我国上市商业银行系统性风险溢出效应研究

发布时间：2018-07-13 15:10

【摘要】：随着经济全球化和金融国际化的脚步越来越快,各国之间的经济往来越来越密切,金融市场一直处于快速发展的状态,但金融安全性问题也随之越发变得严重。2008年以来,先后出现了美国次贷危机和欧洲债务危机两次大的经济危机,而这两次经济危机蔓延至很多国家导致其经济受损。这种某单个机构发生风险对其它有直接或间接性相关联的金融机构,甚至整个金融市场造成冲击的经济现象即为系统性风险溢出。我国金融市场对外开放的趋势不断增长,而在我国不是很健全的金融领域,银行处于整个经济的核心地位,其密切的业务往来和复杂的网络结构,使单个银行发生风险时,整个银行体系就会产生“多米诺骨牌效应”,单个银行的风险将通过银行间的联系渠道大规模溢出,给整个银行系统,甚至是整个经济社会带来巨大的损失。上市商业银行无论从其规模还是其经济地位,研究其系统性风险溢出效应对防范我国银行业风险都有至关重要的意义。本文以我国16家上市商业银行2012年6月15日至2015年3月31日的周收益率序列为研究对象,首先分别采用VaR模型和基于分位数回归的CoVaR模型度量了16家上市商业银行的风险价值水平,并将两种模型得到的结果进行比较,得出以下结论:CoVaR模型比VaR模型更有效。其次分别对16家上市商业银行的风险溢出效应的大小及方向进行比较说明。再根据16家上市商业银行的性质将其分为国有商业银行、股份制商业银行、城市商业银行三大类,并对这三类商业银行系统性风险溢出大小进行比较分析,得出以下结论:银行间关联度增加影响系统性风险程度;银行规模对风险溢出效应存在显著影响;银行风险控制力不完全影响其风险溢出效应。接着根据实证分析结果提出六条建议:提高银行自身抗风险水平、建立银行系统性风险测量制度、限制商业银行从事高风险业务、调整银行监管重心、搭建银行资本防护提、汲取国际处理系统性风险的经验。本文在对研究结果进行分析时,将数据分析得到的结果和现实中银行发生系统性风险的概率结合起来对银行的系统性风险进行说明,是该课题研究的一个创新的角度。但我国上市商业银行中,有个别银行上市时间较晚,所研究的数据区间较短,不能够完全说明这些银行的系统性风险溢出效应。因此,有必要再过几年对该问题再次用同样的方法进行计算,将得到的结果与现在的结果相比较进行分析。
[Abstract]:With the increasing pace of economic globalization and financial internationalization, the closer economic exchanges between countries, the financial market has been in a state of rapid development, but the financial security problem has become more serious. Since 2008, There have been two major economic crises in the United States and in Europe, which have spread to many countries and have hurt their economies. This kind of economic phenomenon that a single institution has a risk impact on other financial institutions directly or indirectly, even the whole financial market, is called systemic risk spillover. The trend of our country's financial market opening to the outside world is increasing. However, in the financial field which is not very sound in our country, banks are in the core position of the whole economy. Their close business transactions and complex network structure make a single bank at risk. The whole banking system will have a domino effect. The risk of a single bank will spill over through the channel of communication between banks, which will bring huge losses to the whole banking system and even to the whole economy and society. It is very important to study the systemic risk spillover effect of listed commercial banks in terms of their scale and economic status. In this paper, the weekly return sequence of 16 listed commercial banks from June 15, 2012 to March 31, 2015 is taken as the research object. Firstly, the VaR model and the CoVaR model based on quantile regression are used to measure the risk value level of 16 listed commercial banks, and the results obtained from the two models are compared, and the following conclusions are drawn: (1) the ratio CoVaR model is more effective than the VaR model. Secondly, the risk spillover effects of 16 listed commercial banks are compared and explained. According to the nature of 16 listed commercial banks, they are divided into three categories: state-owned commercial banks, joint-stock commercial banks and urban commercial banks. The conclusions are as follows: the increase of interbank correlation degree affects the degree of systemic risk; the scale of bank has significant influence on risk spillover effect; and the risk spillover effect is not completely affected by bank risk control. Then according to the results of empirical analysis, six suggestions are put forward: to improve the bank's own risk resistance level, to establish the system of bank systematic risk measurement, to restrict commercial banks from engaging in high-risk business, to adjust the focus of bank supervision, and to set up a bank capital protection proposal. Learn from international experience in dealing with systemic risk. In this paper, the results of data analysis and the probability of bank systemic risk in reality are combined to explain the systemic risk of the bank, which is an innovative angle of the research. However, among the listed commercial banks in China, some banks have a late listing time, and the data range studied is relatively short, which can not fully explain the systemic risk spillover effect of these banks. Therefore, it is necessary to use the same method to calculate the problem again in a few years, and compare the result with the present one.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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