本文關(guān)鍵詞： 集中度 競爭度 銀行風(fēng)險承擔(dān) Panzar-Rosse模型 MMR理論　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近幾年來,隨著銀行業(yè)改革步伐的加快及監(jiān)管部門對銀行進(jìn)入管制的放松,我國銀行業(yè)集中度逐步下降。而由于銀行行業(yè)的特殊性及在國民經(jīng)濟中的重要地位,放松銀行業(yè)管制可能會影響銀行業(yè)的穩(wěn)定性。因此,學(xué)界對此進(jìn)行了激烈的討論。一種觀點認(rèn)為,隨著銀行業(yè)進(jìn)入管制的放松,銀行業(yè)的壟斷租金將會下降,而新進(jìn)入者對行業(yè)秩序的打亂或許會引起銀行在激烈競爭中風(fēng)險承擔(dān)的提高,從而造成我國銀行業(yè)的不穩(wěn)定性。而另一種觀點則認(rèn)為,放松銀行業(yè)的進(jìn)入管制,可以通過競爭有效地提高銀行業(yè)效率,通過市場來這只“無形的手”來引導(dǎo)銀行業(yè)的健康發(fā)展,而非通過監(jiān)管部門對銀行業(yè)進(jìn)入的保護,使得銀行業(yè)沒有良好的激勵機制去提高效率,而坐享政府保護帶來的壟斷租金.關(guān)于銀行競爭度變化對銀行風(fēng)險承擔(dān)的影響機制,本文根據(jù)Martinez-Miera和Repullo(MMR,2010)的研究來構(gòu)建理論模型,解釋了競爭度與銀行風(fēng)險承擔(dān)呈“U型”相關(guān)的原因。具體來講,銀行在貸款市場上的競爭將會降低貸款利率,從而降低貸款的違約率,因此銀行的風(fēng)險承擔(dān)更低。而隨著競爭繼續(xù)增大,銀行的貸款利率更低,銀行從正常的貸款中獲得的利息收入的減少超過因不良貸款下降而減少損失,銀行最后利潤下降,因此銀行的風(fēng)險更高。同時,本文認(rèn)為過去學(xué)者把集中度和競爭度作為同一個測度來研究有失嚴(yán)謹(jǐn)。結(jié)合國內(nèi)銀行業(yè)實際情況,我國銀行業(yè)相比起金融市場發(fā)達(dá)地區(qū)其集中度并不低,然而我國銀行業(yè)同質(zhì)化競爭非常高。因此,我國銀行業(yè)的集中度與競爭度之間的關(guān)系并非完全負(fù)相關(guān)。針對該情況,本文中對銀行集中度和競爭度的測度加以區(qū)分。使用Panzar-Rosse模型計算我國銀行業(yè)的競爭度。接下來,本文通過116家銀行2001-2012年的非平衡面板數(shù)據(jù),就銀行集中度與風(fēng)險承擔(dān)構(gòu)建了模型并進(jìn)行實證檢驗�？紤]到之前大多數(shù)實證文章用線性模型來探討的局限性,本文分別構(gòu)建了用以赫芬達(dá)指數(shù)測量的集中度與以z值測量的風(fēng)險承擔(dān)二次型關(guān)系及線性關(guān)系的實證模型。發(fā)現(xiàn)雖然銀行的集中度與銀行的風(fēng)險承擔(dān)呈“倒U型”相關(guān)且顯著,但是由于本文的樣本區(qū)間均在“倒U型”關(guān)系的左側(cè),即結(jié)合中國實際數(shù)據(jù)及實際約束,中國銀行業(yè)的集中度與風(fēng)險承擔(dān)呈顯著正相關(guān)關(guān)系。并且在線性模型中兩者也是顯著正相關(guān)。而對銀行競爭度與風(fēng)險承擔(dān)的研究發(fā)現(xiàn)二者具有顯著正相關(guān)關(guān)系,但二次型關(guān)系不顯著。研究還發(fā)現(xiàn),銀行競爭度并不是導(dǎo)致銀行集中度與銀行風(fēng)險正相關(guān)的中介變量。最后,根據(jù)結(jié)論和我國的現(xiàn)實情況來給出政策建議。
[Abstract]:In recent years, with the quickening of the pace of banking reform and the relaxation of supervision and control on the entry of banks, the banking concentration in China has gradually decreased. However, due to the particularity of the banking industry and its important position in the national economy. Deregulation of the banking sector may affect the stability of the banking sector. Therefore, there has been a heated discussion in the academic community. One view is that the monopoly rent of the banking industry will decrease as the banking sector enters the regulation of deregulation. The disruption of the order of the industry by the new entrants may lead to the increase of the risk assumption of the banks in the fierce competition, which will lead to the instability of the banking industry in China. The other view is that the entry regulation of the banking industry should be relaxed. We can improve the efficiency of banking effectively through competition, and guide the healthy development of banking through the invisible hand of the market, rather than the protection of the entry of the banking sector through the regulatory authorities. So that the banking industry does not have a good incentive mechanism to improve efficiency and enjoy the monopoly rent brought by the government protection. In this paper, the theoretical model is constructed based on the research of Martinez-Miera and Repullol MMR-2010. This paper explains the reason that the degree of competition and the risk bearing of banks are U-shaped. Specifically, the competition of banks in the loan market will lower the interest rate of loans and thus reduce the default rate of loans. As a result, banks take lower risks. And as competition continues to increase, banks have lower interest rates on loans, and banks earn more interest income from normal loans than they lose as a result of the decline in non-performing loans. At the same time, this paper thinks that it is not strict to study the degree of concentration and competition as the same measure in the past, combined with the actual situation of domestic banking. Compared with the developed regions of financial market, the concentration of banking in our country is not low, but the homogenization competition of banking in our country is very high. The relationship between banking concentration and competition is not completely negative correlation. This paper makes a distinction between the degree of banking concentration and the degree of competition. The Panzar-Rosse model is used to calculate the degree of competition of the banking industry in China. This paper uses the non-equilibrium panel data of 116 banks from 2001 to 2012. This paper constructs a model of bank concentration and risk-taking and carries out an empirical test, taking into account the limitations of most previous empirical studies using linear models. In this paper, an empirical model of the quadratic and linear relationship between the concentration degree measured by the Her#internal_person0# index and the risk assumption measured by z value is constructed, and it is found that although the concentration degree of the bank is related to the risk bearing of the bank, Inverted U type was correlated and significant. However, the sample interval of this paper is on the left side of the "inverted U-shaped" relationship, that is, the combination of the actual data and the actual constraints in China. There is a significant positive correlation between the degree of concentration and risk taking in China's banking industry. And in the linear model, there is also a significant positive correlation between the degree of banking competition and the risk taking, while the study of the degree of bank competition and risk bearing shows that there is a significant positive correlation between them. However, the quadratic relationship is not significant. It is also found that the degree of bank competition is not the intermediary variable that leads to the positive correlation between banking concentration and bank risk. Finally, the policy recommendations are given according to the conclusion and the actual situation of our country.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳凌;;閑話產(chǎn)業(yè)集中度[J];中國鋼鐵業(yè);2005年06期

2 呂姝儀;;我國投資銀行業(yè)集中度測算及分析[J];北方經(jīng)貿(mào);2009年05期

3 李世龍;;我國居民消費集中度特點分析及理性消費建議[J];石油化工管理干部學(xué)院學(xué)報;2010年03期

4 何明霞;李靜;朱昌蕙;陳丹鏑;;探析我國制藥業(yè)市場集中度[J];現(xiàn)代預(yù)防醫(yī)學(xué);2011年11期

5 ;成熟標(biāo)志之四:產(chǎn)業(yè)集中度提升[J];汽車觀察;2013年07期

6 劉建平;集中度的估計與應(yīng)用[J];山西財經(jīng)學(xué)院學(xué)報;1993年05期

7 丁石;;關(guān)于財務(wù)公司資金集中度計算的思考[J];現(xiàn)代商業(yè);2014年03期

8 陳曉燕;陳玉嬌;張瑤;;2004-2008年中國汽車產(chǎn)業(yè)集中度現(xiàn)狀分析[J];大眾商務(wù);2010年08期

9 于忠,王繼翔;對我國銀行業(yè)集中度決定因素的實證分析[J];統(tǒng)計研究;2000年05期

10 杜傳忠;20世紀(jì)90年代以來西方國家工業(yè)集中度上升的原因及趨勢[J];世界經(jīng)濟;2002年05期

相關(guān)會議論文 前10條

1 李孝強;;我國銀行業(yè)集中度、規(guī)模對績效的影響[A];社會主義新農(nóng)村建設(shè)與金融支持學(xué)術(shù)研討會論文集[C];2006年

2 王新春;;平板玻璃行業(yè)合理集中度探討[A];2010全國玻璃技術(shù)交流研討會論文集[C];2010年

3 謝獲寶;張駿飛;;業(yè)務(wù)集中度與企業(yè)績效關(guān)系的實證研究[A];中國會計學(xué)會2007年學(xué)術(shù)年會論文集（下冊）[C];2007年

4 納麗;鄭廣芬;任少云;許建秋;;寧夏春、夏、秋季干旱與降水集中期及集中度的關(guān)系[A];第八屆全國優(yōu)秀青年氣象科技工作者學(xué)術(shù)研討會論文匯編[C];2014年

5 唐曉華;趙豐義;張丹寧;;我國裝備制造業(yè)集中度與研發(fā)強度的內(nèi)生性升級機制研究[A];2010年中國產(chǎn)業(yè)組織前沿論壇會議文集[C];2010年

6 陰國恩;陳燕麗;;青少年課外閱讀廣泛度和集中度的研究[A];第九屆全國心理學(xué)學(xué)術(shù)會議文摘選集[C];2001年

7 李嵩;高慶九;王冀;蘇麗欣;;吉林省降雪期降雪集中度和集中期變化特征[A];第31屆中國氣象學(xué)會年會——S3 短期氣候預(yù)測理論、方法與技術(shù)[C];2014年

8 戴廷仁;陸忠艷;;近46年遼寧省降水集中程度研究[A];中國氣象學(xué)會2007年年會氣候?qū)W分會場論文集[C];2007年

9 王紀(jì)軍;裴鐵t，

本文編號：1457387