本文選題：資產(chǎn)價(jià)格 + 銀行脆弱性��； 參考：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：在過去幾十年中,隨著世界各國(guó)金融危機(jī)的頻繁爆發(fā),由資產(chǎn)價(jià)格波動(dòng)所引發(fā)的系統(tǒng)性金融危機(jī)已經(jīng)成為各國(guó)政府和中央銀行普遍關(guān)注的焦點(diǎn)。而我國(guó)目前仍處于以商業(yè)銀行為主導(dǎo)的金融體系中,金融危機(jī)的產(chǎn)生與發(fā)展必然與商業(yè)銀行的穩(wěn)健經(jīng)營(yíng)存在著密切聯(lián)系。因此重視資產(chǎn)價(jià)格波動(dòng)對(duì)我國(guó)銀行脆弱性的影響,探討其對(duì)我國(guó)銀行體系脆弱性影響的傳導(dǎo)途徑,對(duì)于我國(guó)銀行體系的穩(wěn)健經(jīng)營(yíng)和風(fēng)險(xiǎn)防范具有深遠(yuǎn)的意義。 在梳理國(guó)內(nèi)外學(xué)者已有的研究成果的基礎(chǔ)上,本文首先從宏觀經(jīng)濟(jì)和微觀金融角度分別選取了貸款增長(zhǎng)率、CPI和不良貸款率、資本充足率四個(gè)指標(biāo)對(duì)我國(guó)銀行體系脆弱性進(jìn)行了綜合評(píng)估,然后運(yùn)用VAR模型、Granger因果關(guān)系檢驗(yàn)、脈沖響應(yīng)、方差分析等實(shí)證學(xué)分析方法分別從整個(gè)股市板塊、房地產(chǎn)價(jià)格板塊和金融板塊三個(gè)方面研究了其對(duì)銀行體系脆弱性綜合指標(biāo)的影響。實(shí)證結(jié)果表明,房地產(chǎn)價(jià)格波動(dòng)對(duì)銀行脆弱性影響最大,金融板塊對(duì)其影響次之,整個(gè)股市的價(jià)格波動(dòng)對(duì)銀行脆弱性沒有顯著影響。更詳細(xì)的講,資產(chǎn)價(jià)格波動(dòng)對(duì)代表銀行脆弱性的宏觀經(jīng)濟(jì)指標(biāo)即貸款增長(zhǎng)率和CPI的影響較為顯著,而代表銀行體系脆弱性的微觀金融指標(biāo)即不良貸款率和資本充足率則更多的受制于銀監(jiān)會(huì)的監(jiān)管,受資產(chǎn)價(jià)格波動(dòng)影響較小。最后,在此基礎(chǔ)上,本文分別從銀行自身角度、資產(chǎn)價(jià)格調(diào)控角度、銀行業(yè)監(jiān)管角度和整個(gè)資本市場(chǎng)角度提出了相應(yīng)的政策建議。
[Abstract]:In the past few decades, with the frequent outbreak of financial crises in the world, the systemic financial crisis caused by the fluctuation of asset prices has become the focus of attention of governments and central banks. At present, China is still in the financial system dominated by commercial banks. The emergence and development of financial crisis must be closely related to the steady operation of commercial banks. Therefore, we attach importance to the impact of asset price fluctuation on the vulnerability of Chinese banks, and explore the transmission ways of its impact on the vulnerability of China's banking system. It has far-reaching significance for the steady operation and risk prevention of the banking system in China. On the basis of combing the existing research results of domestic and foreign scholars, This paper firstly selects four indicators of loan growth rate (CPI), non-performing loan ratio (NPLR) and capital adequacy ratio (capital adequacy ratio) to evaluate the vulnerability of China's banking system from the point of view of macro-economy and micro-finance respectively, and then uses VAR model to test the Granger causality. The impact of impulse response and variance analysis on the vulnerability of the banking system is studied from three aspects: the whole stock market, the real estate price and the financial sector. The empirical results show that the volatility of real estate prices has the greatest impact on the vulnerability of banks, followed by the financial sector, and the volatility of the whole stock market has no significant impact on the vulnerability of banks. More specifically, asset price volatility has a significant impact on the macroeconomic indicators that represent the vulnerability of banks, namely, the growth rate of loans and the CPI. On the other hand, the micro-financial index, that is, non-performing loan ratio and capital adequacy ratio, which represents the fragility of the banking system, is more subject to the supervision of the CBRC and is less affected by the fluctuation of asset prices. Finally, on this basis, this paper puts forward the corresponding policy recommendations from the perspective of the bank itself, asset price regulation, banking supervision and the whole capital market.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;F832.3

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本文編號(hào)：1978266