基于流动性风险管理的中国上市商业银行债券投资影响因素研究

发布时间：2018-01-01 13:39

本文关键词：基于流动性风险管理的中国上市商业银行债券投资影响因素研究　出处：《上海师范大学》2017年硕士论文　论文类型：学位论文

【摘要】：商业银行是历史最为悠久、业务范围最为广泛、对社会经济生活影响面最大的一类金融机构,特别是在我国当前市场发展尚未成熟的情况下,商业银行在国民经济中发挥着举足轻重的作用。流动性风险作为商业银行日常运营过程中最广泛面临的一种风险,而且一旦发生流动性危机,除了造成银行经营困难、资产损失之外,还可能造成银行破产甚至引发金融市场系统性危机。因此,商业银行需要非常重视自身流动性风险情况,充分做好流动性风险的管理。目前,虽然债券类资产仅次于贷款的第二大类资产,但是我国商业银行长期以来的增长模式主要就是靠存贷利差,银行的经营管理层对债券投资重视程度不够,相关的风险控制措施和管理机制也不够精细。随着我国市场经济体制改革和利率市场化改革,债券投资在商业银行经营中的地位也变得越来越重要。债券投资不仅可以改善银行资产的流动性状况,加强银行的流动性风险管理,还可以提升银行的利润空间,改善银行资产结构,增强银行的综合竞争力。本文在借鉴经典的Diamond-Dybvig(1983)模型基础上,结合中国当前商业银行的具体情况,建立了存在流动性冲击的商业银行债券投资模型。通过对模型的分析,论文分析了不同流动性需求下商业银行的债券投资模型和期望利润,提出了研究假设。然后本文通过模拟数据模拟了不同情景下银行的现金、债券、贷款持有量、期望利润、交易性债券比例、可供出售债券比例及持有至到期债券比例,对本文提出的研究假设进行了验证。最后,本文基于经验数据建立了关于银行债券投资的面板模型,通过对2007-2015年上市商业银行和银行间债券市场的相关数据进行分析研究,发现预期流动性需求越大,商业银行持有的交易性债券的比例越高、持有至到期债券的比例越低,而预期的流动性需求越大,可供出售债券的比例并没有越小,而银行的平均贷款利率、存款规模、债券市场流动性、银行存贷比等因素对银行的债券投资存在显著影响。因此,商业银行要充分发挥债券投资的流动性作用,科学合理地制定债券投资策略,并根据市场环境的变化及时进行相应的调整。而中央银行在制定货币政策时,应该考虑商业银行债券投资对货币政策实施效果的影响,调高货币政策准确性与有效性。
[Abstract]:Commercial banks have the longest history, the most extensive business scope, and have the greatest influence on the social and economic life of a kind of financial institutions, especially in our country's current market development is not mature. Liquidity risk is the most widely faced risk in the daily operation of commercial banks, and once liquidity crisis occurs. In addition to causing bank management difficulties, asset losses, but also may cause bank bankruptcy or even lead to financial market systemic crisis. Therefore, commercial banks need to attach great importance to their liquidity risk situation. At present, although bond assets are second only to loans, the long-term growth pattern of commercial banks in China is mainly based on deposit and loan spreads. The management of banks pay less attention to bond investment, and the related risk control measures and management mechanisms are not precise enough. With the reform of market economic system and interest rate marketization in China. Bond investment is becoming more and more important in commercial banks. Bond investment can not only improve the liquidity of bank assets, but also strengthen the liquidity risk management of banks. It can also improve the profit space of banks, improve the structure of bank assets, and enhance the comprehensive competitiveness of banks. This paper draws lessons from the classic Diamond-Dybvigm 1983 model. According to the current situation of commercial banks in China, a bond investment model of commercial banks with liquidity shock is established. This paper analyzes the bond investment model and expected profit of commercial banks under different liquidity requirements, and puts forward the research hypotheses. Then, the paper simulates the cash and bond of commercial banks under different scenarios through the simulation data. Loan holdings, expected profits, the proportion of tradable bonds, the proportion of bonds available for sale and the proportion of bonds held to maturity, the research hypotheses proposed in this paper are verified. Finally. Based on the empirical data, this paper establishes the panel model of bank bond investment, and analyzes the relevant data of listed commercial banks and interbank bond market from 2007 to 2015. It is found that the greater the expected liquidity demand, the higher the proportion of commercial banks holding trading bonds, the lower the proportion of bonds held to maturity, and the greater the expected liquidity demand, the proportion of bonds available for sale is not smaller. However, the average loan interest rate, deposit size, bond market liquidity and deposit-loan ratio of banks have a significant impact on the bond investment. Therefore, commercial banks should give full play to the liquidity role of bond investment. Scientific and reasonable bond investment strategy and timely adjustment according to the changes in the market environment. And the central bank in the formulation of monetary policy. The influence of commercial bank bond investment on the effect of monetary policy implementation should be considered, and the accuracy and effectiveness of monetary policy should be improved.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【相似文献】