本文關(guān)鍵詞：銀行市場(chǎng)結(jié)構(gòu)、銀行市場(chǎng)均衡與銀行風(fēng)險(xiǎn)承擔(dān)行為研究　出處：《重慶大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 銀行市場(chǎng)結(jié)構(gòu) 銀行市場(chǎng)均衡 風(fēng)險(xiǎn)承擔(dān)行為

【摘要】：現(xiàn)代金融危機(jī)的一個(gè)突出特征表現(xiàn)為銀行同業(yè)市場(chǎng)的混亂和長(zhǎng)期失靈，除了信息不對(duì)稱(chēng)、市場(chǎng)力、二級(jí)資本市場(chǎng)失靈和市場(chǎng)不完全性等可能導(dǎo)致銀行同業(yè)市場(chǎng)崩潰之外，基于信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)的銀行市場(chǎng)結(jié)構(gòu)也可能對(duì)銀行市場(chǎng)均衡產(chǎn)生重要影響。同時(shí)，銀行風(fēng)險(xiǎn)承擔(dān)行為是導(dǎo)致銀行信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)的重要原因，，研究銀行風(fēng)險(xiǎn)承擔(dān)行為的影響因素可以在一定程度上完善銀行市場(chǎng)結(jié)構(gòu)，強(qiáng)化銀行市場(chǎng)均衡。因此，在理論上研究銀行市場(chǎng)結(jié)構(gòu)對(duì)銀行同業(yè)市場(chǎng)均衡的作用機(jī)理、在實(shí)證上研究政府監(jiān)管和市場(chǎng)約束對(duì)中國(guó)銀行風(fēng)險(xiǎn)承擔(dān)行為的影響，對(duì)于改善銀行市場(chǎng)環(huán)境、提高政府對(duì)銀行的監(jiān)管效率、提升銀行風(fēng)險(xiǎn)管理水平、降低銀行經(jīng)營(yíng)風(fēng)險(xiǎn)、保障銀行市場(chǎng)體系持續(xù)快速健康發(fā)展、抑制金融危機(jī)具有非常重要的理論和現(xiàn)實(shí)意義。 本文的主要研究工作體現(xiàn)在如下幾個(gè)方面： 首先，在對(duì)我國(guó)上市商業(yè)銀行的數(shù)量、規(guī)模、市場(chǎng)結(jié)構(gòu)、股權(quán)結(jié)構(gòu)和類(lèi)型、經(jīng)營(yíng)業(yè)績(jī)、風(fēng)險(xiǎn)及其成因、政府監(jiān)管模式等進(jìn)行分析的基礎(chǔ)上，對(duì)我國(guó)銀行市場(chǎng)結(jié)構(gòu)及商業(yè)銀行風(fēng)險(xiǎn)行為特征進(jìn)行了總結(jié)。 其次，借鑒Lucchetta提出的銀行市場(chǎng)結(jié)構(gòu)表示方法和研究思路，在假設(shè)信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)都是不由銀行自身決定的外生變量的條件下，以信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)的不同組合表征銀行市場(chǎng)結(jié)構(gòu)，以自身收益最大化為銀行決策目標(biāo)，建立恰當(dāng)?shù)臄?shù)學(xué)模型從理論上研究銀行市場(chǎng)結(jié)構(gòu)對(duì)銀行市場(chǎng)均衡的影響。研究結(jié)果表明，在以信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)度量的任何集中度的銀行市場(chǎng)中，都既存在使銀行市場(chǎng)運(yùn)行良好的市場(chǎng)結(jié)構(gòu)，也存在使銀行市場(chǎng)體系崩潰的市場(chǎng)結(jié)構(gòu)；當(dāng)銀行市場(chǎng)結(jié)構(gòu)變量位于某個(gè)區(qū)間時(shí)，不同的流動(dòng)性風(fēng)險(xiǎn)分布和不同的銀行集中度將對(duì)銀行市場(chǎng)均衡產(chǎn)生顯著不同的影響。要使銀行市場(chǎng)體系持續(xù)健康運(yùn)行，就必須保持合理的銀行市場(chǎng)結(jié)構(gòu)。 第三，在對(duì)中國(guó)銀行業(yè)市場(chǎng)進(jìn)行全面考察的基礎(chǔ)上，以超額資本充足率和法定存款準(zhǔn)備金率為政府監(jiān)管度量指標(biāo)，Lerner指數(shù)為銀行市場(chǎng)約束度量指標(biāo)，以中國(guó)14家上市銀行2007年1月—2010年9月期間的季度數(shù)據(jù)為樣本，利用計(jì)量經(jīng)濟(jì)學(xué)方法實(shí)證研究政府監(jiān)管和市場(chǎng)約束對(duì)中國(guó)商業(yè)銀行風(fēng)險(xiǎn)承擔(dān)行為的影響。研究表明，超額資本充足率、市場(chǎng)約束和銀行規(guī)模將對(duì)中國(guó)商業(yè)銀行風(fēng)險(xiǎn)承擔(dān)行為產(chǎn)生顯著正向影響；法定存款準(zhǔn)備金率和經(jīng)營(yíng)管理水平將對(duì)中國(guó)商業(yè)銀行風(fēng)險(xiǎn)承擔(dān)行為產(chǎn)生顯著負(fù)向影響；國(guó)有控股銀行的風(fēng)險(xiǎn)承擔(dān)行為顯著低于股份制商業(yè)銀行；銀行風(fēng)險(xiǎn)承擔(dān)行為具有顯著的記憶性。 最后，針對(duì)中國(guó)的現(xiàn)實(shí)國(guó)情，從銀行同業(yè)市場(chǎng)合作和競(jìng)爭(zhēng)、公司資本管理、治理結(jié)構(gòu)、金融監(jiān)管和政府職能等方面提出維護(hù)我國(guó)商業(yè)銀行市場(chǎng)均衡和防范風(fēng)險(xiǎn)的政策建議。
[Abstract]:A prominent feature of the modern financial crisis is the chaos and long-term failure of the interbank market, in addition to information asymmetry, market power. The failure and incompleteness of the secondary capital market may lead to the collapse of the interbank market, and the market structure based on the credit risk and liquidity risk may also have an important impact on the equilibrium of the bank market. Bank risk-bearing behavior is an important cause of bank credit risk and liquidity risk. To a certain extent, the study of the influencing factors of bank risk-taking behavior can improve the market structure of banks. Therefore, this paper theoretically studies the mechanism of the banking market structure on the interbank market equilibrium, and empirically studies the influence of government supervision and market constraints on the risk-bearing behavior of Chinese banks. To improve the banking market environment, improve the efficiency of government supervision of banks, improve the level of bank risk management, reduce the risk of banking operations, and ensure that the banking market system continues to develop rapidly and healthily. It is of great theoretical and practical significance to suppress the financial crisis. The main research work of this paper is as follows: First of all, on the basis of the analysis of the number, scale, market structure, ownership structure and type, business performance, risk and its causes, government supervision model of listed commercial banks in China. This paper summarizes the market structure of Chinese banks and the risk behavior characteristics of commercial banks. Secondly, using the method and research idea of bank market structure proposed by Lucchetta for reference, under the assumption that credit risk and liquidity risk are exogenous variables which are not determined by the bank itself. The bank market structure is characterized by different combinations of credit risk and liquidity risk, and the bank's decision-making goal is to maximize its own income. A proper mathematical model is established to study the influence of the market structure of the bank on the equilibrium of the bank market theoretically. The results show that in the banking market with any degree of concentration measured by credit risk and liquidity risk. There are not only the market structure which makes the bank market run well, but also the market structure that causes the bank market system to collapse. When the structural variables of the bank market are located in a certain region, different liquidity risk distribution and different banking concentration will have significant and different effects on the equilibrium of the bank market, and the banking market system should continue to operate healthily. It is necessary to maintain a reasonable market structure for banks. Third, on the basis of a comprehensive investigation of China's banking market, the excess capital adequacy ratio and the legal reserve ratio are taken as the government regulatory metrics. The Lerner index is a measure of bank market constraint, taking the quarterly data from January 2007 to September 2010 of 14 listed banks in China as a sample. This paper empirically studies the influence of government regulation and market restraint on the risk-taking behavior of Chinese commercial banks by using econometrics method. The study shows that the excess capital adequacy ratio. Market constraints and bank size will have a significant positive impact on the risk-taking behavior of Chinese commercial banks; The legal reserve ratio and the level of operation and management will have a significant negative impact on the risk-bearing behavior of Chinese commercial banks; The risk-bearing behavior of state-owned holding banks is significantly lower than that of joint-stock commercial banks; The risk-bearing behavior of banks has remarkable memory. Finally, according to the reality of China, from the interbank market cooperation and competition, corporate capital management, governance structure. In the aspects of financial supervision and government functions, some suggestions are put forward to maintain the market equilibrium of commercial banks in China and to guard against risks.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.2;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王勝邦;;商業(yè)銀行資本結(jié)構(gòu):存在一個(gè)具體的比例嗎[J];財(cái)經(jīng)科學(xué);2006年03期

2 許友傳;;信息披露、市場(chǎng)約束與銀行風(fēng)險(xiǎn)承擔(dān)行為[J];財(cái)經(jīng)研究;2009年12期

3 王曉龍;周好文;;銀行資本監(jiān)管與商業(yè)銀行風(fēng)險(xiǎn)——對(duì)中國(guó)13家商業(yè)銀行的實(shí)證研究[J];金融論壇;2007年07期

4 劉劍;張晶;;中國(guó)銀行業(yè)市場(chǎng)結(jié)構(gòu)、效率與績(jī)效關(guān)系實(shí)證研究[J];長(zhǎng)沙理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2008年03期

5 王飛;;當(dāng)前國(guó)際上商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的變化與監(jiān)管趨勢(shì)[J];南方金融;2011年01期

6 劉曉蕾;張啟文;錢(qián)建峰;;中信銀行流動(dòng)性風(fēng)險(xiǎn)管理現(xiàn)狀的實(shí)證分析[J];商業(yè)經(jīng)濟(jì);2011年12期

7 郭晨;;我國(guó)銀行同業(yè)拆借市場(chǎng)交易特征及風(fēng)險(xiǎn)傳染研究[J];經(jīng)濟(jì)研究導(dǎo)刊;2010年02期

8 楊新蘭;論銀行監(jiān)管的相機(jī)抉擇[J];金融研究;2004年09期

9 張強(qiáng);佘桂榮;;銀行監(jiān)管的市場(chǎng)約束理論進(jìn)展[J];金融研究;2006年10期

10 魯?shù)?肖華榮;;銀行市場(chǎng)競(jìng)爭(zhēng)結(jié)構(gòu)、信息生產(chǎn)和中小企業(yè)融資[J];金融研究;2008年05期

本文編號(hào)：1431347