利率市场化背景下商业银行流动性风险的研究

发布时间：2018-04-26 14:20

本文选题：商业银行 + 流动性风险　；参考：《浙江工商大学》2017年硕士论文

【摘要】：在我国金融市场中,银行业处于主导性地位。我国金融体系具有外生性的特点,商业银行与其他金融机构存在市场分割的特征。商业银行在居民和企业之间以第三方嵌入角色存在,担任吸收全社会消费剩佘资金和为实体经济供给流动性的重任。商业银行的资产负债管理是储蓄到投资的关键环节,因此商业银行的内源流动性与外部市场的流动性相互影响。利率市场化的推进将商业银行资产与负债同时推进市场经受冲击。在我国利率市场化基本完成但尚未彻底市场化的历史时期,分析我国商业银行流动性风险在利率市场进程加快过程中的变动情况,具有重要的理论意义和现实意义。本文系统地梳理了国内外商业银行流动性风险相关研究,在流动性风险产生原因、流动性风险衡量、利率市场化对流动性风险影响等方面对现有文献进行整理。在文献梳理的基础上,本文进一步探讨了利率市场化对商业银行流动性风险的影响机制。为全面分析我国利率市场化进程中商业银行流动性风险水平的变动情况,本文利用Copula-Kernel模型,对内源流动性风险和外源流动性风险均进行衡量,并比较2010-2012年时间段和2013-2015年利率市场化进程加快时间段中内外源流动性风险水平变化情况。接下来,本文再通过构建SVAR模型深入分析利率市场化对商业银行流动性水平的动态影响,最终提出应对利率市场化的风险管理建议。研究发现,利率市场化进程加快的过程中,内源流动性风险水平变化上,利率市场化对大型商业银行的冲击要大于对中小商业银行的冲击;外源流动性风险水平变化上,利率市场化对商业银行的冲击不大,甚至有改善了商业银行外部融资渠道的可能。另外,从脉冲响应上看,市场化利率对商业银行流动性水平的冲击确实要强于非市场化利率,而利率市场化背景下,商业银行的流动性水平对利率水平的影响要弱于利率管制下的影响。因此,当前环境下,如何完善流动性管理技术应成为商业银行提高盈利水平的同时重点关注的问题。
[Abstract]:In our country's financial market, the banking industry is in the leading position. China's financial system has the characteristics of externality, commercial banks and other financial institutions have the characteristics of market segmentation. Commercial banks exist as third party embedded roles between residents and enterprises, serving as the important task of absorbing the surplus funds of the whole society and providing liquidity for the real economy. The management of assets and liabilities of commercial banks is the key link between saving and investment, so the internal liquidity of commercial banks and the liquidity of external markets interact with each other. The promotion of interest rate marketization will push commercial bank assets and liabilities simultaneously to push the market to withstand shocks. In the historical period when the marketization of interest rate is basically completed but not completely marketized, it is of great theoretical and practical significance to analyze the changes of liquidity risk of commercial banks in the process of accelerating the process of interest rate market. This article systematically combs the domestic and foreign commercial banks liquidity risk related research, in the liquidity risk causes, the liquidity risk measurement, interest rate marketization to liquidity risk influence and so on aspect carries on the collation to the existing literature. On the basis of literature review, this paper further discusses the influence mechanism of interest rate marketization on liquidity risk of commercial banks. In order to analyze the changes of liquidity risk level of commercial banks in the process of interest rate marketization, this paper uses Copula-Kernel model to measure both endogenous liquidity risk and exogenous liquidity risk. The change of liquidity risk level of internal and external sources in the period of 2010-2012 and 2013-2015 is compared with the acceleration of interest rate marketization in 2013-2015. Then, this paper analyzes the dynamic influence of interest rate marketization on the liquidity level of commercial banks through the construction of SVAR model, and finally puts forward the risk management suggestions to deal with the marketization of interest rate. It is found that in the process of accelerating the process of interest rate marketization, the level of endogenous liquidity risk changes, the impact of interest rate marketization on large commercial banks is greater than that on small and medium-sized commercial banks, and the external liquidity risk level changes. Interest rate marketization has little impact on commercial banks, and even improves the external financing channels of commercial banks. In addition, from the impulse response point of view, the impact of market-oriented interest rate on the liquidity level of commercial banks is indeed stronger than that of non-market-oriented interest rate, and under the background of market-oriented interest rate, The influence of liquidity level of commercial banks on interest rate level is weaker than that under interest rate control. Therefore, under the current environment, how to perfect the liquidity management technology should become the commercial bank to raise the profit level at the same time the important question which pays close attention to.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.5;F832.33

【参考文献】