本文關鍵詞：中東歐五國銀行業(yè)系統(tǒng)性風險影響因素研究（2000-2012）　出處：《復旦大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 中東歐 銀行業(yè) 系統(tǒng)性風險 影響因素

【摘要】：中東歐五國21世紀初相繼完成了銀行業(yè)改革,外資銀行占據(jù)了主導地位,因此銀行業(yè)變得更加脆弱。為了便于監(jiān)管機構監(jiān)管,做到有的放矢,有必要對銀行業(yè)系統(tǒng)性風險的影響因素進行探討。本文在前人的基礎上,綜合采用宏微觀指標對中東歐銀行業(yè)系統(tǒng)性風險進行研究。首先,采用指標評分法粗略測度中東歐五國2004-2011年間銀行業(yè)系統(tǒng)性風險走勢。初步發(fā)現(xiàn)中東歐五國2006之前銀行業(yè)系統(tǒng)性風險逐漸減低,2006-2007表現(xiàn)最為穩(wěn)定。2008年次貸危機后,中東歐五國銀行業(yè)系統(tǒng)性風險整體上升。2009年之后,中東歐五國銀行業(yè)系統(tǒng)性風險表現(xiàn)有差異。其次利用三步回歸模型(基礎回歸模型、加入GDP制約因素回歸模型、加入金融開放程度制約因素回歸模型)對中東歐五國2000-2012年數(shù)據(jù)進行分析。結果發(fā)現(xiàn)1.中東歐五國21世紀初完成銀行業(yè)改革,使得中東歐銀行業(yè)系統(tǒng)性風險在2006年之前逐步下降；2.2008年金融危機主要通過國際貿易渠道使高度依賴歐盟貿易的中東歐五國經濟受挫,并影響到銀行業(yè)穩(wěn)定性。實證回歸結果驗證了該觀點。中東歐五國高外資依賴和高外債依賴的自身特征也讓金融危機通過預期渠道干擾了中東歐五國銀行業(yè)穩(wěn)定。事實上外資沒有大量撤資,資金流動和銀行等金融機構渠道并沒有顯著地傳遞金融危機產生的風險進入中東歐五國銀行業(yè)。相反,實證結果表明外資促進了中東歐銀行業(yè)的穩(wěn)定,提高銀行資產回報率,降低不良貸款率,同時發(fā)現(xiàn)中東歐五國經濟發(fā)展水平影響外資銀行對東道國銀行業(yè)作用的發(fā)揮。雖然,此次2008年次貸危機,外資銀行沒有大量撤資對中東歐五國銀行體系造成沖擊,但是中東歐五國政府為了進一步保障本國銀行業(yè)的穩(wěn)定性,需要改善“三高”局面--多元化貿易合作伙伴,降低外債負擔率和改善外資銀行控制本國銀行業(yè)的局面。
[Abstract]:In 21th century, five countries in Central and Eastern Europe completed the banking reform one after another, foreign banks occupied the dominant position, so the banking industry became more vulnerable. It is necessary to explore the influencing factors of banking systemic risk. Based on the previous studies, this paper comprehensively uses macro and micro indicators to study the systemic risk of banking in Central and Eastern Europe. Using index scoring method to roughly measure the trend of banking systemic risk in five countries of Central and Eastern Europe from 2004 to 2011. The preliminary results show that the systemic risk of banking in the five countries of Central and Eastern Europe before 2006 gradually decreased. 2006-2007 was the most stable. After the subprime mortgage crisis in 2008, the systemic risk of banking in five countries of Central and Eastern Europe rose overall. After 2009. There are differences in the performance of banking systemic risk in five countries of Central and Eastern Europe. Secondly, the three-step regression model (basic regression model) is used to add the regression model of GDP constraint factors. This paper analyzes the data of the five countries in Central and Eastern Europe from 2000 to 2012 by adding the regression model of financial openness. The results show that 1.The banking reform of the five countries in Central and Eastern Europe was completed in early 21th century. The systemic risk of banking in central and eastern Europe gradually declined before 2006; 2. The 2008 financial crisis has frustrated the economies of the five Central and Eastern European countries, which are highly dependent on EU trade, mainly through international trade channels. Empirical regression results verify this view. The characteristics of high foreign capital dependence and high external debt dependence of the five countries in Central and Eastern Europe also make the financial crisis interfere with the banking stability of the five central and eastern European countries through the expected channels. The fact is that foreign capital has not divested in large quantities. Financial institutions such as capital flows and banks do not significantly transfer the risk of financial crisis into the banking sector of the five central and eastern European countries. On the contrary, the empirical results show that foreign investment promotes the stability of the banking sector in Central and Eastern Europe. At the same time, it is found that the economic development level of five countries in Central and Eastern Europe affects the role of foreign banks in the banking industry of the host country. Although, in 2008, the subprime mortgage crisis. Foreign banks did not withdraw a large amount of the impact on the banking system of the five central and eastern European countries, but the five central and eastern European governments in order to further protect the stability of their banking sector. There is a need to improve the "three high" situation-diversification of trading partners, reduction of foreign debt burden and foreign banks to control the domestic banking sector.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F831.2

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