商业银行流动性风险及其经济后果研究

发布时间：2018-03-04 12:33

  本文选题：银行流动性风险　切入点：流动性风险后果　出处：《哈尔滨工业大学》2017年博士论文　论文类型：学位论文

【摘要】：2008年金融危机中,受到流动性枯竭影响而导致银行挤兑的事件频出,单个银行流动性风险的集中爆发,在银行间传递,并蔓延至金融市场,引起了全球经济下滑。如何对商业银行的流动性风险进行识别、管理和有效控制已成为世界性的银行管理新课题。商业银行的流动性风险分为宏观和微观两个层面。银行流动性风险的微观层面,即银行流动性风险,是银行内部各项经营活动所导致的结果风险。随着金融市场的快速发展,银行面临着资金流动愈加频繁的状况及迅速变幻的经营环境。深入研究流动性风险的成因并明确其经济后果是商业银行有效控制流动性风险的重要前提。本文研究目的在于确定商业银行流动性风险及其经济后果。采用理论分析和实证检验相结合的方法进行逻辑推演及假设验证。从委托代理理论出发,构建了含有表内及表外经营项目的商业银行流动性模型,并分析存贷款之间的协同效应,以最终厘清商业银行流动性风险的形成机理。从商业银行流动风险的基础理论出发,对商业银行业务进行了详细分解以确定流动性风险产生的根源,并分析了商业银行流动性及其风险形成及其影响。在此基础上建立了委托代理视角下存款,贷款和承诺信用贷款,融资等商业银行业务模型。从存款、贷款两方面确定了商业银行流动性风险的成因:由于取款的不确定性导致了存款方面流动性风险的形成;由于信用承诺贷款的不确定性,加上传统贷款项目成功与否的不确定性,导致了贷款方面的流动性风险。并详细分析了各银行业务对流动性风险产生的影响,流动性风险对商业银行业绩产生的影响,存款和贷款是否存在协同效应,该效应对流动性有何等影响,能否放大或缩小流动性风险等问题并提出相应的研究假设。为了验证研究假设,且更为深入且精确地探寻商业银行流动性风险的动因及影响,本文采用样本细分及分段研究等方法,使用美国银行数据作为对比,从新角度分析中国商业银行流动性风险状况,以期为中国商业银行流动性风险管理提供参考。在研究过程和方法方面,使用更为科学的样本分组及窗口期分段分析方法,根据不同样本组在不同研究窗口期经营活动的差异进行分析和筛选,从而识别并确定商业银行流动性的影响因子。随后根据前述影响因子建立流动性回归模型,并对模型进行优化。并在此基础上计算出流动性风险,同时根据美国及中国商业银行实际数据分析流动性风险对存贷款协同性及经营业绩的影响。本文在创新性理论分析的基础上,使用了更精确的实证研究方法,厘清了商业银行流动性风险动因及其经济后果的逻辑关系,并从多角度分析流动性管理相关问题。通过以上研究过程,得到研究结果:将美国数据作为比较标准,虽然,当期中国商业银行流动性较高,但同时中国商业银行也存在活期存款率过高,核心资本率偏低,贷款增长过快及不良率过高等,暴露出中国商业银行流动性风险防范意识短缺等问题,中国商业银行领域仍然面临较大的流动性管理压力及流动性风险突发事件挑战。为避免遭受流动性风险带来的损失,本文提出了适用于中国商业银行流动性风险现状的政策建议。本文的主要贡献有:在理论分析中,从委托代理角度出发,系统地建立起商业银行表内表外银行业务三期模型。由于流动性风险是一种综合性的结果风险,因此,单独分析存款及贷款和承诺信用贷款过于片面。从银行的表内和表外业务单独及结合的角度出发,本文构建的商业银行流动性模型体现了存款和贷款两个层面的不确定性,更加符合商业银行的经营实际情况;本文模型使得委托代理问题下的商业银行流动性风险的定向分析有了定量结果,并填补了商业银行流动性课题中存贷款的协同效应及其变化相关理论研究的空白,对KRS流动性模型结论(存贷款协同效应是银行高效运作的结果)提出了挑战;改进的现有流动性模型理念,较大地修正了模型约束条件,对商业银行存款、取款、融资的时点以及额度进行调整,得到更具广泛应用性的约束条件,从而使得模型结果更契合实际;从超额现金持有理论出发,提出了流动性风险的流动性模型残差计算法,弥补了现有流动性风险计算方法中静态指标法衡量信息单一及动态指标法存在主观偏倚等不足;在实证研究中,确定了不同结构的银行流动性分组,并采用跟进式的研究方法,使研究更贴近实际情况。使用对比分析方法,使用发达国家银行数据进行检验得出的结果对中国商业银行的流动性风险管理具有前瞻性参考意义。
[Abstract]:In the 2008 financial crisis, liquidity impact caused by depletion of bank runs frequent events, centralized liquidity risk of individual banks broke out, transfer between bank and spread to the financial market, due to the global economic slowdown. How the liquidity risk of commercial banks for the identification, management and effective control has become a new topic bank management in the world. The liquidity risk of commercial banks is divided into two macro and micro level. Micro level of bank liquidity risk, bank liquidity risk, banks within the various business activities due to the result of risk. With the rapid development of financial markets, the bank faces liquidity situation more frequent and a rapidly changing business environment. Studying the reasons of liquidity risk and the economic consequences of commercial banks is an important prerequisite for effective control of liquidity risk. This paper studies. Is to determine the liquidity risk of commercial banks and its economic consequences. By using the method of combining theoretical analysis and empirical test of logical inference and hypothesis testing. Starting from the principal-agent theory, constructs the liquidity model with table and table outside the business of commercial banks, and analyzes the synergistic effect between deposits and loans, to form a mechanism finally clarify the liquidity risk of commercial banks. From the basic theory of commercial bank liquidity risk, the business of commercial banks in detail to determine the source of liquidity risk, and analyzes the commercial bank liquidity risk and its formation and influence. Based on the established agency from the perspective of deposits, loans and commitments credit loans, commercial bank financing business model. From two aspects of deposits, loans to determine the causes of the liquidity risk of commercial banks: because of the uncertainty of withdrawals The formation of deposit liquidity risk; credit loan commitment due to uncertainty, uncertainty and the success of the project and the traditional loans, resulting in liquidity risk loans. And a detailed analysis of the impact of the banking liquidity risk, liquidity risk effect on the performance of commercial banks the existence of synergies, deposits and loans, the effect of the liquidity effect how, can enlarge or reduce the liquidity risk and other issues and put forward the corresponding research hypothesis. In order to verify the research hypotheses, and more motivation and influence deeply and accurately explore the liquidity risk of commercial banks, this paper uses the method of sample segmentation and Study on segmentation, the use of American bank data for comparison, analysis of the status of commercial bank liquidity risk China from a new angle, in order to commercial bank liquidity risk management Chinese Provide reference. In the research process and methods, the use of more scientific sample grouping and window segmentation method, based on the analysis and selection of differences in different research window during the business activities of the different sample groups, to identify and determine the factors influencing the liquidity of commercial banks. Then according to the influence factors to establish the regression model of liquidity, and optimize the model. The liquidity risk is calculated and based on this, according to the United States and the commercial bank China actual data analysis impact of liquidity risk on loan collaboration and performance. The analysis based on innovative theory, using the empirical research method is more accurate, to clarify the logical relationship the commercial bank liquidity risk factors and economic consequences, and analyses the related problems of liquidity management from different angles. Through the above research, the results obtained The US data as a comparison standard, although higher current commercial bank Chinese liquidity, but at the same time, commercial banks are also Chinese deposit rate is too high, the low rate of core capital, loan growth is too fast and too high rate of bad, exposed the liquidity problem of commercial bank risk prevention awareness China wind shortage, the commercial bank China field still face greater pressure on liquidity management and liquidity risk emergencies challenge. To avoid the liquidity risk management is proposed in this paper is suitable for the commercial bank liquidity risk status Chinese policy suggestions. The main contributions of this paper are: in the theoretical analysis, starting from the principal-agent perspective, to establish a system the commercial bank balance sheet banking three period model. Because the liquidity risk is a comprehensive result of risk, therefore, a separate analysis of deposits and loans and credit loan commitments Too one-sided. From the point of view of the bank's internal and external business alone and combined with the commercial bank liquidity model in this paper reflects the two levels of deposits and loans of uncertainty, more in line with the commercial bank's management of the actual situation; this model makes the directional analysis of liquidity risk under the principal-agent problem of commercial banks the quantitative results, and fill the blank of research on the synergy effect and changes of related theory of liquidity of commercial banks in the loan, the KRS mobility model conclusion (loan synergy is the efficient operation of the bank) challenge; improved the existing liquidity model concept, fixed constraints greatly the withdrawal of commercial banks, deposit, financing, and time limit adjustment, get more extensive application of constraints, which makes the model more realistic; The excess cash holding theory, put forward the liquidity model residual liquidity risk calculation method, static index calculation method makes up the liquidity risk existing in the method of measuring the information of single and dynamic index method of subjective bias and other issues; in the empirical study, to determine the different structure of bank liquidity group, and the follow up the research method, to study closer to the actual situation. Using the method of comparative analysis, test results and forward-looking reference to the liquidity risk management of commercial banks Chinese use data banks in developed countries.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.33
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本文编号：1565672