本文選題：股利分配　切入點：違約風(fēng)險　出處：《南京財經(jīng)大學(xué)》2015年碩士論文

【摘要】：由于中國還沒有建立完善的存款保險制度,銀行一旦發(fā)生擠兌以及信用危機,政府會動用中央銀行以及地方財政的資金直接進行救助,并對存款者和債務(wù)者進行全額擔保,這一機制也被形象的稱為“隱性存款保險”。這一制度的存在使得銀行大膽的進行高息攬存或者高風(fēng)險的投資活動,從而將風(fēng)險轉(zhuǎn)移給政府機構(gòu)和中央銀行,即銀行業(yè)存在大量道德風(fēng)險。近年來中國的隱性存款保險制度極大地影響了金融體系的穩(wěn)定,使得宏觀經(jīng)濟的效率的低下,并導(dǎo)致資源得不到有效配置、經(jīng)濟無法健康發(fā)展。2007年銀行和金融危機發(fā)生后,商業(yè)銀行的股利支付現(xiàn)象引起了大量學(xué)者的關(guān)注。銀行即使在金融危機期間、存在巨大潛在風(fēng)險的情況也不愿意削減自己的股息,銀行股東通過股利分配將大量可分配利潤轉(zhuǎn)移至自身名下,而將銀行違約風(fēng)險轉(zhuǎn)移給存款保險機構(gòu),即銀行存在明顯的風(fēng)險轉(zhuǎn)移的機制,這也是一種道德風(fēng)險的表現(xiàn)形式。如果銀行股東通過股利支付進行風(fēng)險轉(zhuǎn)移將會給存款人帶來經(jīng)濟損失,給政府財政帶來巨大的壓力。中國商業(yè)銀行是否也存在這一風(fēng)險轉(zhuǎn)移現(xiàn)象是本文寫作的主要目的。本文意圖解決三個主要問題：隱性存款保險制度下中國上市銀行為何會產(chǎn)生道德風(fēng)險；通過股利分配渠道產(chǎn)生風(fēng)險轉(zhuǎn)移的理論原因；建立模型對風(fēng)險轉(zhuǎn)移的現(xiàn)象進行驗證并分析產(chǎn)生風(fēng)險轉(zhuǎn)移的原因。對中國為何產(chǎn)生道德風(fēng)險,本文通過對存款人和銀行的預(yù)期收益函數(shù)進行解釋。通過對預(yù)期函數(shù)的分析發(fā)現(xiàn),中國隱性存款保險制度導(dǎo)致了存款人市場約束的弱化從而導(dǎo)致了銀行攬存和冒險行為的發(fā)生。通過對Merton模型的研究得知銀行可以通過股利支付可以導(dǎo)致保險費率的增加,從而銀行將風(fēng)險轉(zhuǎn)移給“存款保險機構(gòu)”。實證部分采用中國上市銀行的股利支付率以及違約風(fēng)險作為被解釋變量和解釋變量進行面板模型的分析。將國有銀行和股份制銀行分別分析后發(fā)現(xiàn)國有銀行存在非常明顯的違約風(fēng)險轉(zhuǎn)移的現(xiàn)象,但是股份制上市銀行則不存在。最后本文認為國有商業(yè)銀行之所以存在明顯的風(fēng)險轉(zhuǎn)移機制是由于國有商業(yè)銀行由中央銀行和政府直接注資,在隱性存款保險制度下一旦銀行發(fā)生信貸危機或投資失誤引發(fā)自身違約風(fēng)險時由國家資產(chǎn)直接進行擔保,所以易產(chǎn)生道德風(fēng)險。
[Abstract]:Since China has not yet established a sound deposit insurance system, in the event of a run on banks and a credit crisis, the government will use the funds of the central bank and local finance to directly rescue them and guarantee the full amount of the depositors and debtors.This mechanism is also called recessive deposit insurance.The existence of this system enables banks to carry out high interest deposit or high risk investment activities, thus transferring the risk to government agencies and central banks, that is, there are a large number of moral risks in the banking industry.In recent years, the recessive deposit insurance system in China has greatly affected the stability of the financial system, made the macroeconomic efficiency low, and led to the lack of effective allocation of resources and the healthy development of the economy.The phenomenon of dividend payment in commercial banks has attracted the attention of a large number of scholars.Even during the financial crisis, banks were reluctant to cut their dividends even when there was a huge potential risk, with shareholders transferring large amounts of distributable profits to their own names through dividend allocations.It is also a form of moral hazard to transfer the default risk of the bank to the deposit insurance institution, that is, the obvious risk transfer mechanism of the bank.If bank shareholders carry out risk transfer through dividend payment, it will bring economic losses to depositors and great pressure on government finances.The main purpose of this paper is whether Chinese commercial banks also have this phenomenon of risk transfer.This paper intends to solve three main problems: why the listed banks in China produce moral hazard under the hidden deposit insurance system, the theoretical reasons of risk transfer through dividend distribution channels;Establish a model to verify the phenomenon of risk transfer and analyze the causes of risk transfer.To explain why moral hazard occurs in China, this paper explains the expected income function of depositors and banks.Through the analysis of the expected function, it is found that China's implicit deposit insurance system leads to the weakening of depositors' market constraints, which leads to the occurrence of deposit-taking and risk-taking by banks.Through the study of Merton model, it is found that the bank can increase the insurance rate through dividend payment, so the bank transfers the risk to the "deposit insurance institution".The empirical part uses the dividend payment rate and default risk of Chinese listed banks as explained variables and explanatory variables to analyze the panel model.Through the analysis of state-owned banks and joint-stock banks, it is found that there is a very obvious phenomenon of default risk transfer in state-owned banks, but there is no such phenomenon in joint-stock listed banks.Finally, this paper thinks that the obvious risk transfer mechanism of the state-owned commercial banks is that the state-owned commercial banks are directly funded by the central bank and the government.Under the implicit deposit insurance system, once the bank has a credit crisis or an investment error, the risk of default is directly guaranteed by the national assets, so it is easy to produce moral hazard.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.1

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本文編號：1721861