【摘要】：本文以中國14家上市銀行為研究樣本,建立了中國系統(tǒng)重要性銀行識別、監(jiān)管措施及效果評價(jià)、處置方法的分析框架進(jìn)行論證。首先分別利用指標(biāo)法和模型法對中國上市銀行的系統(tǒng)重要性進(jìn)行動態(tài)排序說明,發(fā)現(xiàn)大型商業(yè)銀行在兩種方法排序下系統(tǒng)均較為重要,應(yīng)識別為系統(tǒng)重要性銀行,同時(shí)應(yīng)審慎識別股份制系統(tǒng)重要性商業(yè)銀行；作者比較兩種指標(biāo)后認(rèn)為指標(biāo)法作為規(guī)范性指標(biāo)更易操作并能反映中國上市銀行的經(jīng)營狀況和關(guān)聯(lián)信息,模型法能從市場信息的角度分析銀行風(fēng)險(xiǎn)的外溢程度,因此應(yīng)當(dāng)兩種方法有機(jī)結(jié)合、綜合評估；然后比較國際和中國針對系統(tǒng)重要性銀行的資本監(jiān)管措施并梳理系統(tǒng)重要性金融機(jī)構(gòu)的恢復(fù)和處置框架,再利用面板數(shù)據(jù)對資本監(jiān)管措施的風(fēng)險(xiǎn)控制能力以及對信貸渠道的影響進(jìn)行實(shí)證分析,認(rèn)為資本監(jiān)管措施能夠有效降低系統(tǒng)重要性銀行的系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)、在短期內(nèi)會影響信貸投放,從而對宏觀經(jīng)濟(jì)產(chǎn)生影響；最后得出結(jié)論并建議建立完整的監(jiān)管框架、有效識別系統(tǒng)重要性銀行、對系統(tǒng)重要性銀行加強(qiáng)事前差別監(jiān)管以及建立恢復(fù)與處置框架以更為審慎地監(jiān)管系統(tǒng)重要性銀行。
[Abstract]:Taking 14 listed banks in China as research samples, this paper establishes an analytical framework for the identification, regulatory measures, effect evaluation and disposal methods of Chinese systemically important banks. Firstly, the index method and model method are used to illustrate the systematic importance of listed banks in China. It is found that the system of large commercial banks is more important under the two methods, and should be identified as systemically important banks, at the same time, the importance of joint-stock system should be carefully identified. After comparing the two indexes, the author thinks that the index method as a normative index is easier to operate and can reflect the operating situation and related information of listed banks in China. The model method can analyze the spillover degree of bank risk from the perspective of market information, so the two methods should be combined organically to evaluate comprehensively. Then it compares the international and Chinese capital supervision measures for systemically important banks and combs the recovery and disposal framework of systemically important financial institutions, and then makes an empirical analysis on the risk control ability of capital regulatory measures and the impact on credit channels by using panel data. It is considered that capital regulatory measures can effectively reduce the systemic risk contribution of systemically important banks, and will affect credit delivery in the short term. Thus having an impact on the macro economy; Finally, it is concluded that a complete regulatory framework should be established to effectively identify systemically important banks, strengthen differential supervision of systemically important banks in advance, and establish a recovery and disposal framework to supervise systemically important banks more carefully.
【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.1

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