本文選題：資產(chǎn)價(jià)格 + 銀行體系��； 參考：《山西財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：2007年美國的次貸危機(jī)給世界經(jīng)濟(jì)帶來了巨大的影響，迫使各國央行以及商業(yè)銀行采取各種措施來緩解金融危機(jī)，此時(shí)銀行體系的穩(wěn)定性成為我國央行以及監(jiān)管當(dāng)局重點(diǎn)關(guān)注的目標(biāo)。銀行體系不穩(wěn)定總會(huì)伴隨著資產(chǎn)價(jià)格的波動(dòng)，金融危機(jī)期間，我國股票價(jià)格劇烈下跌，上證綜合指數(shù)從6000多點(diǎn)連續(xù)下跌至1600多點(diǎn)，房地產(chǎn)價(jià)格也有所下跌，給我國整個(gè)金融市場造成了巨大的沖擊，從而加劇了銀行體系的不穩(wěn)定。因此，研究資產(chǎn)價(jià)格波動(dòng)尤其是股票價(jià)格波動(dòng)和房地產(chǎn)價(jià)格波動(dòng)對銀行體系的穩(wěn)定性研究有著重要的意義。 本文以銀行體系穩(wěn)定為研究對象，把股票價(jià)格和房地產(chǎn)價(jià)格作為影響因素，根據(jù)2003-2012年的股票價(jià)格和房地產(chǎn)價(jià)格的月度數(shù)據(jù)對銀行體系的穩(wěn)定性進(jìn)行實(shí)證研究，，銀行體系穩(wěn)定性指數(shù)根據(jù)選取的六個(gè)指標(biāo)：銀行存款(YHCK)、銀行對非政府部門的貸款(DKZE)、銀行的外幣負(fù)債(WBFZ)、中央銀行對存款貨幣銀行貸款(YHDK)、儲(chǔ)蓄存款/M2(CM)、貸款/存款(DC)，采用合成指數(shù)法合成。在此基礎(chǔ)上，主要建立VAR模型，分析資產(chǎn)價(jià)格波動(dòng)對銀行體系穩(wěn)定性的影響。 研究結(jié)果表明：2007年之前我國的銀行穩(wěn)定性還是比較高的，2008年由于受金融危機(jī)的影響，資產(chǎn)價(jià)格大幅下跌，穩(wěn)定性指數(shù)下降，在2009年末之后，穩(wěn)定性有所上升；同時(shí)，股票價(jià)格和房地產(chǎn)價(jià)格這兩種資產(chǎn)價(jià)格的波動(dòng)對我國銀行體系的穩(wěn)定性有著明顯的影響，在不同的階段，資產(chǎn)價(jià)格的波動(dòng)對銀行體系穩(wěn)定性的方向和影響程度也不同。
[Abstract]:The subprime mortgage crisis in the United States in 2007 had a great impact on the world economy, forcing central banks and commercial banks to take various measures to alleviate the financial crisis.At this time, the stability of the banking system has become the focus of the central bank and regulatory authorities.The instability of the banking system is always accompanied by fluctuations in asset prices. During the financial crisis, the stock price of our country plummeted, the Shanghai Composite Index fell from more than 6000 points to more than 1600 points in succession, and real estate prices also fell.It has caused a huge impact on the whole financial market of our country, thus exacerbating the instability of the banking system.Therefore, it is of great significance to study the stability of the banking system by studying the volatility of asset price, especially the fluctuation of stock price and real estate price.Based on the monthly data of stock price and real estate price from 2003 to 2012, this paper makes an empirical study on the stability of the banking system based on the monthly data of stock price and real estate price from 2003 to 2012.The banking system stability index is based on six selected indicators: bank deposits, bank loans to the non-governmental sector, banks' foreign currency liabilities, central bank loans to deposit-money banks, savings deposits / deposits, loans / deposits,Synthesis by synthetic index method.On this basis, VAR model is established to analyze the influence of asset price fluctuation on the stability of banking system.The results show that: before 2007, China's banking stability is still relatively high, due to the impact of the financial crisis in 2008, asset prices fell sharply, stability index decreased, after the end of 2009, the stability increased; at the same time,The fluctuation of stock price and real estate price has obvious influence on the stability of Chinese banking system. In different stages, the fluctuation of asset price has different direction and degree of influence on the stability of banking system.
【學(xué)位授予單位】：山西財(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)】：F832.3;F832.5;F224

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本文編號(hào)：1765030