本文關(guān)鍵詞： 商業(yè)銀行 流動(dòng)性風(fēng)險(xiǎn) 影響因素 面板數(shù)據(jù)模型 最小二乘回歸　出處：《吉林大學(xué)》2015年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：商業(yè)銀行的流動(dòng)性水平反映了其經(jīng)營(yíng)風(fēng)險(xiǎn)，由于銀行的主要業(yè)務(wù)是對(duì)資產(chǎn)負(fù)債進(jìn)行管理，當(dāng)銀行的資產(chǎn)負(fù)債結(jié)構(gòu)出現(xiàn)問(wèn)題時(shí)就會(huì)出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)。在我國(guó)，商業(yè)銀行的流動(dòng)性過(guò)剩問(wèn)題在一段時(shí)間里是研究的重點(diǎn)，而到2013年我國(guó)商業(yè)銀行也出現(xiàn)了短暫的流動(dòng)性危機(jī)。從流動(dòng)性過(guò)剩到出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)，這更值得我們?nèi)ニ伎际鞘裁匆蛩赜绊懮虡I(yè)銀行流動(dòng)性水平的變動(dòng)。 商業(yè)銀行作為一個(gè)金融中介，連接著整個(gè)經(jīng)濟(jì)社會(huì)，這也使得銀行的經(jīng)營(yíng)管理更容易受到來(lái)自各方面因素的影響。在對(duì)以前的研究成果總結(jié)和分析之后，我們認(rèn)為流動(dòng)性風(fēng)險(xiǎn)主要有三個(gè)層面的影響因素，一是商業(yè)銀行自身的經(jīng)營(yíng)管理策略，二是銀行業(yè)市場(chǎng)結(jié)構(gòu)的變動(dòng)，最后是宏觀經(jīng)濟(jì)環(huán)境的變動(dòng)。 本文的第1章為緒論。說(shuō)明了文章的選題背景以及研究意義，對(duì)文章的整體內(nèi)容和框架進(jìn)行了簡(jiǎn)述，介紹了文章的研究思路和主要方法，并且闡述了文章的創(chuàng)新點(diǎn)。 第2章是總結(jié)了涉及的理論基礎(chǔ)，回顧和分析了國(guó)內(nèi)外文獻(xiàn)。首先具體說(shuō)明了商業(yè)銀行的流動(dòng)性和流動(dòng)性風(fēng)險(xiǎn)的概念，然后從商業(yè)銀行自身的脆弱性、信息不對(duì)稱、銀行間市場(chǎng)風(fēng)險(xiǎn)傳染三個(gè)方面分析了流動(dòng)性風(fēng)險(xiǎn)產(chǎn)生的根源。對(duì)國(guó)內(nèi)外的相關(guān)文獻(xiàn)進(jìn)行了回顧和總結(jié)，學(xué)者們關(guān)于流動(dòng)性風(fēng)險(xiǎn)的研究主要從兩個(gè)層面，一個(gè)是從銀行整體流動(dòng)性的角度，一個(gè)是從商業(yè)銀行的角度。 第3章首先根據(jù)具體數(shù)據(jù)對(duì)銀行的流動(dòng)性現(xiàn)狀進(jìn)行了研究，然后從理論上闡述了流動(dòng)性的影響因素。就“錢(qián)荒”問(wèn)題及其形成原因進(jìn)行了分析，通過(guò)GARCH、TARCH模型研究了上海同業(yè)拆借利率的波動(dòng)性。通過(guò)流動(dòng)性比例、存貸比和超額準(zhǔn)備金率三個(gè)指標(biāo)對(duì)商業(yè)銀行整體的流動(dòng)性現(xiàn)狀進(jìn)行了統(tǒng)計(jì)性描述。從內(nèi)部和外部?jī)煞矫嫣骄苛松虡I(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的影響因素。 第4章是通過(guò)實(shí)際數(shù)據(jù)對(duì)流動(dòng)性風(fēng)險(xiǎn)的影響因素進(jìn)行了實(shí)證研究�？紤]到商業(yè)銀行流動(dòng)性的內(nèi)部影響因素和外部影響因素的不同衡量口徑會(huì)產(chǎn)生不同的影響效果，從銀行整體的角度和16家上市商業(yè)銀行的角度分別建立兩個(gè)模型做了實(shí)證研究。從商業(yè)銀行整體的分析則更加注重整個(gè)經(jīng)濟(jì)的運(yùn)行狀況和銀行業(yè)整體的變化，通過(guò)經(jīng)濟(jì)增長(zhǎng)、廣義貨幣增長(zhǎng)和同業(yè)拆借利率反映整個(gè)經(jīng)濟(jì)狀況，銀行業(yè)整體則主要涉及了市場(chǎng)集中度和總資產(chǎn)增長(zhǎng)率兩個(gè)指標(biāo)。從上市商業(yè)銀行角度的分析更加注重銀行的差異性，主要考慮了監(jiān)管指標(biāo)和財(cái)務(wù)指標(biāo)對(duì)銀行流動(dòng)性水平的影響。 通過(guò)最小二乘回歸，，發(fā)現(xiàn)廣義貨幣增長(zhǎng)率、銀行業(yè)市場(chǎng)集中度和同業(yè)拆借利率與流動(dòng)性比例存在顯著的負(fù)相關(guān)關(guān)系，而銀行總資產(chǎn)增長(zhǎng)率與流動(dòng)性比例存在顯著的正相關(guān)關(guān)系，但是彈性系數(shù)都比較小。 通過(guò)面板數(shù)據(jù)模型回歸，在上市銀行總體模型中，資本充足率、平均總資產(chǎn)收益率和凈資產(chǎn)增長(zhǎng)率與流動(dòng)性比例存在顯著的正相關(guān)性。在大型上市商業(yè)銀行模型中，凈資產(chǎn)增長(zhǎng)率與流動(dòng)性比例存在顯著的負(fù)相關(guān)關(guān)系。而在中小型上市商業(yè)銀行中，平均總資產(chǎn)收益率和凈資產(chǎn)增長(zhǎng)率與流動(dòng)性比例存在顯著的正相關(guān)關(guān)系。 第5章得出結(jié)論�；谏虡I(yè)銀行整體流動(dòng)性的模型回歸，我們發(fā)現(xiàn)穩(wěn)定的廣義貨幣增長(zhǎng)率能夠提高銀行的流動(dòng)性水平；在現(xiàn)階段，放寬銀行業(yè)準(zhǔn)入、降低集中度能降低流動(dòng)性風(fēng)險(xiǎn)；央行可以通過(guò)對(duì)銀行間拆借市場(chǎng)利率的管理來(lái)達(dá)到對(duì)商業(yè)銀行流動(dòng)性的有效管理�；谏鲜猩虡I(yè)銀行的面板數(shù)據(jù)模型的回歸，我們發(fā)現(xiàn)對(duì)資本充足率的監(jiān)管可以降低流動(dòng)性風(fēng)險(xiǎn)；在我們研究的時(shí)間區(qū)間，銀行的盈利能力越強(qiáng)流動(dòng)性水平越高；銀行的成長(zhǎng)能力與流動(dòng)性水平存在正相關(guān)關(guān)系，這與基于整體的研究是一致的，但是在大型上市銀行模型中得出相反的結(jié)論，這與大型銀行的規(guī)模相關(guān)。進(jìn)一步對(duì)流動(dòng)性現(xiàn)狀進(jìn)行分析，也得出相關(guān)結(jié)論。
[Abstract]:The liquidity level of commercial banks reflects its operational risk . As the main business of the bank is the management of assets and liabilities , liquidity risk arises when the assets and liabilities structure of the bank is in question . In our country , the liquidity surplus problem of commercial banks is the focus of the research for some time . In China , the liquidity crisis has also appeared in China ' s commercial banks in 2013 . From the excess liquidity to liquidity risk , it is more worthwhile to think about the factors that affect the fluctuation of the liquidity level of commercial banks . As a financial intermediary , commercial banks are connected with the whole economy and society , which also makes the management of banks more vulnerable to various factors . After summing up and analyzing the previous research results , we think that liquidity risk is mainly influenced by three levels , one is the management strategy of the commercial banks themselves , the second is the change of the banking market structure , and finally the changes of the macro - economic environment . The first chapter of this paper is introduction . The background of the article ' s selection and the significance of research are described . The whole contents and framework of the article are briefly described . The research ideas and main methods of the article are introduced , and the innovation points of the article are expounded . Chapter 2 summarizes the theoretical foundation , reviews and analyses the literatures at home and abroad . Firstly , the concept of liquidity and liquidity risk of commercial banks is analyzed , and then the root causes of liquidity risk are analyzed from three aspects of their vulnerability , information asymmetry and inter - bank market risk infection . The research on liquidity risk is mainly from two levels , one from the perspective of the overall liquidity of the bank , and one from the angle of commercial banks . Chapter 3 firstly studies the liquidity situation of the bank according to the specific data , then expounds the influence factors of liquidity in theory . Through the analysis of the problem of " money shortage " and the reasons for its formation , this paper studies the volatility of the loan interest rate of the commercial banks through the three indexes of liquidity ratio , deposit ratio and excess reserve ratio . Chapter 4 is an empirical study on the influencing factors of liquidity risk through real data . In view of the internal influence factors of the liquidity of commercial banks and the different measures of external influence factors , two models have been established . Through the least square regression , it is found that the growth rate of the broad money , the concentration of the banking market and the ratio of the interbank borrowing rate and the liquidity ratio have significant negative correlation , while the growth rate of the total assets of the bank is positively correlated with the liquidity ratio , but the elastic coefficient is relatively small . Through the panel data model regression , there is a positive correlation between the capital adequacy ratio , the average total asset yield and the net asset growth rate and the liquidity ratio in the overall model of the listed banks . In the model of the large - scale listed commercial banks , there is a significant negative correlation between the net asset growth rate and the liquidity ratio . In the small and medium - sized listed commercial banks , the average total asset yield and the net asset growth rate have a significant positive correlation with the liquidity ratio . Chapter 5 draws a conclusion . Based on the model regression of the overall liquidity of commercial banks , we find that stable generalized monetary growth rate can improve the liquidity level of the banks . At the present stage , we can reduce the liquidity risk by relaxing the market access and reducing the concentration . In the time interval of our study , the higher the profitability of the bank , the higher the liquidity level .

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類(lèi)號(hào)】：F832.33

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