【摘要】：自20世紀(jì)70年代起，伴隨世界經(jīng)濟(jì)、金融秩序的變化，西方各國開始逐步放松金融管制措施，拉開了金融自由化浪潮的帷幕。在這一時(shí)期，銀行機(jī)構(gòu)和金融市場的運(yùn)作效率得到了極大的提升，但銀行倒閉事件的頻繁出現(xiàn)卻也為金融系統(tǒng)的平穩(wěn)發(fā)展蒙上了陰影。學(xué)術(shù)界和各國監(jiān)管當(dāng)局在追溯銀行體系脆弱性根源的過程中，曾一度將銀行競爭的興起視為惡化機(jī)構(gòu)風(fēng)險(xiǎn)，破壞行業(yè)穩(wěn)定的源頭。但隨著研究的深入，該觀點(diǎn)受到了越來越多的質(zhì)疑。反對(duì)者認(rèn)為市場競爭非但不會(huì)導(dǎo)致銀行的風(fēng)險(xiǎn)承擔(dān)，反而有助于其保持審慎和自律。盡管兩派觀點(diǎn)爭執(zhí)不下，但各國當(dāng)局已自此充分認(rèn)識(shí)到競爭對(duì)銀行風(fēng)險(xiǎn)和系統(tǒng)安全的關(guān)鍵作用，并在對(duì)競爭政策的制定和執(zhí)行上逐漸形成了謹(jǐn)慎嚴(yán)格的態(tài)度。 中國銀行業(yè)市場化改革自20世紀(jì)80年代啟動(dòng)以來，通過對(duì)市場參與主體的培育和現(xiàn)代金融企業(yè)制度的確立，特別是進(jìn)入新世紀(jì)后，憑借對(duì)外資銀行的準(zhǔn)入，國有銀行產(chǎn)權(quán)改革的推進(jìn)和人民幣存、貸款利率市場化的深入，成功將市場競爭機(jī)制引入銀行系統(tǒng)，建立及鞏固了行業(yè)市場競爭格局。這在顯著提升銀行經(jīng)營效率和行業(yè)內(nèi)部活力的同時(shí)，卻也使監(jiān)管當(dāng)局安全性監(jiān)管目標(biāo)的實(shí)現(xiàn)面臨著更為嚴(yán)峻的考驗(yàn)。 為明晰中國銀行業(yè)漸進(jìn)化改革進(jìn)程中商業(yè)銀行市場競爭與風(fēng)險(xiǎn)行為的復(fù)雜關(guān)系，健全監(jiān)管當(dāng)局對(duì)新的競爭性環(huán)境下維護(hù)銀行體系穩(wěn)健的認(rèn)知，并對(duì)其當(dāng)前及下一階段安全監(jiān)管框架的構(gòu)建形成參考，本文在傳統(tǒng)銀行競爭風(fēng)險(xiǎn)研究的基礎(chǔ)上，結(jié)合中國銀行業(yè)經(jīng)營和改革實(shí)踐，從“批發(fā)資金融資”、“風(fēng)險(xiǎn)轉(zhuǎn)移”和“信貸甄別”等視角著眼，分別對(duì)存、貸款市場上市場競爭與銀行風(fēng)險(xiǎn)的歷史關(guān)系進(jìn)行了回顧和檢驗(yàn)，并對(duì)各自市場上兩者關(guān)系的運(yùn)行機(jī)制和臨界條件展開了深入探究。 本文的主要?jiǎng)?chuàng)新性工作包括： ①結(jié)合國外經(jīng)驗(yàn)啟示和中國銀行業(yè)融資實(shí)踐，將為傳統(tǒng)理論所忽視，但對(duì)中國銀行業(yè)吸儲(chǔ)行為有深刻影響的銀行間市場批發(fā)資金融資引入經(jīng)典存款競爭框架，通過對(duì)銀行現(xiàn)實(shí)融資組合行為的數(shù)理建模，首先著重研究了存款利率市場化環(huán)境下，價(jià)格自由競爭對(duì)銀行風(fēng)險(xiǎn)行為的內(nèi)在影響機(jī)制。該工作相比目前國內(nèi)學(xué)界在邏輯推論和仿真模擬層面上對(duì)中國未來利率市場化條件下存款競爭風(fēng)險(xiǎn)的預(yù)測，對(duì)這一問題提供了深入細(xì)微的洞察。本文其次通過對(duì)主要模型的簡要擴(kuò)展，補(bǔ)充分析了存款利率嚴(yán)格管制時(shí)期銀行各種非價(jià)格和變相價(jià)格競爭行為對(duì)其風(fēng)險(xiǎn)行為的影響，以及存款利率制度轉(zhuǎn)軌時(shí)期銀行風(fēng)險(xiǎn)行為的變動(dòng)機(jī)制。研究指出：當(dāng)銀行間市場約束不存在時(shí)，存款競爭對(duì)銀行風(fēng)險(xiǎn)存在單向影響；而在銀行間市場約束條件下，市場競爭會(huì)緩解高存款市場份額銀行的風(fēng)險(xiǎn)激勵(lì)，，并刺激低存款市場份額銀行的風(fēng)險(xiǎn)行為。該結(jié)論在零售存款利率自由浮動(dòng)和利率上限管制環(huán)境下均成立。另外，在利率轉(zhuǎn)軌過程中，利率上限的適度提高，并不會(huì)給銀行體系帶來額外風(fēng)險(xiǎn)，相反能有效減少銀行的隱性支付和變相付息行為。 ②針對(duì)傳統(tǒng)研究在從“信貸甄別”視角對(duì)貸款市場競爭風(fēng)險(xiǎn)進(jìn)行解讀時(shí)，僅局限于對(duì)甄別投入變化對(duì)甄別結(jié)果準(zhǔn)確性影響的研究所造成的分析和結(jié)論完整性的欠缺，本文將貸款價(jià)格競爭對(duì)借款人風(fēng)險(xiǎn)分布以及信貸甄別效率的內(nèi)生影響納入研究框架，通過對(duì)競爭性條件下甄別活動(dòng)兩類相反的風(fēng)險(xiǎn)效應(yīng)的數(shù)理分析，厘清了貸款價(jià)格競爭與銀行風(fēng)險(xiǎn)行為關(guān)系“信貸甄別”傳導(dǎo)渠道的運(yùn)行機(jī)制和邊界條件。研究表明：對(duì)于執(zhí)行事前信貸甄別的銀行而言，市場競爭壓力的風(fēng)險(xiǎn)影響取決于甄別投入效應(yīng)（甄別投入對(duì)信息精度和甄別結(jié)果準(zhǔn)確性的作用）與甄別效率效應(yīng)（給定甄別投入，借款人風(fēng)險(xiǎn)構(gòu)成對(duì)甄別難易度以及結(jié)果正確性的影響）的共同作用。前者會(huì)刺激銀行的風(fēng)險(xiǎn)水平，而后者則有益于機(jī)構(gòu)的風(fēng)險(xiǎn)平抑。當(dāng)貸款需求價(jià)格彈性偏低時(shí)，甄別效率效應(yīng)占優(yōu)，競爭與銀行風(fēng)險(xiǎn)反向關(guān)聯(lián)。 ③結(jié)合中國銀行業(yè)利率市場化改革實(shí)踐，分別對(duì)商業(yè)銀行存、貸款市場競爭與風(fēng)險(xiǎn)行為的關(guān)系開展了實(shí)證研究，彌補(bǔ)了國內(nèi)文獻(xiàn)僅著眼于對(duì)銀行綜合市場競爭風(fēng)險(xiǎn)效應(yīng)進(jìn)行評(píng)價(jià)所產(chǎn)生的不足，對(duì)已有成果的分析和結(jié)論做出了擴(kuò)充。在存款競爭風(fēng)險(xiǎn)實(shí)證研究部分，本文將銀行間市場批發(fā)資金融資條件引入傳統(tǒng)實(shí)證模型，在新的框架設(shè)計(jì)下通過對(duì)個(gè)體銀行存款市場競爭壓力的準(zhǔn)確定量，實(shí)證檢驗(yàn)了嚴(yán)格利率管制時(shí)期商業(yè)銀行零售存款競爭、批發(fā)資金融資與風(fēng)險(xiǎn)行為的相互關(guān)系。主要研究結(jié)果發(fā)現(xiàn)：在嚴(yán)格利率管制時(shí)期，存款利率上限控制并未完全抑制銀行的風(fēng)險(xiǎn)動(dòng)機(jī)。各種非價(jià)格競爭和變相價(jià)格競爭行為仍在一定程度上損害了銀行的穩(wěn)定；在貸款競爭風(fēng)險(xiǎn)實(shí)證研究部分，針對(duì)商業(yè)銀行在利率市場化進(jìn)程中日趨重要的價(jià)格競爭行為，本文在對(duì)個(gè)體銀行價(jià)格競爭壓力進(jìn)行精確測算，并對(duì)利率改革過程中市場價(jià)格競爭格局的演變路徑展開詳細(xì)分析的基礎(chǔ)上，實(shí)證研究了信貸自主權(quán)下放以來商業(yè)銀行價(jià)格競爭對(duì)其風(fēng)險(xiǎn)行為的影響。主要研究結(jié)果表明：當(dāng)前在中國貸款市場上，由于價(jià)格競爭水平總體偏低，“風(fēng)險(xiǎn)轉(zhuǎn)移效應(yīng)”占據(jù)主導(dǎo)，價(jià)格競爭有助于緩解銀行信貸風(fēng)險(xiǎn)。但是，由于資本要求監(jiān)管的作用以及長期以來價(jià)格競爭影響力偏低的緣故，價(jià)格競爭對(duì)銀行整體經(jīng)營風(fēng)險(xiǎn)的控制無顯著影響。
[Abstract]:Since the 1970s, with the change of the world economy and financial order, the western countries began to relax the financial control measures, and opened the curtain of the wave of financial liberalization. In this period, the efficiency of the operation of banking institutions and financial markets has been greatly improved, but the frequent occurrence of bank collapse has also cast a shadow on the smooth development of the financial system. In the process of tracing the root causes of the fragility of the banking system, the academic circles and the national regulators have once regarded the rise of the bank's competition as the source of the deterioration of the institutional risk and the stability of the industry. But as the research goes deep, the view has been questioned more and more. Opponents argue that the market competition will not only lead to the risk of the bank, but also to keep it prudent and self-disciplined. Despite the contention of the two factions, national authorities have since been fully aware of the key role of competition in the risk and system security of banks and have gradually taken a cautious and strict attitude towards the development and implementation of competition policy. Since the start of the 1980s, the reform of China's banking market has passed the establishment of the market participation subject and the establishment of the modern financial enterprise system. Especially after entering the new century, the reform of the state-owned banks' property rights and the RMB In-depth of the market of the interest rate of the loan, the market competition mechanism is successfully introduced into the banking system, and the market competition in the industry is established and consolidated. At the same time as the efficiency of the operation of the bank and the internal vitality of the industry are obviously improved, the safety supervision target of the regulatory authorities is faced with a more serious examination. In order to clarify the complex relationship between the market competition and the risk behavior of the commercial banks in the process of the gradual evolution of the Chinese banking industry, the sound supervision authorities will maintain a sound understanding of the banking system in the new competitive environment, and the construction of the current and next stage of the safety supervision framework In this paper, based on the research of the traditional bank's competitive risk, this paper reviews the historical relationship between the market competition and the bank risk in the market of the loan market, from the perspective of the "Financing of wholesale financing", the "risk transfer" and the "credit screening", in combination with the practice of China's banking operation and reform. and the operation mechanism and the critical condition of the relationship between the two markets are deep, Inquiring. The main innovation of this paper Sex work includes: combining foreign experience and the practice of China's banking financing, it will be ignored by the traditional theory, but the financing of the wholesale financing of the inter-bank market which has a profound impact on China's banking and storage behavior is introduced. In this paper, through the mathematical modeling of the bank's realistic financing portfolio, the paper first focuses on the study of the bank's risk behavior under the circumstance of the market-oriented interest rate and the free competition of the price. The internal influence mechanism of China's deposit competition risk under the market-oriented condition of the future interest rate in China compared with the current domestic academic circle at the level of logic inference and simulation is provided. In this paper, through the brief extension of the main model, the paper also analyzes the influence of various non-price and disguised price competition of the bank on the risk behavior of the bank in the strict control period of the deposit interest rate, and the bank risk in the transitional period of the deposit interest rate system. The study points out that, when the inter-bank market constraint does not exist, the deposit competition has a one-way effect on the risk of the bank, and under the constraint of the inter-bank market, the market competition will relieve the risk incentive of the high-deposit market share bank and stimulate the low-deposit market share The risk behavior of the bank. The conclusion is the free floating of the retail deposit interest rate and the upper limit of interest rate. In addition, in the process of the transition of interest rate, the moderate increase of the upper limit of interest rate will not bring additional risks to the banking system, but the implicit payment of the bank can be effectively reduced In view of the traditional research, the paper analyzes the risk of the loan market competition from the perspective of the "credit screening", and is only limited to the analysis of the research on the influence of the change of the input change on the accuracy of the discrimination result. And the internal influence of the loan price competition on the borrower's risk distribution and the credit screening efficiency is included in the research framework. On the basis of the mathematical analysis of the risk effect, the "credit screening" of the relationship between the price competition of the loan and the risk behavior of the bank is clarified. The study shows that the risk of market competition pressure is dependent on the discrimination input effect (the effect of discriminating input on the accuracy of the information and the accuracy of the discrimination result) and the screening efficiency for banks that perform the prior credit screening. Effect (Given the screening input, the borrower's risk constitutes the difficulty of screening and the correctness of the results) The former will stimulate the risk level of the bank and the latter will When the demand price of the loan is low, the efficiency effect of the discrimination is dominant and the competition is competitive. In combination with the practice of China's banking interest rate market-oriented reform, this paper makes an empirical study on the relationship between the commercial bank deposit, the loan market competition and the risk behavior, and makes up the domestic literature, which only focuses on the risk effect on the comprehensive market competition of the bank The lack of evaluation should be carried out and the results have been achieved The analysis and conclusion have been extended. In the part of the empirical research on the risk of deposit competition, this paper introduces the financing conditions of the inter-bank market wholesale finance into the traditional empirical model, and under the new framework design, through the bank deposit of the individual The accurate and quantitative analysis of the market competition pressure has proved that the commercial bank's retail deposit competition and the wholesale-funded finance in the period of strict interest rate control The main research result shows that during the period of strict interest rate control, the upper limit of deposit interest rate is not controlled All kinds of non-price competition and disguised price competition are still in a certain extent to the stability of the bank; in the case of the empirical research of the risk of the loan competition, the commercial bank is in the process of the market-oriented interest rate In this paper, the price competition pressure of individual banks is accurately measured, and the evolution path of the market price competition pattern in the process of interest rate reform is analyzed in detail, and the price of commercial banks since the decentralization of credit autonomy has been studied. The main research results show that, in China's loan market, the price competition level is generally low, the risk transfer effect "takes the lead, and the price competition It is helpful to mitigate the bank credit risk. However, due to the regulatory role of capital requirements and the low influence of long-term price competition, the price competition is the whole of the bank.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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