【摘要】：緣起次級流通債券再證券化的2008年次貸危機不僅將美國推入了經(jīng)濟衰退,更是一夜之間讓流動性成為了全球商業(yè)銀行關(guān)注的焦點。由流動性危機引發(fā)的眾多銀行破產(chǎn)事件令全球金融市場一度風聲鶴唳。為了應對經(jīng)濟衰退以及金融市場的動蕩,包括中國政府在內(nèi)的各國政府都實行了程度不同的財政刺激政策。然而,伴隨著中國政府“4萬億”財政刺激政策的是更為寬松的貨幣政策。寬松貨幣政策的實行直接助長了銀行資產(chǎn)負債表的急劇擴張。事實上,后來的數(shù)據(jù)資料顯示當時大量資金流向了房地產(chǎn)、基礎(chǔ)設施以及一些產(chǎn)能過剩行業(yè)的國企,這無疑加重了大型商業(yè)銀行1“短借長用”的資金期限錯配程度,成為了其流動性問題的潛在不安因素。眾所周知,商業(yè)銀行的資金來自于高流動性的低成本負債,而去向多為缺乏流動性的高利潤資產(chǎn)。因而,大型商業(yè)銀行不僅為整個社會創(chuàng)造流動性,也同時面對著整個社會的流動性沖擊。作為大型商業(yè)銀行面臨的主要風險之一,流動性風險管理是其一項基本而重要工作。因此,計量大型商業(yè)銀行流動性風險的水平以及對其影響因素進行研究分析是極具意義的。 文章首先闡述了商業(yè)銀行流動性問題的概念以及產(chǎn)生的途徑,同時總結(jié)了西方商業(yè)銀行流動性風險度量理論：包括流動性風險的靜態(tài)和動態(tài)衡量方法。在對商業(yè)銀行流動性衡量方法總結(jié)的基礎(chǔ)上,本文分析了五家大型商業(yè)銀行基于資產(chǎn)負債結(jié)構(gòu)的內(nèi)部流動性現(xiàn)狀,包括對存貸比、個人儲蓄存款中定期存款占比等指標進行比較研究。結(jié)果顯示,各家大型商業(yè)銀行存在著存款活期化,長期貸款占比大等流動性問題。 承接上文流動性風險度量理論以及現(xiàn)狀分析的是實證部分。本文實證緊緊圍繞著大型商業(yè)銀行流動性風險的度量和影響因素兩部分來展開。在介紹了西方商業(yè)銀行一些傳統(tǒng)的流動性靜態(tài)指標以及動態(tài)衡量方法后,本部分通過主成分分析法將包括存貸比在內(nèi)的三個指標轉(zhuǎn)換成一個綜合得分,以此得到五家大型商業(yè)銀行十年間的流動性狀況的綜合評價。對于大型商業(yè)銀行流動性風險的影響因素這一部分,我們將主成分分析法得到的綜合得分序列作為流動性風險變量,運用灰色關(guān)聯(lián)分析法比較研究流動性風險狀況與其影響因素之間的關(guān)聯(lián)度。 最后,本文將現(xiàn)狀比較、理論分析、實證研究相結(jié)合,從微觀和宏觀兩個方面提出加強大型商業(yè)銀行流動性風險管理的對策建議。
[Abstract]:The subprime mortgage crisis of 2008, which led to the resecuritization of subprime bonds, not only pushed the United States into recession, but also made liquidity the focus of global commercial banks overnight. Bank failures triggered by the liquidity crisis have rattled global financial markets. In response to the recession and turmoil in financial markets, governments, including the Chinese government, have adopted fiscal stimulus policies of varying degrees. However, the Chinese government's "4 trillion" fiscal stimulus was accompanied by looser monetary policy. The implementation of loose monetary policy directly contributed to the rapid expansion of bank balance sheets. In fact, later data showed that a large amount of money was flowing into real estate, infrastructure, and state-owned enterprises in some industries with overcapacity, which undoubtedly aggravated the mismatch of large commercial banks'"short borrowing and long term" funds. It has become a potential source of unease for its liquidity problems. It is well known that commercial banks' funds come from highly liquid, low cost liabilities, and to illiquid, highly profitable assets. Therefore, large commercial banks not only create liquidity for the whole society, but also face the liquidity impact of the whole society. As one of the main risks faced by large commercial banks, liquidity risk management is a basic and important work. Therefore, it is of great significance to measure the level of liquidity risk of large commercial banks and analyze its influencing factors. This paper first expounds the concept of liquidity problem of commercial banks and the ways to produce it. At the same time, it summarizes the measurement theory of liquidity risk in western commercial banks, including the static and dynamic measurement methods of liquidity risk. On the basis of summing up the methods of measuring liquidity of commercial banks, this paper analyzes the present situation of internal liquidity of five large commercial banks based on the structure of assets and liabilities, including the ratio of deposit to loan. This paper makes a comparative study on the proportion of time deposits in personal savings deposits. The results show that large commercial banks have liquidity problems such as deposit demand and long-term loans. To undertake the liquidity risk measurement theory and current situation analysis is the empirical part. This paper focuses on the measurement and influencing factors of liquidity risk of large commercial banks. After introducing some traditional static liquidity indicators and dynamic measurement methods of western commercial banks, this part converts three indexes, including deposit to loan ratio, into a comprehensive score by principal component analysis. In this way, five large commercial banks for 10 years of comprehensive evaluation of the liquidity situation. For the part of influencing factors of liquidity risk of large commercial banks, we take the synthetic score sequence obtained by principal component analysis as liquidity risk variable. The relationship between liquidity risk and its influencing factors is studied by grey relational analysis. Finally, this paper compares the current situation, theoretical analysis, empirical research, from the micro and macro two aspects of strengthening the liquidity risk management of large commercial banks countermeasures.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

【參考文獻】

相關(guān)期刊論文 前10條

1 王曉楓;熊海芳;;商業(yè)銀行流動性轉(zhuǎn)變的實證研究[J];財經(jīng)問題研究;2009年12期

2 陳曉音;賀刻奮;;流動性均衡的成本最小化——商業(yè)銀行流動性管理的一種新框架[J];金融論壇;2008年03期

3 張維,蔣東明,熊熊,高雅琴,安瑛輝;商業(yè)銀行流動性風險管理決策程序研究[J];東南大學學報(哲學社會科學版);2004年04期

4 姚長輝;商業(yè)銀行流動性風險的影響因素分析[J];經(jīng)濟科學;1997年04期

5 童頻,丁之鎖;中國商業(yè)銀行流動性管理的特征及其制度背景[J];經(jīng)濟研究;2000年09期

6 馬宇;;我國農(nóng)村信用社流動性風險影響因素的實證分析——基于安徽省10家農(nóng)村信用社的調(diào)查證據(jù)[J];金融理論與實踐;2012年04期

7 張陽;;如何找準商業(yè)銀行流動性的最佳切合點[J];現(xiàn)代商業(yè)銀行;2006年04期

8 唐國儲,李選舉;新巴塞爾協(xié)議的風險新理念與我國國有商業(yè)銀行全面風險管理體系的構(gòu)建[J];金融研究;2003年01期

9 李啟成;商業(yè)銀行流動性風險:成因、衡量與控制[J];現(xiàn)代情報;2002年08期

10 劉宗華;商業(yè)銀行經(jīng)營中的流動性、流動性風險及其管理[J];新金融;2003年02期

相關(guān)博士學位論文 前2條

1 郭德維;銀行流動性風險度量與管理研究[D];天津大學;2009年

2 劉昕;商業(yè)銀行流動性風險管理研究[D];遼寧大學;2010年

，

本文編號：2231475