本文關(guān)鍵詞：基于凈利差的銀行定價行為與風(fēng)險行為研究　出處：《湖南大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 商業(yè)銀行 凈利差 純利差 定價行為 風(fēng)險行為

【摘要】：對于中國的商業(yè)銀行來說,利率市場化使其面臨的各種環(huán)境因素的不確定性增加。商業(yè)銀行受到外界環(huán)境如宏觀經(jīng)濟(jì)狀況及政策安排、經(jīng)濟(jì)周期等方方面面的因素的影響越來越廣,商業(yè)銀行行為日趨復(fù)雜。作為一國金融體系的核心,銀行行為對金融、經(jīng)濟(jì)的影響甚為深遠(yuǎn),那么研究利率市場化對商業(yè)銀行行為的影響對提高商業(yè)銀行市場競爭力及穩(wěn)步推進(jìn)利率市場化改革有重大意義。但是銀行的行為包含的內(nèi)容極其廣泛,且不可量化,而商業(yè)銀行凈利差體現(xiàn)了商業(yè)銀行經(jīng)營成果和管理水平,是銀行行為的結(jié)果,故而可以通過對凈利差決定因素的分析來研究銀行行為的變化�？偠灾�,環(huán)境因素變化會影響銀行行為進(jìn)而影響其凈利差,而凈利差可以反映銀行行為。由于使用做市商模型的凈利差決定模型主要反映的是銀行定價行為與風(fēng)險行為,故本文重點(diǎn)研究這兩類銀行行為。本文分析2005年至2012年全國49家較有代表性的銀行數(shù)據(jù),并對國有銀行、全國性股份制銀行和城市商業(yè)銀行進(jìn)行比較分析,來分析面對利率環(huán)境變化的各類銀行的行為變化。實(shí)證部分的研究分為定價行為和風(fēng)險行為兩章:文章先在做市商模型的框架下分離出純利差,然后通過建立純利差決定因素的計量模型進(jìn)行實(shí)證分析,比較漸進(jìn)式利率市場化中不同階段和不同銀行類型在定價行為上差別;然后通過不同的純利差決定模型計算出信用風(fēng)險溢價,分析不同類型銀行的在風(fēng)險行為上的差別。最后本文得出的主要研究結(jié)論有:(1)隨著利率市場化進(jìn)程的不斷推進(jìn),中國的商業(yè)銀行的自主定價能力增強(qiáng),在定價過程中越來越重視風(fēng)險因素和非傳統(tǒng)業(yè)務(wù)因素,而成本因素和政策保護(hù)因素在銀行定價中的重要性降低,這是利率市場化取得一定成果的表現(xiàn)。(2)三類銀行在定價過程中各有優(yōu)劣。國有銀行的定價行為中過多地依賴于政策保護(hù)而不是市場,股份制銀行的非傳統(tǒng)業(yè)務(wù)在定價過程中作用很大,城市商業(yè)銀行的風(fēng)險因素能夠很好地體現(xiàn)在利差定價當(dāng)中,但對成本因素依賴過大。(3)國有銀行風(fēng)險管控能力不強(qiáng),而城商行信用風(fēng)險管理相對完善,但單位信用風(fēng)險的溢價太低。
[Abstract]:For commercial banks in China, the marketization of interest rate increases the uncertainty of various environmental factors. Commercial banks are more and more widely influenced by external environment, such as macroeconomic conditions, policy arrangements, business cycles and other factors. The behavior of commercial banks is becoming more and more complex. As the core of a country's financial system, the influence of bank behavior on finance and economy is very far-reaching. Therefore, it is of great significance to study the impact of interest rate liberalization on commercial banks' behavior to improve the market competitiveness of commercial banks and steadily push forward the reform of interest rate marketization. However, the content of bank behavior is extremely extensive and not quantifiable. The net interest margin of commercial banks reflects the operation and management level of commercial banks, and is the result of bank behavior. Therefore, we can study the change of banking behavior by analyzing the determinants of net interest margin. In a word, the change in environmental factors will affect bank behavior and affect its net profit margin, and net profit margin can reflect the behavior of the bank. Because the net profit difference decision model using the market maker model mainly reflects the bank pricing behavior and the risk behavior, this paper focuses on the two types of bank behavior. This paper analyzes 49 representative bank data in China from 2005 to 2012, and compares state-owned banks, national joint-stock banks and city commercial banks to analyze the behavior changes of banks in the face of interest rate change. The part of the empirical research into the pricing behavior and risk behaviors of two chapters: the first in the framework of market maker model under separate pure spreads, then through the establishment of the net profit difference determines factors econometric model for empirical analysis, comparison of different stages and different progressive bank type in the interest rate market pricing behavior in different types; then the net profit difference decision model to calculate the credit risk premium, risk analysis on the behavior of different types of banks. The main conclusion of the study of this paper are: (1) with the interest rate market continues to advance the process, enhance the independent pricing capability of China commercial banks, pay more and more attention to the risk factors and non-traditional business factors in the pricing process, and cost factors and policy protection due to importance in bank pricing is reduced, this is the interest rate market achievements performance. (2) the three types of banks have their own advantages and disadvantages in the process of pricing. The pricing behavior of state-owned banks relies heavily on policy protection rather than market. The non-traditional businesses of joint-stock banks play a great role in the pricing process. The risk factors of urban commercial banks can be well reflected in the pricing of spreads, but they are too dependent on cost factors. (3) the risk management and control ability of the state-owned banks is not strong, and the credit risk management of the city commercial bank is relatively perfect, but the premium of the unit credit risk is too low.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.33

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本文編號：1346449