【摘要】：流動(dòng)性是商業(yè)銀行經(jīng)營(yíng)的基礎(chǔ),對(duì)其生存發(fā)展至關(guān)重要,并且相比信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn),流動(dòng)性風(fēng)險(xiǎn)有傳染性和系統(tǒng)性的特點(diǎn),處理不好甚至?xí)l(fā)整個(gè)金融系統(tǒng)的崩潰。但因?yàn)殂y行業(yè)長(zhǎng)久以來(lái)作為國(guó)家保護(hù)行業(yè),一直以來(lái)受到國(guó)家信用資金支持和信譽(yù)保障,這就造成我國(guó)商業(yè)銀行的風(fēng)險(xiǎn)管理水平較低。隨著資本市場(chǎng)的完善,互聯(lián)網(wǎng)金融的發(fā)展,投資渠道的豐富使商業(yè)銀行儲(chǔ)蓄存款來(lái)源大量減少,直接融資渠道的多樣促使大量資金繞開(kāi)銀行中介機(jī)構(gòu)進(jìn)行直接融資。商業(yè)銀行壟斷地位日漸降低,其媒介功能逐漸被弱化,金融脫媒正在呈現(xiàn)出復(fù)雜化、多層次化的趨勢(shì),商業(yè)銀行的經(jīng)營(yíng)外部環(huán)境發(fā)生重大改變,流動(dòng)性也面臨著更加大的壓力。所以在這樣的環(huán)境下,研究金融脫媒對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的影響具有重要理論和現(xiàn)實(shí)意義:一方面,相關(guān)文獻(xiàn)沒(méi)有系統(tǒng)地研究?jī)烧咧g的關(guān)系,本文的研究能夠彌補(bǔ)相關(guān)研究的空白,有重要的理論意義;另一方面,本文利用最新的數(shù)據(jù)建立計(jì)量模型,從實(shí)證上驗(yàn)證理論分析的正確性,為以后研究者提供參考。本文以全新的視角,采用文獻(xiàn)研究法、數(shù)據(jù)圖表分析法、定量與定性、理論與實(shí)證等方法,結(jié)合金融脫媒與流動(dòng)性風(fēng)險(xiǎn)的相關(guān)理論,首先立足于我國(guó)國(guó)情,對(duì)金融脫媒進(jìn)行了重新定義,分別從我國(guó)金融脫媒的現(xiàn)狀發(fā)展、原因,對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的影響路徑這三個(gè)方面定性分析了對(duì)流動(dòng)性風(fēng)險(xiǎn)的影響。然后選取金融脫媒的資產(chǎn)方、負(fù)債方、技術(shù)方脫媒三個(gè)指標(biāo),和流動(dòng)性比率、中長(zhǎng)期存貸比兩個(gè)代表流動(dòng)性風(fēng)險(xiǎn)的指標(biāo),運(yùn)用向量自回歸方法(vector autoregressive model)分別建立模型,利用脈沖響應(yīng)、方差分解函數(shù)實(shí)證研究金融脫媒對(duì)我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的動(dòng)態(tài)沖擊。最后通過(guò)研究發(fā)現(xiàn),金融脫媒程度越強(qiáng),商業(yè)銀行面臨流動(dòng)性風(fēng)險(xiǎn)危機(jī)越大,并且直接融資占比上升造成的銀行資產(chǎn)端脫媒對(duì)流動(dòng)性風(fēng)險(xiǎn)的影響強(qiáng)于負(fù)債端脫媒。在實(shí)證分析的基礎(chǔ)上,針對(duì)商業(yè)銀行的資產(chǎn)、負(fù)債、技術(shù)、風(fēng)險(xiǎn)意識(shí)等方面,針對(duì)性提出了應(yīng)對(duì)金融脫媒帶來(lái)影響的對(duì)策建議,促使商業(yè)銀行從容面對(duì)金融脫媒帶來(lái)的挑戰(zhàn),為更好的促進(jìn)我國(guó)金融市場(chǎng)的穩(wěn)定發(fā)展墊下夯實(shí)的基礎(chǔ)。
[Abstract]:Liquidity is the basis of commercial bank management, which is very important for its survival and development. Compared with credit risk, market risk, operational risk and liquidity risk, liquidity risk has the characteristics of contagion and systematicness, which will even lead to the collapse of the whole financial system. However, as a national protection industry for a long time, the banking industry has been supported by national credit funds and reputation protection for a long time, which leads to the low level of risk management of commercial banks in our country. With the improvement of capital market, the development of Internet finance and the enrichment of investment channels, the sources of savings deposits in commercial banks are greatly reduced. The diversity of direct financing channels urges a large number of funds to bypass bank intermediaries for direct financing. The monopoly position of commercial banks is decreasing day by day, its media function is gradually weakened, financial disintermediation is showing a trend of complexity and multi-level, the external environment of commercial banks has undergone significant changes, and liquidity is also facing greater pressure. Therefore, in such an environment, it is of great theoretical and practical significance to study the impact of financial disintermediation on the liquidity risk of commercial banks: on the one hand, the relevant literature does not systematically study the relationship between the two, the research of this paper can make up for the gaps in the relevant research, and has important theoretical significance; On the other hand, this paper uses the latest data to establish a measurement model to verify the correctness of the theoretical analysis empirically, and to provide a reference for future researchers. From a new perspective, this paper adopts the methods of literature research, data chart analysis, quantitative and qualitative analysis, theory and empirical analysis, combined with the related theories of financial disintermediation and liquidity risk, first of all, based on the national conditions of our country, this paper redefines the financial disintermediation, respectively, from the current situation and reasons of financial disintermediation in our country. The influence path of liquidity risk on commercial banks is qualitatively analyzed. Then three indexes of financial disintermediation, namely, asset side, debt side and technology side, and liquidity ratio and medium-and long-term deposit-loan ratio, are selected to establish models by vector autoregression method (vector autoregressive model), and impulse response and variance decomposition function are used to empirically study the dynamic impact of financial disintermediation on liquidity risk of commercial banks in China. Finally, it is found that the stronger the degree of financial disintermediation, the greater the liquidity risk crisis faced by commercial banks, and the impact of bank asset disintermediation caused by the rising proportion of direct financing on liquidity risk is stronger than that of debt disintermediation. On the basis of empirical analysis, aiming at the assets, liabilities, technology, risk consciousness and other aspects of commercial banks, this paper puts forward some countermeasures and suggestions to deal with the impact of financial disintermediation, so as to promote commercial banks to face the challenges brought by financial disintermediation calmly and lay a solid foundation for better promoting the stable development of China's financial market.
【學(xué)位授予單位】：重慶工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.33;F830.42

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