流动性监管对我国商业银行信贷及宏观经济增长的影响研究

发布时间：2018-05-25 01:31

  本文选题：流动性监管 + 巴塞尔协议　； 参考：《暨南大学》2014年硕士论文

【摘要】：长久以来，在央行和银监会的作用下，我国商业银行资本充足率的监管一直稳步发展。然而鉴于流动性风险的偶发性和监管的复杂性，流动性风险的监管却十分不到位。2008年，，美国金融危机波及全球范围，以《巴塞尔协议》为核心框架的现代银行业监管机构缺少对流动性风险的深入了解，不具备卓有成效的风险预警防范机制。此种情况下，《巴塞尔协议Ⅲ：流动性风险计量、标准和监测的国际框架》应运而生，商业银行流动性风险监管从此迈上了一个新的台阶。 在分析逻辑上，本文遵循这样一个脉络：从理论到现实、从外部到内部、从问题到对策。本文的绪论首先介绍了研究背景以及意义，然后对商业银行流动性风险监管问题从历年的研究成果中总结出本文的研究思路，并提出了本文的创新与不足。本文以巴塞尔Ⅲ最新提出的两个监管指标——净稳定资金比例NSFR和流动性覆盖率LCR为主要研究对象，全面阐述其内涵。紧接着归纳总结了我国流动性监管的发展历程，并指出了现行指标体系的缺陷，然后分析了其他国家在流动性监管方面的经验做法。根据搜集到的16家上市银行的面板数据，本文估算出了我国银行业的各种流动性监管达标状况。之后，采用多元线性回归和面板VAR模型，实证分析了流动性最新监管约束（以流动性比例为替代指标）对我国银行业信贷乃至整个宏观经济的影响。通过分析可以得出结论，流动性比例这一指标对我国信贷的增速有着明显的约束力，且这个指标本身内生性较强，可以用来客观评价流动性风险的达标情况。并在文末，预测了未来流动性监管的发展方向，并针对上文的分析提出了一些政策建议。
[Abstract]:For a long time, under the action of the central bank and the CBRC, the supervision of the capital adequacy ratio of commercial banks in China has been developing steadily. However, given the accidental nature of liquidity risk and the complexity of regulation, the regulation of liquidity risk is far from being in place. In 2008, the US financial crisis spread to the whole world. The modern banking regulators with Basel Accord as the core framework lack a thorough understanding of liquidity risk and have no effective risk warning and prevention mechanism. In this case, Basel III: the International Framework for liquidity risk Measurement, Standards and Monitoring came into being, and the supervision of liquidity risk in commercial banks rose to a new level. In the logic of analysis, this paper follows such a thread: from theory to reality, from outside to inside, from problem to countermeasure. The introduction of this paper first introduces the background and significance of the research, then summarizes the research ideas of this paper from the past years of research results, and puts forward the innovation and deficiency of this paper. In this paper, the main research objects are the net stable capital ratio (NSFR) and the liquidity coverage rate (LCR), which are the two latest regulatory indexes proposed by Basel 鈪

本文编号：1931484