢纽,因而其在国家的经济发展和金融系统中占据了不可或缺的地位。然而,随着经济全球化的不断深入,金融市场的逐步开放,商业银行业面临着更加复杂多变的风险,并且在经济危机中易最先受到威胁。先前数次的金融危机、2008年的次贷危机以及2013年的钱荒均说明了流动性风险是其他各类风险最后的外在体现形式,是导致银行的流动性危机甚至是其破产的重要因素,并且商业银行经营的高杠杆性决定了其进行流动性风险管理的重要性,因此,商业银行的流动性风险的管理也越来越受到了国内外的学者、金融监管机构以及社会公众的重视。2014年,我国颁布了流动性风险管理的办法,将商业银行的流动性风险管理提升到了一个新高度。基于此情形,本文对有关我国商业银行的流动性风险的问题展开了研究。本文首先阐明了研究意义、研究目的及研究思路等,简述了现有的文献关于流动性风险内涵、影响因素、计量和管理的研究成果。其次对流动性风险的相关概念及理论进行了阐述,并且从内部、外部以及其他风险转换的角度讨论了银行流动性风险的形成机制,亦整理了流动性风险管理理论的发展脉络。然后,本文简要列举了测量商业银行的流动性风险的静态指标和动态指标,并结合了我国商业银行的具体情况对多项指标进行了深入地分析;因目前衡量指标较多且比较分散,本文采用了主成分分析法将多个指标整合成一个综合指标,并使用我国商业银行的实际数值来较为全面地测量其流动性风险,为进一步深入探究商业银行的流动性风险的影响因素提供必要前提。基于上述对于商业银行流动性风险的测量,本文运用了 12家样本银行的相关数据,选取了可体现宏观经济发展和银行自身经营状况的部分变量,通过面板数据模型来实证探究影响银行流动性风险的因素。最后,总结了有关银行流动性风险的度量和影响因素的实证结果,其表明商业银行的流动性风险受多种因素的影响,并且银行内部因素对流动性风险的影响高于外部因素;此外,本文从我国的宏观经济发展情况、监管水平以及商业银行自身的经管状况这三个层面提出了有关促进商业银行的流动性风险管理的政策建议。
[Abstract]:As a special financial intermediary institution, commercial bank is an important hub in the contemporary economic operation, so it occupies an indispensable position in the national economic development and financial system. However, with the deepening of economic globalization and the gradual opening of financial markets, commercial banks are facing more complex and changeable risks and are the first to be threatened in the economic crisis. The previous financial crises, the subprime mortgage crisis in 2008 and the money shortage in 2013 all showed that liquidity risk is the last external manifestation of other kinds of risks, and is an important factor leading to the liquidity crisis of banks and even their bankruptcy. And the high leverage of commercial banks determines the importance of liquidity risk management. Therefore, the liquidity risk management of commercial banks has been more and more by domestic and foreign scholars. In 2014, China promulgated the method of liquidity risk management, which promoted the liquidity risk management of commercial banks to a new height. Based on this situation, this paper studies the liquidity risk of commercial banks in China. In this paper, the significance, purpose and thinking of the research are expounded, and the research results on the connotation of liquidity risk, influencing factors, measurement and management are briefly described. Secondly, the related concepts and theories of liquidity risk are expounded, and the formation mechanism of liquidity risk in banks is discussed from the perspective of internal, external and other risk conversion, and the development of liquidity risk management theory is also sorted out. Then, this paper briefly enumerates the static and dynamic indexes to measure the liquidity risk of commercial banks, and makes a deep analysis of many indicators according to the specific situation of commercial banks in China, because there are more and more scattered indexes at present. In this paper, the principal component analysis (PCA) is used to integrate multiple indicators into one comprehensive index, and the actual value of commercial banks in China is used to measure the liquidity risk comprehensively. In order to further explore the liquidity risk of commercial banks to provide the necessary premise. Based on the above measurement of the liquidity risk of commercial banks, this paper uses the relevant data of 12 sample banks to select some variables that can reflect the macroeconomic development and the banks' own operating conditions. Through panel data model to explore the impact of bank liquidity risk factors. Finally, the paper summarizes the empirical results about the measurement of bank liquidity risk and the influencing factors. It shows that the liquidity risk of commercial banks is affected by many factors, and the influence of internal factors on liquidity risk is higher than that of external factors. In addition, this paper puts forward some policy suggestions on promoting liquidity risk management of commercial banks from the three aspects of macro-economic development, supervision level and management situation of commercial banks themselves.
【学位授予单位】：扬州大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

【参考文献】