中国商业银行流动性风险监管研究

发布时间：2017-12-28 21:39

本文关键词：中国商业银行流动性风险监管研究　出处：《天津财经大学》2016年博士论文　论文类型：学位论文

【摘要】：商业银行融通资金的本质要求其必须时刻防范流动性风险。流动性风险不仅会导致商业银行经营困难甚至面临破产风险,而且会对金融系统和实体经济带来巨大的负面冲击。然而在实践业务中,引发流动性风险原因的多样性使得商业银行和监管当局都很难准确捕捉和防范潜在的流动性风险。次贷危机爆发后,很多风险管理体系完善和资本充足率较高的银行都因为流动性枯竭而快速倒闭,全球银行业因此遭受重创,这暴露出全球商业银行流动性风险监管体系存在较多漏洞。各国监管当局和学者随即开始反思和探讨原有的商业银行流动性风险监管体系,共同推动了全球流动性风险监管的改革进程。巴塞尔委员作为全球银行业监管政策制定的引领者和推动者,开创性地提出了两个用于监管商业银行流动性风险的定量指标,即流动性覆盖率和净稳定资金比例,这使得商业银行流动性风险监管的新时代也随之到来。之后,包括我国在内的巴塞尔委员会成员国开始陆续引入巴塞尔III流动性风险监管指标。目前,全球经济仍在调整恢复,我国经济也进入"新常态",经济下行压力凸显。同时,利率市场化、互联网金融等使我国金融市场环境和金融业态发生了巨大变化,这就造成商业银行所需应对的流动性风险管理压力变得更大了。因此,巴塞尔III流动性风险监管标准在全球范围内实施后,我国商业银行的巴塞尔III流动性风险监管指标是否达标?在使用新监管指标进行度量后,我国商业银行的流动性风险是否呈现出了原有监管指标未曾发现的新特征?同时,在新的宏观金融环境下,新监管指标会对我国商业银行的信贷供给、盈利能力和资本充足水平产生哪些影响?这些问题都将是本文所关注的,这对于商业银行更好地应对新监管环境,提升国际竞争力,以及监管当局更有效地实施流动性风险监管,进而提高我国金融体系的稳定性具有较高的理论和实践意义。本文首先梳理了商业银行流动性风险的监管理论,分析了金融危机前后全球银行业流动性风险监管面临的新形势以及监管当局的流动性风险监管改革实践,尤其是对我国商业银行在新常态时期遇到的流动性风险监管压力以及我国监管当局对商业银行流动性风险监管框架的革新进行了总结。认为巴塞尔III流动性风险监管规则将是全球商业银行流动性风险监管的指引,虽然两个监管指标创立所依据的是发达国家的经验数据,但全球各国和地区很有必要对其进行消化吸收,并以此增强自身的流动性风险监管能力。其次,本文对我国41家商业银行的流动性覆盖率和净稳定资金比例进行了测算。总体上看,我国大部分商业银行的指标测度值都比较高,意味着极端短期流动性风险和期限转换风险发生的概率较小。还有一些银行的指标测度值波动较大,在未来应加强监测频率。但从分业来看,我国不同类型商业银行的指标测度值存在较大不同。根据流动性覆盖率的测算发现:地方性商业银行的流动性覆盖率相对较高,短期流动性风险也就较低;中小银行的优质流动性资产中现金及中央银行存放款项占据绝对位置;中小银行现金流出项目主要集中在同业存款。而根据净稳定资金比例的测算发现:国有银行的期限转换风险较低;地方性商业银行的资金来源比较集中,主要是客户存款和股权;中小银行净贷款占比较低,资金流向更加多元。再次,本文选取13家商业银行2007-2013年的数据,使用面板模型对流动性比例、流动性覆盖率和净稳定资金比例这三个指标在我国的监管有效性展开了实证分析。实证发现:净稳定资金比例在我国银行业的适用性较强,流动性比例和流动性覆盖率对于我国银行业的监管有效性则不太显著。从银行分业来看,流动性比例对国有银行来说监管会更有效,对股份制银行和地方性银行的监管有效性会相对较低。流动性覆盖率对国有银行和地方性银行来说监管会更有效,净稳定资金比例对股份制银行和地方性银行来说监管会更加有效。最后,本文从银行信贷供给、盈利水平和资本充足水平等角度出发,通过面板模型实证分析了流动性覆盖率和净稳定资金比例这两个新监管指标对商业银行的多方面影响。信贷供给影响方面,当货币政策收紧时,我国商业银行的巴塞尔Ⅲ流动性风险监管指标值越低,其贷款减少越多,而监管指标值越高的银行贷款收缩程度越小;反之亦然。盈利能力影响方面,流动性覆盖率和净稳定资金比例均会消弱商业银行的盈利能力,但净稳定资金比例对商业银行盈利能力的影响较弱。资本充足水平影响方面,流动性覆盖率监管标准的实施不利于商业银行资本充足水平的提高,而净稳定资金比例监管标准的实施有助于提高商业银行的资本充足水平。
[Abstract]:The essence of financing for commercial banks requires that they must keep away from the liquidity risk at all times. Liquidity risk will not only lead to commercial banks' business difficulties or even bankruptcy risks, but also bring a huge negative impact on the financial system and the real economy. However, in practice, the diversity of causes of liquidity risk makes it difficult for commercial banks and regulatory authorities to accurately capture and prevent potential liquidity risks. After the outbreak of the subprime mortgage crisis, many banks with high risk management system and high capital adequacy ratio collapsed rapidly due to the exhaustion of liquidity. The global banking industry suffered heavy losses, which revealed that there are many loopholes in the regulation system of global commercial bank liquidity risk. Regulatory authorities and scholars began to reflect on and explore the original regulatory system of liquidity risk of commercial banks, and jointly promote the reform process of global liquidity risk regulation. Basel as a member of global banking regulatory policy leader and facilitator of a two for the liquidity risk of commercial bank regulatory quantitative indicators, liquidity coverage ratio and net stable funding ratio, which makes the new era of commercial bank liquidity risk supervision is coming. After that, the member states of the Basel Committee, including China, began to introduce the indicators of liquidity risk supervision in Basel III. At present, the global economy is still adjusting and restoring, China's economy has also entered a "new normal", and the economic downside pressure is prominent. At the same time, interest rate marketization and Internet finance have made great changes in China's financial market environment and financial format, which makes commercial banks need to cope with the pressure of liquidity risk management. Therefore, the standard of liquidity risk supervision in Basel III implementation in the global scope, whether the indicators of liquidity risk supervision in Basel III Commercial Bank of our country standard? In the use of new regulatory indicators to measure, the liquidity risk of commercial banks in China are showing the new features of the original regulatory indicators at the same time, in the not found? The new macro financial environment, the new regulatory indicators will impact on China's commercial bank credit supply, profitability and capital adequacy level? These issues will be the focus of this, for commercial banks to better respond to the new regulatory environment, enhance the international competitiveness, and the regulatory authorities more effective implementation of liquidity the risk supervision, and improve the stability of the financial system of our country has a high theoretical and practical significance. This paper first analyzes the liquidity risk of commercial bank supervision theory, analyzes the practice of liquidity risk supervision reform in the new situation before and after the financial crisis, the global banking liquidity risk supervision faces and regulatory authorities, especially for China's commercial banks in the new normal period due to the liquidity risk regulatory pressure and the regulatory authorities in China the reform of the framework of the supervision of liquidity risks of commercial banks are summarized. That rule of liquidity risk supervision in Basel III will be the global liquidity risk of commercial bank regulatory guidelines, although the two regulatory indicators created is based on the experience of developed countries and regions around the world, but it is necessary for the digestion and absorption, and thus enhance their liquidity risk supervision ability. Secondly, this paper calculates the liquidity coverage rate and the net stable fund ratio of 41 commercial banks in China. Generally speaking, most commercial banks in China have high index measurement value, which means that the probability of extreme short term liquidity risk and deadline transition risk is relatively small. There are also some banks' index measurement values fluctuating, and the monitoring frequency should be strengthened in the future. However, from the point of view of the division of business, the index of different types of commercial banks in China is quite different. According to the calculation of liquidity coverage ratio: the local commercial bank's liquidity coverage is relatively high, short-term liquidity risk is low; cash and central bank liquidity asset quality of small and medium sized banks in deposits occupy the absolute position; the project of small and medium banks cash outflow mainly concentrated in interbank deposits. According to the calculation of the proportion of net stable funds, it is found that the risk of the transition period of state-owned banks is relatively low. The sources of funds for local commercial banks are relatively concentrated, which are mainly customer deposits and equity; small and medium-sized banks net loans are relatively low, and the flow of funds is more diverse. Thirdly, this paper selects 2007-2013 commercial banks' data for 13 years, and uses panel data to analyze the three indicators of liquidity ratio, liquidity coverage and net stable capital ratio in China's regulatory effectiveness. It is found that the proportion of net stable capital in China's banking industry is relatively strong, and the liquidity ratio and liquidity coverage are not very effective in banking regulation in China. From the bank division, the liquidity ratio is more effective for the state-owned banks, and the effectiveness of the supervision of the joint-stock banks and the local banks will be relatively low. Liquidity coverage will be more effective for state-owned banks and local banks. The proportion of net stable capital will be more effective for joint stock banks and local banks. Finally, from the perspective of bank credit supply, profitability and capital adequacy level, the panel model is applied to analyze the two new regulatory indicators of liquidity coverage and net stable capital ratio. In the aspect of credit supply, when the monetary policy is tightening, the lower the regulatory risk index of Basel III liquidity risk of commercial banks is, the more the loans will be reduced, and the higher the regulatory index value is, the smaller the degree of bank loan contraction. In terms of profitability, liquidity coverage and the proportion of net stable funds will weaken the profitability of commercial banks, but the proportion of net stable funds is to business.
【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.33

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