【摘要】：自中國(guó)加入WTO后,中國(guó)經(jīng)濟(jì)金融發(fā)展的不確定因素、不安全因素逐漸增多,更容易受到外界的影響,由此誘發(fā)金融危機(jī)的因素也更多了。美國(guó)次貸危機(jī)引發(fā)的全球金融危機(jī)給我國(guó)的實(shí)體經(jīng)濟(jì)和金融體系帶來(lái)了一定的沖擊。在金融市場(chǎng)飛速發(fā)展的今天,商業(yè)銀行猶如一列高速運(yùn)轉(zhuǎn)的列車(chē),而充足的流動(dòng)性是維持不斷向前的動(dòng)力。一旦出現(xiàn)流動(dòng)性危機(jī),隨之而來(lái)的擠兌風(fēng)潮和信用危機(jī)會(huì)將商業(yè)銀行陷入困境之中。因此,最終打垮商業(yè)銀行的是流動(dòng)性風(fēng)險(xiǎn)。所以,完善流動(dòng)性風(fēng)險(xiǎn)披露制度和標(biāo)準(zhǔn),建立健全的風(fēng)險(xiǎn)管理系統(tǒng)顯得尤為重要。 在研究思路上,本文參考了國(guó)內(nèi)外的優(yōu)秀文獻(xiàn),對(duì)我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的管理現(xiàn)狀展開(kāi)了分析,在研究宏觀經(jīng)濟(jì)因素對(duì)流動(dòng)性風(fēng)險(xiǎn)的影響方面文章運(yùn)用ARDL模型做了實(shí)證分析并得出結(jié)論。文章主體分為六章,第一章為緒論,介紹了選題背景和選題意義,并且對(duì)商業(yè)銀行風(fēng)險(xiǎn)管理理論和國(guó)內(nèi)外文獻(xiàn)做出了整體的回顧。第二章為商業(yè)銀行風(fēng)險(xiǎn)管理的現(xiàn)狀分析。通過(guò)對(duì)我國(guó)國(guó)有商業(yè)銀行和股份制商業(yè)銀行的流動(dòng)性狀況進(jìn)行分析,得出我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理中現(xiàn)存的問(wèn)題。第三章為宏觀經(jīng)濟(jì)因素對(duì)我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的影響分析。從宏觀經(jīng)濟(jì)環(huán)境、央行貨幣政策、商業(yè)銀行融資能力、房地長(zhǎng)市場(chǎng)和股票市場(chǎng)五個(gè)方面展開(kāi)討論。第四章為我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的測(cè)度方法及評(píng)析。第五章為實(shí)證分析,本文分別選取了兩個(gè)商業(yè)銀行流動(dòng)性指標(biāo)來(lái)表現(xiàn)商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)。筆者選取了2009年1月至2013年3月的數(shù)據(jù),運(yùn)用ARDL模型分析了商業(yè)銀行流動(dòng)性指標(biāo)與同業(yè)拆借率、房地產(chǎn)均價(jià)、上證A股成交額以及貨幣流動(dòng)性之間的關(guān)系,得出同業(yè)拆借率、房地產(chǎn)均價(jià)和貨幣流動(dòng)性對(duì)商業(yè)銀行的流動(dòng)性有顯著影響。第六章為針對(duì)得出的結(jié)論對(duì)我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理提出一些建議。 在研究方法上,本文運(yùn)用了理論與實(shí)際相結(jié)合的方法、規(guī)范分析與實(shí)證分析相結(jié)合的方法和定量分析與定性分析相結(jié)合的方法。文章以國(guó)內(nèi)外已有的優(yōu)秀文獻(xiàn)和商業(yè)銀行風(fēng)險(xiǎn)管理理論為基礎(chǔ),結(jié)合我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理過(guò)程中的具體情況,對(duì)影響商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的宏觀因素進(jìn)行分析。并且運(yùn)用實(shí)證模型進(jìn)行計(jì)量分析驗(yàn)證模型得出的結(jié)果。 區(qū)別于以往的文獻(xiàn)研究,本文的創(chuàng)新之處在于從影響商業(yè)銀行流動(dòng)性的宏觀因素入手,運(yùn)用新的數(shù)據(jù)處理方式和計(jì)量模型分析商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)問(wèn)題。受限于本人的學(xué)術(shù)水平,研究過(guò)程可能存在不足。但是在金融全球化、經(jīng)濟(jì)一體化的背景下,重視商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)問(wèn)題,加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)管理在當(dāng)下有著重大的意義。希望通過(guò)對(duì)商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)管理問(wèn)題的研究,可以使商業(yè)銀行持續(xù)穩(wěn)定經(jīng)營(yíng)的目標(biāo)得以保障。
[Abstract]:Since China's entry into WTO, the uncertain factors and unsafe factors in China's economic and financial development have increased gradually, and are more susceptible to the external influence, thus inducing more factors of financial crisis. The global financial crisis caused by the subprime mortgage crisis in the United States has brought a certain impact to the real economy and financial system of our country. With the rapid development of financial market, commercial banks are like a train running at high speed, and sufficient liquidity is the driving force to keep moving forward. Once there is a liquidity crisis, the resulting run-off and credit crisis will put commercial banks into trouble. Therefore, the ultimate collapse of commercial banks is liquidity risk. Therefore, it is very important to perfect the system and standard of liquidity risk disclosure and establish a sound risk management system. Based on the research ideas, this paper analyzes the current situation of liquidity risk management of commercial banks in China, referring to the excellent literature at home and abroad. In the study of the impact of macroeconomic factors on liquidity risk, this paper makes an empirical analysis by using ARDL model and draws a conclusion. The main body of the article is divided into six chapters. The first chapter is the introduction, which introduces the background and significance of the topic, and makes an overall review of the risk management theory of commercial banks and domestic and foreign literature. The second chapter is the current situation analysis of commercial bank risk management. By analyzing the liquidity status of state-owned commercial banks and joint-stock commercial banks, the existing problems in liquidity risk management of Chinese commercial banks are obtained. The third chapter analyzes the influence of macroeconomic factors on liquidity risk of commercial banks in China. From the macroeconomic environment, the central bank monetary policy, the commercial bank financing ability, the real estate long market and the stock market five aspects starts to discuss. The fourth chapter is the measurement method and evaluation of liquidity risk of commercial banks in China. The fifth chapter is empirical analysis, this article selects two commercial bank liquidity index separately to express the commercial bank liquidity risk. The author selects the data from January 2009 to March 2013, and analyzes the relationship between the liquidity index of commercial banks and the interbank lending rate, the average real estate price, the turnover of A shares of Shanghai Stock Exchange and the currency liquidity by using the ARDL model, and obtains the interbank lending rate. The average real estate price and monetary liquidity have a significant impact on the liquidity of commercial banks. The sixth chapter gives some suggestions on liquidity risk management of commercial banks in China. In terms of research methods, this paper uses the method of combining theory with practice, the method of combining normative analysis with empirical analysis and the method of combining quantitative analysis with qualitative analysis. Based on the domestic and foreign excellent literature and the theory of commercial bank risk management, this paper analyzes the macro factors that affect the liquidity risk of commercial banks in the process of liquidity risk management of commercial banks in China. The empirical model is used to verify the results of the model. Different from the previous literatures, the innovation of this paper is to analyze the liquidity risk of commercial banks by using new data processing methods and econometric models, starting with the macro factors that affect the liquidity of commercial banks. Limited by my academic level, the research process may be inadequate. However, under the background of financial globalization and economic integration, it is of great significance to pay attention to liquidity risk of commercial banks and strengthen liquidity risk management. It is hoped that through the study of liquidity risk management of commercial banks, the goal of sustainable and stable operation of commercial banks can be guaranteed.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.33

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 張恩照;建立全面風(fēng)險(xiǎn)管理模式[J];銀行家;2004年02期

2 周建成;;轉(zhuǎn)型視角下的商業(yè)銀行流動(dòng)性過(guò)剩[J];銀行家;2007年12期

3 馮彥明;;商業(yè)銀行流動(dòng)性管理的國(guó)外經(jīng)驗(yàn)與中國(guó)選擇[J];銀行家;2008年06期

4 張志杰 ,鄢谷;芻議商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理問(wèn)題[J];福建金融;2003年05期

5 馮學(xué)敏;何雁明;;銀行流動(dòng)性過(guò)剩的現(xiàn)狀、成因及對(duì)貨幣政策有效性的影響[J];廣西金融研究;2007年01期

6 魏國(guó)雄;;關(guān)注宏觀流動(dòng)性收緊后的商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)[J];銀行家;2012年03期

7 黃朱黎;;利率市場(chǎng)化對(duì)我國(guó)商業(yè)銀行的影響及其策略研究[J];財(cái)經(jīng)界(學(xué)術(shù)版);2013年03期

8 范建軍;;利率市場(chǎng)化攻堅(jiān)戰(zhàn)已經(jīng)打響,建立存款保險(xiǎn)制度刻不容緩[J];重慶理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué));2013年02期

9 羅s，

本文編號(hào)：2368805