2004年至2012年我國商業(yè)銀行次級債券市場約束效應(yīng)實證分析
發(fā)布時間：2018-09-19 10:46
【摘要】：我國的次級債券市場在2009年之后經(jīng)歷了迅速而蓬勃的發(fā)展。2009年銀行次級債券發(fā)債規(guī)模為2681.4億人民幣,2010年為1227.9億人民幣,2011年我國發(fā)行次級債券的規(guī)模更是空前高漲達到了3241億人民幣。而在2009年之前,發(fā)債規(guī)模最多的年份不過828.85億人民幣,最少的年份只有95億人民幣�？梢�,我國的次級債券在2009年之后進入了一個新的發(fā)展階段。在2011年五家國有商業(yè)銀行都發(fā)行了次級債券,并且都在百億以上。股份制銀行和城商行發(fā)債也非常活躍。國內(nèi)銀行次級債券市場的爆發(fā)引起了我的關(guān)注,使我對2009年之后發(fā)生的與之相關(guān)的事情進行思考。 次級債券的求償順序排在存款人之后,不能在銀行破產(chǎn)時第一時間獲償,同時也不同于股東,不能享受銀行從業(yè)高風(fēng)險帶來的高收益。這種天生對風(fēng)險就敏感的特性使之具有市場約束功能。從國際的角度看,巴塞爾協(xié)議將“市場約束”列為三大支柱之一,可見全國銀行監(jiān)管機構(gòu)對于市場約束在銀行監(jiān)管、保障銀行業(yè)穩(wěn)健經(jīng)營中發(fā)揮的作用非常重視。 從國內(nèi)的角度看,2009年為金融危機爆發(fā)后的第一年,也是我國推出四萬億投資計劃振興經(jīng)濟的一年。我國的財政政策由“穩(wěn)健”變?yōu)椤胺e極”,貨幣政策由“從緊”變?yōu)椤斑m度寬松”。宏觀政策導(dǎo)向的調(diào)整使得我國2009年銀行貸款同2008年比增加9.59萬億,貸款余額達到39.97萬億,同比增長31.74%。在資產(chǎn)不斷擴張的情況下,為了滿足銀行資本充足率的監(jiān)管要求,商業(yè)銀行大規(guī)模發(fā)行次級債券補充資本金。次級債券也成為我國商業(yè)銀行補充資本金最重要的渠道。并且2009年銀監(jiān)會對于銀行之間互相持有次級債券在計入附屬資本時的具體計算方法進行了明文規(guī)定,要求將銀行持有的其他行的次級債券全額從本行的附屬資本中去除。并且規(guī)定銀行持有單一銀行和所有銀行的次級債券的規(guī)模不得超過其自身核心資本的15%和20%。這種“新老劃斷”的計算方法在2009年是一個改革。 作為一個重要的金融工具,次級債券的市場約束作用是否存在?國內(nèi)外的學(xué)者對其進行了廣泛而深入的探討。美國的學(xué)者對美國的次級債券市場分析的結(jié)果認(rèn)為次級債券的市場約束作用在上世紀(jì)90年代初之前幾乎不存在,90年代之后市場約束作用逐漸顯現(xiàn),2000年之后風(fēng)險抵御能力明顯增強。日本學(xué)者的研究顯示日本存在市場約束效應(yīng)。尤其是在允許北海道銀行倒閉之后,次級債券的市場約束作用增強了。新興市場和資本成熟的市場相比,由于市場缺陷導(dǎo)致市場約束作用不明顯。政府的隱性擔(dān)保對于市場約束作用的阻礙很大。另外,有學(xué)者建議應(yīng)該強制定期發(fā)行次級債券,有利于市場約束作用的發(fā)揮。國內(nèi)的研究從2002年開始,很多學(xué)者從理論上對次級債券的特性、功能以及重要性進行了探討,并對外我國商業(yè)銀行發(fā)行次級債券目的過于單一以及銀行間互持比率過高等問題進行分析。實證研究顯示我國2009年之前次級債券的市場約束幾乎不存在。不良貸款率、資本充足率等銀行重要的風(fēng)險指標(biāo)都不顯著,只有流動性指標(biāo)和資產(chǎn)結(jié)構(gòu)指標(biāo)得到了大多數(shù)人的認(rèn)可。2009年之后的實證結(jié)果顯示,我國次級債券市場的約束作用雖然不是很強但是確實存在。由于最新的實證文獻采用的數(shù)據(jù)只到2010年,所以本文將對直到2012年3月份為止的所有次級債券進行分析,研究我國的次級債券市場約束效應(yīng)是否有提升。另外,學(xué)者們普遍認(rèn)為政府對銀行的隱性擔(dān)保一直存在,并且阻礙了次級債券的發(fā)展。本文認(rèn)為,我國應(yīng)該盡快建立顯性存款保險制度以改善政府隱性擔(dān)保造成的投資者對風(fēng)險漠視的現(xiàn)狀。 第四章主要介紹次級債券的相關(guān)理論和我國次級債券市場發(fā)展的現(xiàn)狀。次級債券的理論方面主要是分析他獨有的、不同于股權(quán)和債權(quán)的特性。并從補充銀行資本金、助力銀行監(jiān)管、主動負(fù)債改善資產(chǎn)結(jié)構(gòu)以及推動銀行信息披露透明化四個角度闡述了次級債券的功能。次級債券市場約束的功能發(fā)揮也需要一定的前提條件,首先銀行要對其信息進行及時、準(zhǔn)確、充分的披露,其次投資者有能力對其進行分析判斷,再次市場有充分的流動性并且投資者有動力采取行動影響市場價格,最后銀行管理層需要對市場反應(yīng)以及投資者的態(tài)度采取回應(yīng),控制銀行的風(fēng)險。這四個條件缺一不可。在此基礎(chǔ)上,我對本國的次級債券市場進行了簡單分析。首先是從銀行監(jiān)管當(dāng)局對其制度規(guī)定的沿革上進行稱述,我國最近一次對次級債券的規(guī)定就是在2009年的“新老劃斷”政策。2011年年底,我國金融年會上將建立存款保險制度提上日程。接著我從發(fā)行規(guī)模、發(fā)行期限、發(fā)行利率以及利差、募集方式、投資主體五個方面,對2004年至2012年發(fā)行的138只次級債券的情況進行了分析。我國國有銀行、股份制銀行和城商行在各方面差別都比較大。國有銀行發(fā)債規(guī)模很大,主要集中在50億到150億之間,期限以15年為主,并且給予投資者的回報率比較小。股份制銀行的發(fā)債規(guī)模適中,主要以10年期10億人民幣到50億人民幣的為主。城商行的發(fā)債規(guī)模最小,只有10年期的產(chǎn)品,并且以10億人民幣以下的為主。我國次級債券主要采用固定利率發(fā)行,浮動利率的較少,般都是與固定債券的產(chǎn)品搭配發(fā)售。在募集方式上,大部分的銀行都采用公開發(fā)行的方式,城商行有采取定向私募的方式,主要是由于其規(guī)模較小,般都由當(dāng)?shù)氐钠髽I(yè)認(rèn)購。整體而言,我國的股份制銀行在這五個方面都是市場化程度最高的。但是我國的次級債券市場存在投資主體單一,銀行之間相互持有次級債券嚴(yán)重的情況。在了解了我國次級債券市場的基本情況之后,實證部分對我國是否存在市場約束情況進行了統(tǒng)計分析。 第五章的實證主要分為兩個部分,對樣本進行描述性分析和回歸分析。描述性分析主要是對樣本的特征、趨勢和相關(guān)性進行分析。結(jié)論為我國次級債券市場國有銀行規(guī)模占比最大。我國近三年來以國有銀行為代表發(fā)債規(guī)模劇增、股份制銀行和城商行也呈穩(wěn)步增長趨勢。對利差和銀行風(fēng)險變量走勢圖進行觀察,沒有觀察到明顯的相關(guān)性�；貧w分析中采用次級債券收益率與同期國債利差作為因變量,發(fā)債規(guī)模作為控制變量,銀行類別和發(fā)債期限為虛擬變量,銀行的資產(chǎn)規(guī)模、資本充足率、資產(chǎn)利潤率、不良貸款率、流動性比率五個指標(biāo)作為自變量。對2004年至2012年全樣本數(shù)據(jù)進行回歸。為了對比2009年之后市場情況是否有變化,對2009年之后的樣本數(shù)據(jù)進行了單獨回歸。結(jié)果為,我國次級債券市場約束效應(yīng)整體上確實存在,并且在2009年之后有所增強。銀行資產(chǎn)規(guī)模、資本充足率和資產(chǎn)利潤率三個指標(biāo)都顯著。但是不良貸款率和流動性比率對利差的影響不顯著。另外,我國不同類別銀行的情況顯著不同,政府對國有銀行進行了隱性擔(dān)保。 在對我國現(xiàn)狀和實證結(jié)果分析的基礎(chǔ)上,我提出了對我國次級債券市場的幾點想法。我國的次級債券市場要想更好地發(fā)揮市場約束效應(yīng),應(yīng)該盡快建立存款保險制度,消除政府對銀行的隱性擔(dān)保的影響。加強對銀行之間相互持有次級債券的監(jiān)管,以防系統(tǒng)性風(fēng)險傳染。多元化投資主體,增加整個市場的流動性。在產(chǎn)品設(shè)計上,應(yīng)該更加合理,開發(fā)對投資者有利的產(chǎn)品如賦予投資者贖回權(quán)。對債券的評級應(yīng)該逐步轉(zhuǎn)為投資者主動評級,切斷發(fā)行人和評級人的利益鏈條。我國可以嘗試以股份制銀行為試點,強制定期發(fā)行次級債券。 本文的創(chuàng)新之處有以下幾點。 第一,本文使用了從2004年到2012年3月的96只固定利率發(fā)行的次級債券樣本做實證分析。樣本數(shù)據(jù)全面,時效性強�？梢苑治龅侥壳盀橹拐麄�次級債券市場約束作用的效應(yīng)。對于我國次級債券市場約束效應(yīng)的實證研究最新的文獻是萬冰魂、張海(2010)采用的2004-2009年數(shù)據(jù),并且只有46個樣本�？梢�,國內(nèi)的實證文獻數(shù)據(jù)都比較陳舊,并且樣本量都很小,這對實證結(jié)果必然有影響。 另外,2009年之后我國次級債券市場發(fā)展非常迅速。經(jīng)歷了四萬億投資計劃、貸款規(guī)模迅速增長,銀行為了補充資本金,開始大規(guī)模的發(fā)行次級債券。這種增長的勢頭在2010年、2011年一直持續(xù)。市場容量的增加對市場約束作用是否有影響?這非常值得研究。除此之外,一直以來我國銀行間大量互持次級債券現(xiàn)狀十分嚴(yán)重。2009年我國銀行監(jiān)管當(dāng)局發(fā)文要求對2009年7月1日之后銀行持有的其他商業(yè)銀行的次級債券在計入附屬資本時全額扣除。這種新老劃斷的改革是對銀行間互相持有次級債券風(fēng)險的監(jiān)控。這個舉措對我國次級債券市場約束效應(yīng)是否有影響? 以上兩點都說明,本文的實證研究有一定的意義。另外,本文還專門對2009年之后發(fā)行的66只次級債券進行單獨回歸研究。研究2009年之后我國次級債券市場約束作用是否伴隨著發(fā)債規(guī)模的迅速增長而增強。 第二,本文將發(fā)債銀行進行分類,從時間順序和銀行類別兩個維度,對發(fā)債規(guī)模、發(fā)債期限、發(fā)債利差以及采用的發(fā)行方式等方面進行分析,對我國次級債券市場進行了全面剖析。國內(nèi)的實證文獻絕大多數(shù)是采用收益率差-風(fēng)險模型做回歸分析。本文在描述性統(tǒng)計部分,首先將樣本按時間順序分類,對每年次級債券的發(fā)行情況做趨勢分析,并且說明在每年中各類別銀行的發(fā)債情況以及占比；然后又將全樣本按銀行類別分類,分析各類銀行按照時間順序的發(fā)債情況變化趨勢。對發(fā)債規(guī)模、發(fā)債期限、發(fā)債利差以及采用的發(fā)行方式等方面的分析總結(jié)出我國國有銀行、股份制銀行和城商行的發(fā)債特點。 第三,本文在對實證思考的基礎(chǔ)上提出了以股份制銀行作為試點對象,強制我國銀行發(fā)行次級債券以促進次級債券市場約束作用的發(fā)揮的觀點。本文通過研究發(fā)現(xiàn),國有銀行發(fā)行次級債券的規(guī)模很大,但發(fā)行頻率很低,并且主要是國有銀行之間相互持有次級債券。城商行發(fā)行次級債券的頻率較高,但是每只次級債券的規(guī)模很小,大部分都小于10億。發(fā)行頻率過低,使得投資者不能及時獲得銀行風(fēng)險信息；發(fā)行規(guī)模過小,又使得投資者對風(fēng)險分析的動力不足,并且對整個次級債券市場的影響力不足,這些都導(dǎo)致市場約束作用不能很好地發(fā)揮。只有股份制銀行,發(fā)行規(guī)模適中,基本集中在50億到100億；發(fā)行頻率也適中,每年平均發(fā)行6只。股份制銀行大部分都進行了股權(quán)改革,有良好的治理結(jié)構(gòu),競爭意識和風(fēng)險意識都很強,并且以利潤最大化為目標(biāo),是我國銀行體系中市場化程度最高,最有活力的群體。因此,可以嘗試以股份制銀行為試點對象,推行強制發(fā)行次級債券以增強市場約束力的政策。 本文的不足之處有以下幾點：第一,銀行的財務(wù)數(shù)據(jù)指標(biāo)原則上是采用與發(fā)債日期最接近的日期發(fā)布的報告,但是實際中很多銀行定期公告數(shù)據(jù)不全,導(dǎo)致有些樣本的財務(wù)數(shù)據(jù)采用的是年度數(shù)據(jù),存在時滯。第二,本文主要研究市場對于銀行內(nèi)部風(fēng)險的敏感度問題,因此沒有將信用評級納入實證分析的變量中。第三,本文本想對銀行之間相互持有次級債券的情況進行具體分析,但是由于銀行信息披露不足或披露的過于隱蔽,加之筆者搜尋信息的能力有限,導(dǎo)致沒有找到相關(guān)信息,不能對其分析。這是我的遺憾,望各位老師和讀者諒解!
[Abstract]:China's subordinated bond market has experienced rapid and vigorous development since 2009. The scale of issuing bank subordinated bonds in 2009 was 268.14 billion yuan, in 2010 was 122.79 billion yuan, and in 2011 the scale of issuing subordinated bonds rose to 324.1 billion yuan unprecedentedly. In 2011, five state-owned commercial banks issued subordinated bonds, and all of them were more than 10 billion yuan. Joint-stock banks and city commercial banks also issued bonds very actively. The subordinated bond market of domestic banks was also very active. The outbreak has caught my attention and made me think about what happened after 2009.
Subordinated bonds, which rank after depositors in the order of claims, cannot be repaid in the first place when a bank goes bankrupt. They are also different from shareholders and can not enjoy the high returns brought about by high risks in the banking industry. As one of the three pillars, it can be seen that the national banking regulators attach great importance to the role of market constraints in banking supervision and ensuring the sound operation of the banking industry.
From the domestic point of view, 2009 is the first year after the outbreak of the financial crisis, and also the year when China launched a four-trillion-dollar investment plan to revitalize the economy. In order to meet the regulatory requirements of bank capital adequacy ratio, commercial banks issue large-scale supplementary capital of subordinated bonds. Subordinated bonds have also become the most important channel for commercial banks to supplement capital in China. And in 2009, Silver The Regulatory Commission expressly stipulates the specific calculation method for the mutual holding of subordinated bonds between banks when accessory capital is taken into account, requiring that the total amount of subordinated bonds held by other banks be removed from the bank's subsidiary capital, and stipulating that banks should not hold subordinated bonds of a single bank and all banks in excess of their own. 15% and 20%. of core capital is a reform in 2009.
As an important financial instrument, whether subordinated bond market restraint exists? Scholars at home and abroad have conducted extensive and in-depth discussion on it. American scholars believe that subordinated bond market restraint almost did not exist before the early 1990s, and listed after the 1990s. The market restraint effect of subordinated bonds has been strengthened, especially after allowing the bankruptcy of Hokkaido Bank. In addition, some scholars suggest that the periodic issuance of subordinated bonds should be compulsory, which is conducive to the exertion of market restraint. Since 2002, many scholars have theoretically discussed the characteristics, functions and importance of subordinated bonds. Empirical studies show that the market constraints of subordinated bonds are almost non-existent before 2009. Nonperforming loan ratio, capital adequacy ratio and other important risk indicators of banks are not significant, only liquidity indicators and asset balance. The empirical results after 2009 show that the restraint of China's secondary bond market is not very strong, but it does exist. As the latest empirical data used only in 2010, this paper will analyze all the secondary bonds up to March 2012 and study China. In addition, scholars generally believe that implicit government guarantees for banks have always existed and hindered the development of subordinated bonds. This paper argues that China should establish explicit deposit insurance system as soon as possible to improve the current situation of investors'ignorance of risk caused by implicit government guarantees.
Chapter Four mainly introduces the related theories of subordinated bonds and the current situation of the development of China's subordinated bond market.The theory of subordinated bonds mainly analyzes its unique characteristics, which are different from equity and creditor's rights.It also analyzes the characteristics of subordinated bonds from supplementing bank capital, promoting bank supervision, initiative debt to improve asset structure and promoting transparency of Bank information disclosure. Secondly, investors have the ability to analyze and judge the subordinated bonds. Secondly, the market has sufficient liquidity and investors have the motivation to take action. In the end, the bank management needs to respond to the market reaction and the investor's attitude to control the risk of the bank. These four conditions are indispensable. On this basis, I have made a simple analysis of the domestic secondary bond market. First, from the banking regulatory authority to describe the evolution of its system provisions, China recently. At the end of 2011, deposit insurance system will be set up at the annual financial meeting of our country. Then I will issue 138 subordinated bonds from 2004 to 2012 in five aspects: issuing scale, issuing term, issuing interest rate and interest margin, raising method and investors. China's state-owned banks, joint-stock banks and city commercial banks are quite different in various aspects. The scale of issuing bonds by state-owned banks is very large, mainly between 5 billion and 15 billion yuan. The term of issuing bonds is mainly 15 years, and the rate of return given to investors is relatively small. The issuance scale of the city commercial bank is the smallest, only 10-year products, and mainly less than 1 billion yuan. Subordinate bonds in China are mainly issued at fixed interest rates, with less floating interest rates, and are generally sold with fixed bonds. In the way of raising money, most banks adopt public issuance. As a whole, China's joint-stock banks have the highest degree of marketization in these five aspects. However, there is a single investor in China's secondary bond market, and banks hold secondary bonds seriously among each other. After knowing the basic situation of China's subordinated bond market, the empirical part makes a statistical analysis on whether there is market constraint in China.
The fifth chapter is mainly divided into two parts, descriptive analysis and regression analysis. The descriptive analysis is mainly to analyze the characteristics, trend and correlation of the samples. Banks and city commercial banks also showed a steady growth trend. There was no significant correlation between interest rate spreads and bank risk variables. In regression analysis, subordinated bond yields and current bond spreads were used as dependent variables, bond issuance scale as control variables, bank types and bond maturity as virtual variables, and bank assets as assets. In order to compare whether the market situation has changed after 2009, a separate regression is made on the sample data after 2009. The results show that the subordinate bond market restraint effect in China. The scale of bank assets, capital adequacy ratio and asset profit margin are all significant. But the non-performing loan ratio and liquidity ratio have no significant effect on interest margin.
Based on the analysis of the present situation and empirical results in China, I put forward some ideas on the subordinated bond market in China. If the subordinated bond market in China wants to exert the market restraint effect better, it is necessary to establish a deposit insurance system as soon as possible, eliminate the influence of the government on the implicit guarantee of banks, and strengthen the mutual holding of subordinated bonds between banks. In product design, it should be more reasonable to develop products that are beneficial to investors, such as giving investors redemption rights. China can try to issue subordinated bonds regularly with joint stock banks as a pilot project.
The innovations of this paper are as follows.
Firstly, this paper uses 96 samples of subordinated bonds issued with fixed interest rates from 2004 to March 2012 to make an empirical analysis. Zhang Hai (2010) used 2004-2009 data, and only 46 samples. It can be seen that the domestic empirical literature data are relatively old, and the sample size is very small, which will inevitably have an impact on the empirical results.
In addition, China's subordinated bond market has developed very rapidly since 2009. After four trillion yuan investment plan, the loan scale has increased rapidly. Banks began to issue subordinated bonds on a large scale in order to replenish capital. This growth momentum has been sustained in 2010 and 2011. Does the increase of market capacity have any impact on the market restraint? It is worth studying. In addition, a large number of inter-bank subordinated bonds have been very serious in China. In 2009, China's banking regulatory authorities issued a request to deduct the subordinated bonds of other commercial banks held by banks after July 1, 2009 in full when accessory capital is taken into account. To monitor the risk of holding subordinated bonds. Does this move affect the restraint effect of the subordinated bond market in China?
The above two points show that the empirical study of this paper has certain significance. In addition, this paper also conducts a separate regression study on 66 secondary bonds issued after 2009.
Secondly, this paper classifies bond issuing banks from two dimensions of time sequence and banking category, analyzes bond issuing scale, bond issuing term, bond issuing spreads and issuing methods, and makes a comprehensive analysis of China's secondary bond market. In the part of descriptive statistics, this paper firstly classifies the samples in chronological order, analyzes the trend of the issuance of subordinated bonds each year, and explains the issuance situation and the proportion of different types of banks in each year; then classifies the whole sample according to the types of banks, and analyzes the trend of the issuance of subordinated bonds in chronological order. Tendency. Analysis of the scale, maturity, interest spread and issuing methods of bonds issued, summarizes the special features of bonds issued by state-owned banks, joint-stock banks and city commercial banks in China.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
本文編號：2249910
[Abstract]:China's subordinated bond market has experienced rapid and vigorous development since 2009. The scale of issuing bank subordinated bonds in 2009 was 268.14 billion yuan, in 2010 was 122.79 billion yuan, and in 2011 the scale of issuing subordinated bonds rose to 324.1 billion yuan unprecedentedly. In 2011, five state-owned commercial banks issued subordinated bonds, and all of them were more than 10 billion yuan. Joint-stock banks and city commercial banks also issued bonds very actively. The subordinated bond market of domestic banks was also very active. The outbreak has caught my attention and made me think about what happened after 2009.
Subordinated bonds, which rank after depositors in the order of claims, cannot be repaid in the first place when a bank goes bankrupt. They are also different from shareholders and can not enjoy the high returns brought about by high risks in the banking industry. As one of the three pillars, it can be seen that the national banking regulators attach great importance to the role of market constraints in banking supervision and ensuring the sound operation of the banking industry.
From the domestic point of view, 2009 is the first year after the outbreak of the financial crisis, and also the year when China launched a four-trillion-dollar investment plan to revitalize the economy. In order to meet the regulatory requirements of bank capital adequacy ratio, commercial banks issue large-scale supplementary capital of subordinated bonds. Subordinated bonds have also become the most important channel for commercial banks to supplement capital in China. And in 2009, Silver The Regulatory Commission expressly stipulates the specific calculation method for the mutual holding of subordinated bonds between banks when accessory capital is taken into account, requiring that the total amount of subordinated bonds held by other banks be removed from the bank's subsidiary capital, and stipulating that banks should not hold subordinated bonds of a single bank and all banks in excess of their own. 15% and 20%. of core capital is a reform in 2009.
As an important financial instrument, whether subordinated bond market restraint exists? Scholars at home and abroad have conducted extensive and in-depth discussion on it. American scholars believe that subordinated bond market restraint almost did not exist before the early 1990s, and listed after the 1990s. The market restraint effect of subordinated bonds has been strengthened, especially after allowing the bankruptcy of Hokkaido Bank. In addition, some scholars suggest that the periodic issuance of subordinated bonds should be compulsory, which is conducive to the exertion of market restraint. Since 2002, many scholars have theoretically discussed the characteristics, functions and importance of subordinated bonds. Empirical studies show that the market constraints of subordinated bonds are almost non-existent before 2009. Nonperforming loan ratio, capital adequacy ratio and other important risk indicators of banks are not significant, only liquidity indicators and asset balance. The empirical results after 2009 show that the restraint of China's secondary bond market is not very strong, but it does exist. As the latest empirical data used only in 2010, this paper will analyze all the secondary bonds up to March 2012 and study China. In addition, scholars generally believe that implicit government guarantees for banks have always existed and hindered the development of subordinated bonds. This paper argues that China should establish explicit deposit insurance system as soon as possible to improve the current situation of investors'ignorance of risk caused by implicit government guarantees.
Chapter Four mainly introduces the related theories of subordinated bonds and the current situation of the development of China's subordinated bond market.The theory of subordinated bonds mainly analyzes its unique characteristics, which are different from equity and creditor's rights.It also analyzes the characteristics of subordinated bonds from supplementing bank capital, promoting bank supervision, initiative debt to improve asset structure and promoting transparency of Bank information disclosure. Secondly, investors have the ability to analyze and judge the subordinated bonds. Secondly, the market has sufficient liquidity and investors have the motivation to take action. In the end, the bank management needs to respond to the market reaction and the investor's attitude to control the risk of the bank. These four conditions are indispensable. On this basis, I have made a simple analysis of the domestic secondary bond market. First, from the banking regulatory authority to describe the evolution of its system provisions, China recently. At the end of 2011, deposit insurance system will be set up at the annual financial meeting of our country. Then I will issue 138 subordinated bonds from 2004 to 2012 in five aspects: issuing scale, issuing term, issuing interest rate and interest margin, raising method and investors. China's state-owned banks, joint-stock banks and city commercial banks are quite different in various aspects. The scale of issuing bonds by state-owned banks is very large, mainly between 5 billion and 15 billion yuan. The term of issuing bonds is mainly 15 years, and the rate of return given to investors is relatively small. The issuance scale of the city commercial bank is the smallest, only 10-year products, and mainly less than 1 billion yuan. Subordinate bonds in China are mainly issued at fixed interest rates, with less floating interest rates, and are generally sold with fixed bonds. In the way of raising money, most banks adopt public issuance. As a whole, China's joint-stock banks have the highest degree of marketization in these five aspects. However, there is a single investor in China's secondary bond market, and banks hold secondary bonds seriously among each other. After knowing the basic situation of China's subordinated bond market, the empirical part makes a statistical analysis on whether there is market constraint in China.
The fifth chapter is mainly divided into two parts, descriptive analysis and regression analysis. The descriptive analysis is mainly to analyze the characteristics, trend and correlation of the samples. Banks and city commercial banks also showed a steady growth trend. There was no significant correlation between interest rate spreads and bank risk variables. In regression analysis, subordinated bond yields and current bond spreads were used as dependent variables, bond issuance scale as control variables, bank types and bond maturity as virtual variables, and bank assets as assets. In order to compare whether the market situation has changed after 2009, a separate regression is made on the sample data after 2009. The results show that the subordinate bond market restraint effect in China. The scale of bank assets, capital adequacy ratio and asset profit margin are all significant. But the non-performing loan ratio and liquidity ratio have no significant effect on interest margin.
Based on the analysis of the present situation and empirical results in China, I put forward some ideas on the subordinated bond market in China. If the subordinated bond market in China wants to exert the market restraint effect better, it is necessary to establish a deposit insurance system as soon as possible, eliminate the influence of the government on the implicit guarantee of banks, and strengthen the mutual holding of subordinated bonds between banks. In product design, it should be more reasonable to develop products that are beneficial to investors, such as giving investors redemption rights. China can try to issue subordinated bonds regularly with joint stock banks as a pilot project.
The innovations of this paper are as follows.
Firstly, this paper uses 96 samples of subordinated bonds issued with fixed interest rates from 2004 to March 2012 to make an empirical analysis. Zhang Hai (2010) used 2004-2009 data, and only 46 samples. It can be seen that the domestic empirical literature data are relatively old, and the sample size is very small, which will inevitably have an impact on the empirical results.
In addition, China's subordinated bond market has developed very rapidly since 2009. After four trillion yuan investment plan, the loan scale has increased rapidly. Banks began to issue subordinated bonds on a large scale in order to replenish capital. This growth momentum has been sustained in 2010 and 2011. Does the increase of market capacity have any impact on the market restraint? It is worth studying. In addition, a large number of inter-bank subordinated bonds have been very serious in China. In 2009, China's banking regulatory authorities issued a request to deduct the subordinated bonds of other commercial banks held by banks after July 1, 2009 in full when accessory capital is taken into account. To monitor the risk of holding subordinated bonds. Does this move affect the restraint effect of the subordinated bond market in China?
The above two points show that the empirical study of this paper has certain significance. In addition, this paper also conducts a separate regression study on 66 secondary bonds issued after 2009.
Secondly, this paper classifies bond issuing banks from two dimensions of time sequence and banking category, analyzes bond issuing scale, bond issuing term, bond issuing spreads and issuing methods, and makes a comprehensive analysis of China's secondary bond market. In the part of descriptive statistics, this paper firstly classifies the samples in chronological order, analyzes the trend of the issuance of subordinated bonds each year, and explains the issuance situation and the proportion of different types of banks in each year; then classifies the whole sample according to the types of banks, and analyzes the trend of the issuance of subordinated bonds in chronological order. Tendency. Analysis of the scale, maturity, interest spread and issuing methods of bonds issued, summarizes the special features of bonds issued by state-owned banks, joint-stock banks and city commercial banks in China.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224
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