本文選題：流動(dòng)性風(fēng)險(xiǎn) + 同業(yè)拆借　； 參考：《南京師范大學(xué)》2014年碩士論文

【摘要】：流動(dòng)性風(fēng)險(xiǎn)是導(dǎo)致銀行破產(chǎn)的主要風(fēng)險(xiǎn)。尤其在經(jīng)過2008年金融危機(jī)后,各國(guó)更加重視防范流動(dòng)性風(fēng)險(xiǎn),巴塞爾協(xié)議Ⅲ更是提出了新的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管措施和指標(biāo)。近年來我國(guó)同業(yè)拆借業(yè)務(wù)快速發(fā)展,同業(yè)拆借改變了銀行的資產(chǎn)和負(fù)債結(jié)構(gòu),勢(shì)必對(duì)銀行的流動(dòng)性風(fēng)險(xiǎn)有所影響。本文立足于以上背景,分析同業(yè)拆借對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)的影響方式和程度。 本文圍繞同業(yè)拆借對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)影響的主題,從理論和實(shí)證兩方面展開了分析。在對(duì)國(guó)內(nèi)外相關(guān)文獻(xiàn)進(jìn)行梳理的基礎(chǔ)上,首先從理論上分析了同業(yè)拆借對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)的三種影響渠道：第一,通過風(fēng)險(xiǎn)傳染對(duì)其他銀行的流動(dòng)性風(fēng)險(xiǎn)產(chǎn)生影響；第二,同業(yè)拆借能夠降低銀行流動(dòng)性風(fēng)險(xiǎn)并能實(shí)現(xiàn)收益；第三,為應(yīng)對(duì)短期流動(dòng)性需求拆入資金引發(fā)流動(dòng)性風(fēng)險(xiǎn)。其次,分析了幾種銀行流動(dòng)性風(fēng)險(xiǎn)的度量方法,有靜態(tài)指標(biāo)法、動(dòng)態(tài)指標(biāo)法、壓力測(cè)試以及主成分分析法,經(jīng)過比較,主成分分析法可以綜合多個(gè)流動(dòng)性風(fēng)險(xiǎn)指標(biāo),能夠更全面、系統(tǒng)地反映流動(dòng)性風(fēng)險(xiǎn)狀況,故本文采用主成分分析法度量銀行流動(dòng)性風(fēng)險(xiǎn)。本文的實(shí)證研究分為兩部分,第一部分采用主成分分析法評(píng)估銀行流動(dòng)性風(fēng)險(xiǎn)水平,結(jié)論是不同類別銀行間流動(dòng)性風(fēng)險(xiǎn)水平有較大差距,城市商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)普遍較高。第二部分用固定效應(yīng)模型檢驗(yàn)同業(yè)拆借對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)的影響程度,并利用主成分分析法衡量銀行流動(dòng)性風(fēng)險(xiǎn)的結(jié)果作為模型的被解釋變量。通過實(shí)證研究發(fā)現(xiàn),同業(yè)拆借利率對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)有著顯著的影響,此外,銀行規(guī)模、資本充足率以及貨幣增長(zhǎng)率和通貨膨脹均對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)有顯著影響。最后,本文根據(jù)理論結(jié)論和實(shí)證檢驗(yàn)結(jié)果,針對(duì)同業(yè)拆借業(yè)務(wù),提出了強(qiáng)化銀行流動(dòng)性風(fēng)險(xiǎn)管理的建議。
[Abstract]:Liquidity risk is the main risk leading to bank bankruptcy. Especially after the financial crisis in 2008, countries pay more attention to the prevention of liquidity risk, Basel III proposed a new regulatory measures and indicators of liquidity risk. With the rapid development of interbank lending in China in recent years, interbank lending has changed the structure of assets and liabilities of banks, which is bound to affect the liquidity risk of banks. Based on the above background, this paper analyzes the influence of interbank lending on bank liquidity risk. This paper analyzes the effect of interbank lending on liquidity risk of commercial banks from both theoretical and empirical aspects. On the basis of combing the relevant literature at home and abroad, this paper first analyzes three kinds of influence channels of interbank lending on bank liquidity risk: first, the influence of risk contagion on liquidity risk of other banks; second, Interbank lending can reduce bank liquidity risk and achieve returns; third, liquidity risk is triggered by borrowing funds in response to short-term liquidity needs. Secondly, this paper analyzes several kinds of measurement methods of bank liquidity risk, including static index method, dynamic index method, stress test and principal component analysis method. After comparison, principal component analysis method can synthesize multiple liquidity risk indicators. It can reflect liquidity risk more comprehensively and systematically, so this paper uses principal component analysis to measure liquidity risk. The empirical study of this paper is divided into two parts. The first part uses principal component analysis method to evaluate the liquidity risk level of banks. The conclusion is that there is a big gap between different types of banks liquidity risk level, the liquidity risk of urban commercial banks is generally higher. In the second part, the fixed effect model is used to test the influence of interbank lending on bank liquidity risk, and the results of principal component analysis are used as the explanatory variables of the model. The empirical study shows that the interbank lending rate has a significant impact on the liquidity risk of banks, in addition, the size of the bank, capital adequacy ratio, monetary growth rate and inflation have significant effects on the liquidity risk of banks. Finally, according to the theoretical conclusions and empirical test results, this paper puts forward some suggestions to strengthen the liquidity risk management of banks.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33;F832.2

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