本文選題：銀行穩(wěn)健性　切入點(diǎn)：宏觀經(jīng)濟(jì)　出處：《吉林大學(xué)》2014年博士論文

【摘要】：在現(xiàn)代經(jīng)濟(jì)體系中，金融業(yè)已經(jīng)成為了發(fā)展的核心，對(duì)經(jīng)濟(jì)的增長(zhǎng)起著巨大的推動(dòng)作用，但與此同時(shí)，金融體系的動(dòng)蕩也會(huì)給經(jīng)濟(jì)運(yùn)行帶來(lái)負(fù)面影響，，金融危機(jī)的爆發(fā)甚至?xí)o實(shí)體經(jīng)濟(jì)帶來(lái)毀滅性的沖擊。銀行業(yè)作為金融業(yè)的基礎(chǔ)，在維護(hù)金融穩(wěn)定方面具有至關(guān)重要的作用。大量的理論和實(shí)證研究已經(jīng)充分證明，銀行危機(jī)先于金融危機(jī)產(chǎn)生，并且銀行業(yè)的危機(jī)程度決定了金融危機(jī)爆發(fā)的深度與廣度，因此，維護(hù)銀行穩(wěn)健性是維護(hù)金融穩(wěn)定的關(guān)鍵之一�，F(xiàn)階段，我國(guó)銀行業(yè)正面臨來(lái)自外部和內(nèi)部的雙重壓力，一方面我國(guó)已全面允許外資銀行進(jìn)入中國(guó)市場(chǎng)，由于外資銀行實(shí)力雄厚，服務(wù)、管理和風(fēng)險(xiǎn)控制水平較高，給我國(guó)本土銀行業(yè)發(fā)展帶來(lái)較大的外部壓力；另一方面，我國(guó)當(dāng)前宏觀經(jīng)濟(jì)形式放緩，同時(shí)政府不斷深化對(duì)銀行業(yè)的改革，銀行數(shù)量不斷上升，本土競(jìng)爭(zhēng)日趨激烈，給銀行業(yè)帶來(lái)了較大的內(nèi)部壓力。在此背景下，研究我國(guó)宏觀經(jīng)濟(jì)運(yùn)行與貨幣政策對(duì)銀行穩(wěn)健性的影響及銀行間風(fēng)險(xiǎn)溢出效應(yīng)的度量，均具有非常重要的理論和現(xiàn)實(shí)意義。 本文以金融穩(wěn)定的理論和國(guó)內(nèi)外學(xué)者對(duì)銀行領(lǐng)域的相關(guān)研究成果為基礎(chǔ)，運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)的分析方法，對(duì)我國(guó)不同類型銀行的穩(wěn)健性、不同類型銀行穩(wěn)健性與宏觀經(jīng)濟(jì)運(yùn)行之間的關(guān)聯(lián)、貨幣政策對(duì)銀行穩(wěn)健性影響的差異以及銀行系統(tǒng)性風(fēng)險(xiǎn)溢出效應(yīng)四個(gè)方面進(jìn)行了系統(tǒng)深入的研究，具體內(nèi)容如下： 首先，本文在IMF（2006）頒布的《金融穩(wěn)健指標(biāo)》的基礎(chǔ)上，結(jié)合我國(guó)央行提出的宏觀審慎監(jiān)管指標(biāo)，從資本充足性，資產(chǎn)質(zhì)量，銀行盈利能力和流動(dòng)性四個(gè)方面分別選取了銀行的代表性指標(biāo)，構(gòu)建了我國(guó)銀行穩(wěn)健性指標(biāo)體系，并利用該指標(biāo)體系中的核心指標(biāo)合成了我國(guó)銀行穩(wěn)健性指數(shù)BSI，以綜合評(píng)價(jià)我國(guó)銀行的穩(wěn)健性水平。通過(guò)對(duì)我國(guó)三類商業(yè)銀行穩(wěn)健性指數(shù)的分析，指出我國(guó)銀行業(yè)穩(wěn)健性明顯上升，并且均受到全球性金融危機(jī)的沖擊影響。然而，這種沖擊對(duì)三類銀行的影響略有不同，城市商業(yè)銀行受到影響的時(shí)期相對(duì)滯后于其他兩類銀行。此外，與大型商業(yè)銀行相比，股份制商業(yè)銀行穩(wěn)健性更易受到宏觀經(jīng)濟(jì)形式的影響。 其次，本文通過(guò)構(gòu)建PVAR模型對(duì)宏觀經(jīng)濟(jì)運(yùn)行與我國(guó)不同類型商業(yè)銀行穩(wěn)健性之間的沖擊響應(yīng)路徑進(jìn)行了分析。脈沖響應(yīng)分析結(jié)果顯示：信貸增長(zhǎng)率在短期內(nèi)有利于銀行穩(wěn)健性，并且對(duì)城市商業(yè)銀行穩(wěn)健性的影響最大，股份制商業(yè)銀行次之，對(duì)大型商業(yè)銀行的影響最��；股票市場(chǎng)指數(shù)的增長(zhǎng)對(duì)銀行穩(wěn)健性有正向影響，對(duì)城市商業(yè)銀行的穩(wěn)健性影響更持久；經(jīng)濟(jì)τ增長(zhǎng)在短期內(nèi)對(duì)銀行穩(wěn)健性有正向影響，在長(zhǎng)期對(duì)其影響為負(fù)；大型商業(yè)銀行穩(wěn)健性對(duì)信貸規(guī)模幾乎沒(méi)有影響，股份制商業(yè)銀行穩(wěn)健性對(duì)信貸規(guī)模增長(zhǎng)具有正向影響，而城市商業(yè)銀行穩(wěn)健性的提高卻不利于信貸規(guī)模增長(zhǎng)。同時(shí)，方差分解結(jié)果顯示：股票市場(chǎng)指數(shù)對(duì)股份制商業(yè)銀行穩(wěn)健性的影響小于其他兩類銀行，而信貸增長(zhǎng)率和經(jīng)濟(jì)增長(zhǎng)率對(duì)三類銀行穩(wěn)健性的貢獻(xiàn)很��；從三類銀行穩(wěn)健性對(duì)宏觀經(jīng)濟(jì)變量的影響來(lái)看，股份制商業(yè)銀行穩(wěn)健性對(duì)股票市場(chǎng)的影響比其他兩類銀行大；城市商業(yè)銀行對(duì)信貸規(guī)模增長(zhǎng)的影響明顯超過(guò)其他兩類銀行；城市商業(yè)銀行穩(wěn)健性對(duì)經(jīng)濟(jì)增長(zhǎng)的貢獻(xiàn)度遠(yuǎn)不如其他兩類銀行。 第三，本文利用面板分位數(shù)回歸方法分析了貨幣政策對(duì)不同類型商業(yè)銀行穩(wěn)健性影響的差異，結(jié)果顯示：三類銀行穩(wěn)健性與匯率均呈負(fù)相關(guān)關(guān)系，并且大型商業(yè)銀行受匯率波動(dòng)的影響明顯高于其他兩類銀行，隨著其自身穩(wěn)健性的提高，影響程度逐漸變��；利率對(duì)三類銀行穩(wěn)健性的影響均為正，且對(duì)具有中等穩(wěn)健性的城市商業(yè)銀行作用更明顯，隨著銀行穩(wěn)健水平的提高，對(duì)銀行穩(wěn)健性的影響程度逐漸減弱。此外，利率對(duì)城市商業(yè)銀行穩(wěn)健性的影響小于其對(duì)股份制商業(yè)銀行的影響。通過(guò)信貸增長(zhǎng)率對(duì)三類銀行穩(wěn)健性的影響，可以看到信貸增長(zhǎng)與大型商業(yè)銀行穩(wěn)健性呈負(fù)相關(guān)關(guān)系，但對(duì)城市商業(yè)銀行的穩(wěn)健性影響并不顯著。而對(duì)于股份制商業(yè)銀行來(lái)說(shuō)，在其穩(wěn)健性較差的情況下，信貸增長(zhǎng)率不利于銀行穩(wěn)健性，在其穩(wěn)健性較好的情況下，信貸增長(zhǎng)率反而有助于提高穩(wěn)健程度。 第四，本文還通過(guò)建立CoVaR模型，利用分位數(shù)回歸技術(shù)度量了我國(guó)三類十六家上市商業(yè)銀行在極端分位數(shù)條件下（τ=0.05）的風(fēng)險(xiǎn)溢出效應(yīng)。通過(guò)研究金融風(fēng)險(xiǎn)的各種狀態(tài)變量對(duì)銀行機(jī)構(gòu)極端風(fēng)險(xiǎn)的影響，得出股票市場(chǎng)收益率與股票市場(chǎng)價(jià)格波動(dòng)會(huì)增加銀行的極端風(fēng)險(xiǎn)，并且股票市場(chǎng)波動(dòng)率對(duì)城市商業(yè)銀行極端風(fēng)險(xiǎn)的影響最大；流動(dòng)性價(jià)差會(huì)減小銀行的極端風(fēng)險(xiǎn)，且對(duì)股份制商業(yè)銀行與城市商業(yè)銀行效果更明顯；期限利差也可以減小銀行的極端風(fēng)險(xiǎn)，但對(duì)大多數(shù)商業(yè)銀行影響效果不明顯。在此基礎(chǔ)上，通過(guò)計(jì)算單個(gè)銀行在0.05分位點(diǎn)下的VaRit、CoVaRit以及C oVaRsystem|it值，發(fā)現(xiàn)CoVaR可以更好地度量銀行的風(fēng)險(xiǎn)及其對(duì)系統(tǒng)的溢出效應(yīng)，大型商業(yè)銀行的C oVaR值明顯大于另外兩類商業(yè)銀行。通過(guò)對(duì)C oVaRsystem|it進(jìn)行排序，發(fā)現(xiàn)對(duì)系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)最高的四個(gè)商業(yè)銀行始終是大型商業(yè)銀行，其他類型銀行對(duì)系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)的排序沒(méi)有明顯規(guī)律，但可以發(fā)現(xiàn)，城市商業(yè)銀行對(duì)系統(tǒng)性風(fēng)險(xiǎn)的貢獻(xiàn)受宏觀因素的影響大于其他兩類銀行。
[Abstract]:In the modern economic system , the financial industry has become the core of the development , plays an important role in the economic growth , but at the same time , the financial crisis can bring about a devastating impact on the economic operation .
On the other hand , China ' s current macro - economic form slows down , while the government is deepening the reform of the banking industry , the number of banks is increasing , the local competition is becoming more and more intense , bringing great internal pressure to the banking industry . In this context , it is very important to study the influence of macro - economic operation and monetary policy on bank robustness and the measure of inter - bank risk spillover effect .

Based on the theory of financial stability and the relevant research results of domestic and foreign scholars in the field of banking , this paper makes a systematic study on the relationship between the robustness of different types of banks , the stability of different types of banks and the macro - economic operation of different types of banks , the differences of monetary policy on the stability of banks and the spillover effects of systemic risk of banks .

First of all , on the basis of the financial stability index issued by the IMF ( 2006 ) , based on the macro - prudential supervision index proposed by the central bank of China , the bank ' s robust index system is selected from four aspects : capital adequacy , asset quality , bank profitability and liquidity .

Secondly , this paper analyzes the impact response path between macro - economic operation and the stability of different types of commercial banks by constructing PVAR model .
The increase of stock market index has positive effect on the bank ' s robustness , and has more lasting effect on the robustness of the city commercial bank ;
The growth of economy in the short term has positive effect on the bank ' s robustness , which is negative in the long term .
The stability of large commercial banks has little effect on the scale of credit , and the stability of the stock - stock commercial banks has positive impact on the growth of credit scale , while the steady growth of the commercial banks is not conducive to the increase of credit scale . At the same time , the results of variance decomposition show that the influence of stock market index on the robustness of stock - stock commercial banks is less than that of other two types of banks , while credit growth rate and economic growth rate contribute little to the robustness of three types of banks ;
From the influence of three kinds of bank ' s robustness on macro - economic variables , the influence of the stock - stock commercial banks on the stock market is bigger than that of other two kinds of banks ;
The effect of urban commercial banks on the growth of credit scale is obviously higher than that of other two kinds of banks ;
The contribution of the robustness of urban commercial banks to economic growth is far inferior to that of other two types of banks .

Thirdly , this paper analyzes the difference of the effect of monetary policy on the stability of different types of commercial banks by using the panel - quantile regression method . The results show that the three kinds of banks have negative correlation with the exchange rate , and the effect of the fluctuation of the exchange rate of the large commercial banks is obviously higher than that of the other two kinds of banks .
The effect of interest rate on the robustness of the three kinds of banks is positive , and the effect of the interest rate on the bank ' s robustness is gradually weakened with the improvement of the bank ' s sound level .

Fourthly , by establishing the CoVaR model , the risk spillover effect of three kinds of listed commercial banks in China ( 蟿 = 0.05 ) is measured by using the quantile regression technique . By studying the influence of various state variables of financial risk on the extreme risks of the banking institutions , it is concluded that the volatility of stock market returns and the market price increases the extreme risks of the banks , and the volatility of the stock market has the greatest impact on the extreme risks of the commercial banks .
The liquidity difference will reduce the bank ' s extreme risk , and the effect of the joint - stock commercial bank and the city commercial bank is more obvious ;
Based on the calculation of VaRit , CoVaRit and C oVaRsystem , it is found that CoVaR can better measure the bank ' s risk and its spillover effect by calculating VaRit , CoVaRit and C oVaRsystem at 0.05 points .

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.33

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