本文選題：資本充足率監(jiān)管 + 商業(yè)銀行價值��； 參考：《山東財經(jīng)大學(xué)》2012年碩士論文

【摘要】：商業(yè)銀行的資本是其從事經(jīng)營活動必須注入的資金，包括自身擁有和能夠永久性使用的資金兩部分。只有擁有充足的資本，才能維護存款人的權(quán)益；商業(yè)銀行才能安全經(jīng)營、穩(wěn)健發(fā)展；才能滿足監(jiān)管機構(gòu)的監(jiān)管標準，促進金融體系穩(wěn)定發(fā)展，實現(xiàn)監(jiān)管與商業(yè)銀行互相促進、共同發(fā)展的目標。鑒于商業(yè)銀行在經(jīng)濟系統(tǒng)中的重要地位以及銀行業(yè)自身發(fā)展的特點，商業(yè)銀行的資本充足性監(jiān)管對于避免系統(tǒng)性銀行危機、實現(xiàn)銀行體系穩(wěn)健運行以及經(jīng)濟健康發(fā)展都具有極為重要的作用。 經(jīng)過各次金融危機的洗禮，資本充足性監(jiān)管也在不斷地完善，特別是2008年美國次貸危機之后，于2010年9月12日達成的《巴塞爾協(xié)議Ⅲ》提高了資本充足率監(jiān)管標準，并且增加了多重監(jiān)管指標，作為資本充足率監(jiān)管的補充。自銀監(jiān)會于2004年頒布實施《商業(yè)銀行資本充足率管理辦法》，邁出資本充足率監(jiān)管的第一步，我國銀行業(yè)監(jiān)管逐步形成以資本充足率為核心的資本監(jiān)管模式。2011年8月，在《巴塞爾協(xié)議Ⅲ》背景下我國銀監(jiān)會又下發(fā)《商業(yè)銀行資本管理辦法（征求意見稿）》，這說明我國的資本充足率監(jiān)管一直在穩(wěn)步前行、緊跟國際趨勢，同時新的監(jiān)管標準勢必會影響我國商業(yè)銀行的經(jīng)營管理。我國的資本充足率監(jiān)管是否有效？商業(yè)銀行作為企業(yè)，是以價值最大化為經(jīng)營目標的，那以資本充足率為核心的資本充足性監(jiān)管會對商業(yè)銀行價值產(chǎn)生什么影響，會不會實現(xiàn)預(yù)期效應(yīng)，即約束風(fēng)險，減少損失？商業(yè)銀行應(yīng)如何應(yīng)對資本充足的嚴格管理標準，在尋求價值最大化和遵守監(jiān)管標準之間尋求一種平衡？所以，研究我國資本充足率監(jiān)管對商業(yè)銀行價值的影響，對于我國商業(yè)銀行更好的應(yīng)對資本監(jiān)管，提高其經(jīng)營管理水平以及資本監(jiān)管的有效性具有重要的現(xiàn)實意義。 鑒于商業(yè)銀行資本充足率監(jiān)管對銀行價值影響研究具有很強的政策意義，國內(nèi)外學(xué)者在理論及實證上對其進行了充分的研究，但到目前為止在這兩方面上都未達成一致結(jié)論。目前主要分為兩種觀點：資本充足率監(jiān)管是有效的；資本充足率監(jiān)管是無效的。本文首先就資本充足率監(jiān)管對商業(yè)銀行的影響進行理論分析。然后闡述我國資本充足率監(jiān)管發(fā)展歷程并分析新的監(jiān)管標準對我國商業(yè)銀行的影響。最后，以商業(yè)銀行價值為被解釋變量，資本充足率為解釋變量，引入一系列控制變量，進行控制因果關(guān)系分析，并且運用灰色理論中的灰關(guān)聯(lián)分析法對資本充足率、靜態(tài)資本充足率即杠桿率與銀行價值進行灰關(guān)聯(lián)分析。這對于提高我國商業(yè)銀行的經(jīng)營管理及風(fēng)險管理水平，實現(xiàn)穩(wěn)健發(fā)展，為經(jīng)濟穩(wěn)健發(fā)展提供強大的保障具有很強的現(xiàn)實意義，同時也豐富了銀行監(jiān)管理論，推動其進一步發(fā)展。 在總體結(jié)構(gòu)上，全文共分為五章： 第一章為導(dǎo)言。本部分首先提出了本文的選題背景與研究意義。為順應(yīng)國際銀行業(yè)的監(jiān)管趨勢，我國銀行業(yè)監(jiān)管當(dāng)局根據(jù)《巴塞爾協(xié)議Ⅲ》，并結(jié)合我國經(jīng)濟發(fā)展的階段需要及銀行業(yè)的實際發(fā)展情況，下發(fā)《商業(yè)銀行資本管理辦法（征求意見稿）》。這勢必會對我國商業(yè)銀行造成一定影響。我國商業(yè)銀行必須積極尋找對策，在價值最大化和遵守監(jiān)管政策兩者之間尋求一種平衡。其次為文獻綜述部分，國外文獻綜述和國內(nèi)文獻綜述都分為兩類：有效論和無效論。最后闡述了本文的研究思路與方法及創(chuàng)新點。 第二章為資本充足性監(jiān)管影響商業(yè)銀行價值的理論分析。首先介紹資本充足率監(jiān)管的涵義及銀行價值的涵義及衡量指標。然后，從理論上分析資本充足率監(jiān)管對銀行價值的影響。最后，通過效應(yīng)的角度闡述資本充足率監(jiān)管對銀行價值的作用機制。 第三章為我國商業(yè)銀行資本充足率監(jiān)管發(fā)展過程及新的監(jiān)管標準對我國銀行業(yè)的影響。首先介紹我國資本充足率監(jiān)管的發(fā)展歷程，分析其存在的問題，然后結(jié)合我國資本充足率現(xiàn)狀，分析新的監(jiān)管標準對我國商業(yè)銀行的影響。 第四章為資本充足率監(jiān)管影響我國商業(yè)銀行價值的實證分析。首先以銀行價值為被解釋變量，資本充足率為解釋變量，引入一系列控制變量，對資本充足率與銀行價值進行控制因果關(guān)系分析及超外生性檢驗。結(jié)果表明，作為解釋變量的資本充足率具有超外生性，依據(jù)條件模型估計資本充足率監(jiān)管對商業(yè)銀行的影響是有效地，國有控股的四大銀行中兩者是負向關(guān)系，股份制上市商業(yè)銀行中兩者之間則是正向關(guān)系。其次將資本充足率、靜態(tài)資本充足率即杠桿率與銀行價值進行灰關(guān)聯(lián)分析。結(jié)果表明，杠桿率即靜態(tài)資本充足率與銀行價值有很強的關(guān)聯(lián)性，這也在實證上證明新監(jiān)管指標中將杠桿率作為資本充足率補充的正確性。 第五章為對策建議。本文結(jié)合實證結(jié)論，對我國商業(yè)銀行如何在追求價值最大化及應(yīng)對資本充足性監(jiān)管兩者之間尋求平衡提出四點建議，這四點建議分別從資本管理，提高資本充足率；資產(chǎn)管理；風(fēng)險管理；與監(jiān)管部門合作角度出發(fā)。同時對于我國銀行監(jiān)管部門從轉(zhuǎn)變監(jiān)管理念及模式；發(fā)揮央行及銀行業(yè)自律組織職能四個方面給出了建議，促進其實現(xiàn)功能性監(jiān)管，提高資本監(jiān)管有效性。 本文的創(chuàng)新點主要集中在三個方面： 第一，在資本充足率監(jiān)管有效性的研究中，多是基于資本充足率監(jiān)管可以降低銀行風(fēng)險方面，本文在結(jié)合相關(guān)文獻綜述及理論基礎(chǔ)之上，總結(jié)出資本充足率監(jiān)管對銀行的影響效應(yīng)，，并通過效應(yīng)的視角來闡述資本充足率監(jiān)管對銀行價值影響的途徑。 第二，在實證方法上，以資本充足率為解釋變量，以銀行價值為被解釋變量，在引入一系列控制變量的基礎(chǔ)之上進行控制因果關(guān)系分析，超外生性檢驗。 第三，在引入監(jiān)管指標，作為資本充足率監(jiān)管的補充指標上，只是提出建議，并沒有進行實證分析，本文將杠桿率看做靜態(tài)資本充足率，運用灰關(guān)聯(lián)分析法將靜態(tài)資本充足率即杠桿率、資本充足率與銀行價值的關(guān)聯(lián)性進行實證分析。
[Abstract]:The capital of a commercial bank is the capital which it has to inject into its business activities, including two parts of the capital that it owns and can use permanently. Only with sufficient capital can the interests of the depositors be maintained; the commercial banks can operate safely and steadily, and can meet the regulatory standards of the regulators and promote the stability of the financial system. In view of the important position of commercial banks in the economic system and the characteristics of the development of the banking industry, the regulation of capital adequacy of commercial banks is very important to avoid systemic banking crisis, to realize the stable operation of the banking system and to develop healthy economy. The role.
After the baptism of the financial crisis, the regulation of capital adequacy is also being perfected, especially after the US subprime crisis in 2008. In September 12, 2010, the Basel Agreement III increased the regulatory standards for the capital adequacy ratio and added multiple regulatory indicators as a supplement to the regulation of capital adequacy. The CBRC issued the CBRC in 2004. With the implementation of the management method of capital adequacy ratio of commercial banks and the first step in the supervision of capital adequacy ratio, China's banking supervision has gradually formed a capital regulation model with capital adequacy ratio as the core of.2011 in August. Under the background of the Basel Agreement III, China's Banking Regulatory Commission also issued the capital management method for commercial banks (solicit draft). It is clear that the regulation of capital adequacy in China has been advancing steadily, closely following the international trend, and the new regulatory standards will inevitably affect the management of commercial banks in our country. Is the capital adequacy regulation of our country effective? Commercial banks, as enterprises, are the goal of maximizing the value, and the capital adequacy ratio is the capital charge. What effect does the foot Regulatory Commission have on the value of commercial banks? Will it achieve the expected effect, that is, to constrain the risk and reduce the loss? How should commercial banks respond to the strict management standards of capital adequacy and seek a balance between maximizing value and observing regulatory standards? So, the study of China's capital adequacy regulation on Commercial Banks The influence of value is of great practical significance for China's commercial banks to better cope with capital supervision, improve their management level and the effectiveness of capital supervision.
In view of the strong policy significance of the research on the impact of capital adequacy regulation on bank value, scholars both at home and abroad have made full research on it in theory and empirical, but so far there are no consistent conclusions in these two aspects. At present, it is mainly divided into two points of view: the capital adequacy regulation is effective; This article first analyzes the impact of capital adequacy regulation on commercial banks. Then it expounds the development process of China's capital adequacy regulation and analyzes the influence of new regulatory standards on China's commercial banks. Finally, the value of commercial banks is interpreted as interpreted variable and capital adequacy ratio as an explanatory variable. A series of control variables are introduced to control causality analysis, and grey relational analysis in grey theory is used to analyze the capital adequacy ratio and the static capital adequacy ratio, that is, the leverage ratio and the bank value, which can improve the management and risk management level of commercial banks in China, and achieve robust development and economic stability. It is of great practical significance to provide a strong guarantee for development, and it also enriches the theory of banking supervision and promotes its further development.
On the overall structure, the full text is divided into five chapters.
The first chapter is the introduction. This section first puts forward the background and research significance of this article. In order to comply with the trend of international banking supervision, the banking regulatory authorities of China, according to the Basel Agreement III, combined with the needs of the stage of economic development in China and the actual development of the banking industry, issued the method of capital management of commercial banks. It is bound to have a certain impact on China's commercial banks. The commercial banks of our country must seek the countermeasures actively and seek a balance between the value maximization and the compliance with the regulatory policy. Secondly, the literature review and the domestic literature review are divided into two categories: validity and inefficiency. Finally, this paper expounds the theory of the literature The research ideas and methods and innovation points of this paper.
The second chapter is the theoretical analysis of the influence of capital adequacy supervision on the value of commercial banks. First, it introduces the meaning of capital adequacy regulation and the meaning of bank value and the measure index. Then, it analyzes the influence of capital adequacy regulation on bank value theoretically. Finally, the value of capital adequacy regulation is expounded through the angle of effect. Mechanism of action.
The third chapter is the development process of China's commercial bank capital adequacy regulation and the influence of new regulatory standards on China's banking industry. First, it introduces the development process of China's capital adequacy regulation, analyzes its existing problems, and then analyzes the impact of the new supervision standards on China's commercial banks with the current situation of China's capital adequacy ratio.
The fourth chapter is an empirical analysis of the influence of capital adequacy regulation on the value of commercial banks in China. First, the variable of bank value is interpreted and the capital adequacy ratio is the explanatory variable, and a series of control variables are introduced to control the causal relationship between the capital adequacy ratio and the bank value. The result shows that it is an explanatory variable. The capital adequacy ratio is super out of nature. According to the conditional model, it is effective to estimate the impact of capital adequacy regulation on commercial banks. The four big banks in state-owned holding are negative relations, and the two are positive relations among the stock listed commercial banks. Secondly, the capital adequacy ratio, the static capital adequacy ratio, the leverage ratio and the bank price, is the second. The results show that the leverage ratio, that is, the static capital adequacy ratio has a strong correlation with the bank value, which proves the correctness of the new regulatory index as a supplement to the capital adequacy ratio.
The fifth chapter is the countermeasures and suggestions. This paper, combining with the empirical conclusions, puts forward four suggestions on how our commercial banks seek to balance between the pursuit of maximization of value and the regulation of capital adequacy regulation. The four suggestions are from capital management, raising capital adequacy ratio, asset management, risk management, and cooperation with the supervision department. At the same time, it gives some suggestions on the transformation of the regulatory concept and mode of the bank supervision and the four aspects of the functions of the central bank and the banking self-discipline organization to promote its functional supervision and improve the effectiveness of the capital supervision.
The innovation of this article is mainly concentrated in three aspects:
First, in the study of the effectiveness of capital adequacy regulation, most of them can reduce the bank risk based on the regulation of capital adequacy ratio. On the basis of relevant literature review and theory, this paper summarizes the influence effect of capital adequacy regulation on banks, and expounds the effect of capital adequacy regulation on bank value through the perspective of effect. The way to sound.
Second, in the empirical method, the capital adequacy ratio is used as the explanatory variable and the bank value is interpreted as the explanatory variable. On the basis of the introduction of a series of control variables, the causality analysis is controlled and the extra external test is used.
Third, in the introduction of regulatory indicators, as a supplementary indicator of the regulation of capital adequacy, only suggestions are proposed and no empirical analysis is carried out. The leverage ratio is regarded as a static capital adequacy ratio, and the correlation of capital adequacy ratio, capital adequacy ratio and bank value is empirically analyzed by the grey correlation analysis method.
【學(xué)位授予單位】：山東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.33;F224

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