商业银行非利息收入的内生性研究

发布时间：2018-03-20 00:33

本文选题：非利息收入　切入点：内生性　出处：《安徽农业大学》2014年硕士论文　论文类型：学位论文

【摘要】：商业银行表外业务的非利息收入对商业银行经营收入的影响越来越大,本文使用基于高阶矩工具变量的豪斯曼检验研判商业银行表外业务的非利息收入,发现非利息收入实质上是商业银行的内生性收益,是商业银行基于非传统业务活动获得的多样化的内生性收益。运用条件异方差模型分析商业银行调整经营方式开发新的业务渠道拓展多样化收益的策略,结果表明商业银行的风险溢价与商业银行的表外业务收入正相关。分析非利息收入与利息收入对商业银行经营收入的影响,结果显示：非利息收入能够起到分散商业银行经营风险的作用；非利息收入与利息收入具有较高的顺周期性和同步性；利息收入年均复合增长率高于非利息收入的年均复合增长率,但是商业银行越来越重视表外业务活动的拓展,非利息收入对于商业银行收益的贡献与日俱增；利息收入的波动率高于非利息收入的波动率,说明我国商业银行仍然以利息收入为主的现状。商业银行经营的核心是风险,因此如何更加合理、更加科学的衡量风险、控制风险必须被放到重要的战略位置进行考虑。通过本文的研究分析,我们发现传统的衡量商业银行风险的方法-VaR模型,其本身是依赖于商业银行收益率波动的,通过GMM估计发现市场风险溢价对于ROA的影响非常小,这同时也说明使用仅仅考虑系统性风险的措施去衡量商业银行收益是不完善的,而收益率波动模型相较于市场风险溢价模型而言,不仅考虑系统性风险而且收益率波动模型也同时兼顾了特殊风险的定价。虽然收益率波动在衡量个股或者非多样化的投资组合的时候会高估风险,但是由于特殊风险的粒子性,波动率能够规避肥尾的影响。因此,收益率波动相较于市场风险溢价更适合衡量商业银行经营风险。目前中国商业银行也在积极拓展非利息收入业务,但应该注意实施差异化战略,并且力求确保非利息收入与利息收入之间的动态平衡发展。其次,为了保证非利息收入业务健康平稳发展,需要制定科学合理监管非利息收入业务活动的策略,可以考虑安全组合、科学对冲等方式。由于风险高的商业银行表现为积极从事非利息收人业务,因此监管当局对于非利息收入业务监管的重点应放在资本充足率低、信用风险高的银行上。综上,在衡量商业银行风险方法的选择上应该由传统的VaR模型逐渐过渡到收益率波动模型,并且注重商业银行利息收入与非利息收入的结构优化。
[Abstract]:The non-interest income of off-balance-sheet business of commercial banks has more and more influence on the operating income of commercial banks. In this paper, the non-interest income of off-balance-sheet business of commercial banks is studied by using the Hausman test based on higher-order moment tool variables. It is found that non-interest income is essentially the endogenous income of commercial banks. This paper analyzes the strategy of commercial banks to develop new business channels and develop diversified income by using conditional heteroscedasticity model. The results show that the risk premium of commercial banks is positively related to the off-balance-sheet income of commercial banks, and the influence of non-interest income and interest income on the operating income of commercial banks is analyzed. The results show that the non-interest income can disperse the business risk of commercial banks, and the non-interest income and interest income have high procyclicality and synchronism. The annual compound growth rate of interest income is higher than that of non-interest income, but commercial banks pay more and more attention to the expansion of off-balance-sheet business activities, and the contribution of non-interest income to commercial banks' income is increasing. The fluctuation rate of interest income is higher than that of non-interest income, indicating that the current situation of commercial banks in our country is still dominated by interest income. The core of commercial bank management is risk, so how to measure risk more reasonably and scientifically. Control risk must be considered in an important strategic position. Through the research and analysis of this paper, we find that the traditional method of measuring commercial bank risk-VaR model is dependent on the volatility of commercial bank return. Through the GMM estimate, we find that the market risk premium has very little effect on ROA, which also shows that it is not perfect to use measures that only consider systemic risk to measure the return of commercial banks. Compared with the market risk premium model, the return volatility model, The volatility model not only considers systemic risk, but also takes into account the pricing of special risk. Although volatility of return can overestimate risk when measuring individual stock or non-diversified portfolio, but because of the particularity of special risk, Volatility can avoid the influence of fat tail. Therefore, the volatility of yield is more suitable to measure the operating risk of commercial banks than the market risk premium. At present, Chinese commercial banks are also actively expanding their non-interest income business. However, attention should be paid to the implementation of the differentiation strategy and efforts should be made to ensure a dynamic balance between non-interest income and interest income. Secondly, in order to ensure the healthy and stable development of the non-interest income business, It is necessary to formulate a scientific and reasonable strategy for regulating non-interest income business activities. We can consider security portfolios, scientific hedging, etc. Since high-risk commercial banks are actively engaged in non-interest income business, Therefore, the regulatory authorities should focus on banks with low capital adequacy and high credit risk. The traditional VaR model should be transferred to the rate of return fluctuation model and the structure optimization of interest income and non-interest income of commercial bank should be emphasized.
【学位授予单位】：安徽农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.33

【相似文献】