商業(yè)銀行收入結構與銀行風險研究
發(fā)布時間：2018-07-21 22:00
【摘要】：近年來隨著中國經(jīng)濟發(fā)展,利率市場化、銀行業(yè)改革、人民幣國際化等金融改革加快推進,資本市場發(fā)展導致的金融脫媒以及日趨嚴格的資本監(jiān)管迫使商業(yè)銀行從依賴貸款規(guī)模擴張,賺取利差收入的粗放擴張型逐步向業(yè)務多元化一服務功能多元化一收入多元化的模式轉(zhuǎn)變。我國商業(yè)銀行通過多元化經(jīng)營探索,在產(chǎn)品服務上不斷超越傳統(tǒng)商業(yè)銀行業(yè)務界限,不同業(yè)務的收入流形成多元化的收入組合,銀行收入結構逐步向多元化轉(zhuǎn)變。而從國際銀行業(yè)的發(fā)展趨勢來看,金融危機前國際銀行業(yè)銀行積極尋求新的業(yè)務和收入流,非利息收入占比不斷提高,形成多元化的收入結構。但國際銀行業(yè)大量從事投行和交易業(yè)務,銀行功能異化,系統(tǒng)性風險增加,金融危機后國際銀行業(yè)反思銀行收入多元化與銀行風險的關系,并進行了重大監(jiān)管改革。 因此,在當前分業(yè)經(jīng)營、分業(yè)監(jiān)管的背景下,研究中國銀行業(yè)的收入結構變遷,探討收入結構變化與銀行績效和風險的關系對中國商業(yè)銀行穩(wěn)定收入,分散風險,實現(xiàn)可持續(xù)發(fā)展,乃至對整個金融體系的安全也就有著重要的理論和現(xiàn)實意義。 本文首先對銀行收入多元化與銀行績效和風險的相關理論及文獻作系統(tǒng)梳理,特別是金融危機后最新的文獻的梳理和借鑒,以把握理論前沿和研究趨勢。深化和豐富銀行收入多元化與銀行績效和風險的相關理論體系。 其次,考察歐美等主要國家和國際主要大銀行的收入結構變遷,以及非利息收入發(fā)展對銀行績效和風險的影響。為中國銀行業(yè)提供經(jīng)驗和借鑒。在對美、德、英、日、瑞士等五個典型國家的考察中,發(fā)現(xiàn)各國的非利息收入占比及影響存在顯著的國別差異,對于非利息業(yè)務是否改善銀行績效和分散風險也并未得出一致的結論。但研究中發(fā)現(xiàn)共性的特點,如樣本國的利息收入都不斷下降,手續(xù)費和傭金收入是重要而穩(wěn)定的非利息收入來源,交易收入波動較大,非利息業(yè)務發(fā)展體現(xiàn)了規(guī)模特征。在對國際典型的10家大銀行的考察中,發(fā)現(xiàn)大銀行非利息收入占比較高,波動較大；但資本充足率較低,因此銀行風險相對較大；大銀行的凈息差較低；非利息收入占比提高并不一定改善銀行績效；大銀行非利息收入受金融危機影響較大,交易收入是虧損和收入波動的主因；大銀行收入結構與其業(yè)務模式、經(jīng)營導向和風險偏好密切相關。 第三,全面了解和考察中國經(jīng)濟金融變革的新形勢下我國商業(yè)銀行多元化經(jīng)營、收入結構變化和發(fā)展趨勢,考察銀行績效和風險管理情況和趨勢。目前我國商業(yè)銀行的多元化經(jīng)營模式主要有兩種：一是大型商業(yè)銀行普遍采取的銀行控股集團和金融控股集團模式；二是在在現(xiàn)行“分業(yè)經(jīng)營、分業(yè)監(jiān)管”的體制下,銀行與其他非銀行金融機構合作開展的銀信合作、銀證合作、銀基合作、銀保合作業(yè)務。目前商業(yè)銀行的收入依然主要依賴凈利息收入,非利息收入占比不高,但非利息收入發(fā)展較快。并表現(xiàn)出銀行類型和特征的差異。從商業(yè)銀行的績效和風險監(jiān)管指標來看,水平在不斷提升。商業(yè)銀行非利息業(yè)務還有較大的發(fā)展?jié)摿涂臻g,但要注意風險的防范與管理。 第四,本文構建銀行收入結構與銀行風險的理論體系和研究框架,進而建立收入結構與銀行風險的實證模型,并運用EVIEWS、R軟件等分析軟件進行實證分析。(1)對商業(yè)銀行的收入進行波動性分析。發(fā)現(xiàn)相比凈利息收入,非利息收入波動相對更大。(2)基于資產(chǎn)組合理論對收入波動性進行分解。發(fā)現(xiàn)2003-2013年間商業(yè)銀行整體收入波動性下降,主要來源于凈利息收入波動率的下降,其次來源于凈利息收入和非利息收入兩者的協(xié)方差基本為零(全部樣本銀行)或為負(大型商業(yè)銀行),因此銀行的收入組合可以分散風險。(3)基于資產(chǎn)組合理論,考察利息收入和非利息收入的相關性。計算結果表明凈利息收入和非利息收入的相關系數(shù)大多為負,具有分散風險效應。(4)對凈利息收入和非利息收入相關性的影響因素進行回歸分析,發(fā)現(xiàn)全樣本銀行的非利息收入份額對相關系數(shù)并沒有顯著的影響。(5)以國內(nèi)16家上市商業(yè)銀行2003-2013年銀行面板數(shù)據(jù)為研究對象,考察了收入多元化、非利息收入份額與銀行績效和風險之間的關系。估算結果顯示我國商業(yè)銀行的多元化程度與銀行績效和風險存在正相關關系。多元化程度提高有助于銀行改善績效,提高風險調(diào)整回報,降低銀行破產(chǎn)風險。但非利息收入占比與銀行績效和風險呈負相關關系。非利息收入占比提高會降低銀行績效水平,降低風險調(diào)整資產(chǎn)回報率,增加銀行破產(chǎn)風險。這體現(xiàn)了非利息收入的雙刃屬性。 最后,基于對國內(nèi)外銀行業(yè)收入結構變遷與銀行風險的全面考察和反思,結合中國銀行業(yè)收入結構與銀行風險的實證分析,對全文主要研究結論做出了歸納總結。對中國銀行業(yè)收入結構順利轉(zhuǎn)型和非利息業(yè)務發(fā)展的啟示和借鑒主要有：(1)應理性看待收入多元化和非利息收入占比,非利息收入的發(fā)展差異與各國金融制度、經(jīng)濟背景、經(jīng)營模式密切相關,不能單純以收入多元化程度和非利息收入占比來衡量銀行業(yè)的發(fā)展程度和競爭力；(2)收入多元化的同時應謹慎發(fā)展交易類業(yè)務；(3)非利息業(yè)務創(chuàng)新應以滿足實體經(jīng)濟金融服務需求為目的；(4)收入多元化應注重在銀行核心功能基礎上的延伸和創(chuàng)新；(5)商業(yè)銀行多元化定位應與其規(guī)模相適應；(6)商業(yè)銀行收入結構轉(zhuǎn)型要與全面風險管理相結合。
[Abstract]:In recent years, with the development of China's economy, interest rate marketization, banking reform, RMB internationalization and other financial reforms, the financial disintermediation caused by the development of capital market and the increasingly strict capital supervision have forced commercial banks to expand from the scale of reliance on loans, and gradually make a service diversification service. The diversification of functions and diversification has changed. Through diversification of business, commercial banks in our country continue to surpass the business boundary of traditional commercial banks in the product service. The income flow of different business forms a diversified income combination, and the bank income structure is gradually changing to the diversification. Before the financial crisis, the International Banking Bank actively sought new business and income flows, and the proportion of non interest income increased, forming a diversified income structure. However, the international banking industry was engaged in investment bank and trading business, banking function alienation, systemic risk increased, and after the financial crisis, the international banking industry reconsidered bank income diversification and banks The relationship between risk and major regulatory reform was carried out.
Therefore, in the context of the current division of business and division supervision, the study of the changes in the income structure of the Chinese banking industry and the relationship between the change of the income structure and the bank performance and the risk have important theoretical and practical implications for the stable income of the Chinese commercial banks, the dispersal of the risks, the realization of the sustainable development and the security of the whole financial system. Righteousness.
This paper first systematically combs the related theories and literature of bank income diversification and bank performance and risk, especially the latest literature after the financial crisis, in order to grasp the theoretical frontiers and research trends, and deepen and enrich the related theoretical system of bank income diversification and bank performance and risk.
Secondly, we examine the changes in the income structure of the major countries and major international banks, as well as the impact of non interest income development on the performance and risk of the bank, and provide experience and reference for the Chinese banking industry. In the investigation of five typical countries such as the United States, Germany, Britain, Japan and Switzerland, it is found that the proportion of non interest income and the influence of non interest countries are obvious. There is no consistent conclusion on whether non interest business improves bank performance and decentralization. However, in the study, the common features, such as the declining interest income of the country, are the important and stable sources of non interest income, the volatility of transaction income, and the non interest business. The exhibition shows the characteristics of scale. In the investigation of the 10 typical international banks, the non interest income of the large banks is higher and the fluctuation is larger; but the capital adequacy ratio is low, so the bank risk is relatively large; the net interest rate difference of the big banks is low; the increase of the non interest income ratio does not necessarily improve the bank performance; the big bank is not interest. Income is greatly influenced by the financial crisis, and the transaction income is the main cause of loss and income fluctuations; the income structure of the large bank is closely related to its business model, business orientation and risk preference.
Third, to fully understand and investigate the diversification of China's commercial banks under the new situation of economic and financial reform, the change of income structure and the trend of development, and examine the situation and trend of bank performance and risk management. At present, there are two main types of business banks in China: first, the bank control generally adopted by large commercial banks. Stock group and financial holding group model; two in the current "separate operation, division supervision" system, banks and other non bank financial institutions in cooperation with the silver letter, silver certificate cooperation, silver based cooperation, bank insurance cooperation. At present, the income of commercial banks is still mainly dependent on net interest income, non interest income is not high, However, the non interest income has developed rapidly and shows the difference between the types and characteristics of the bank. From the performance and risk supervision index of commercial banks, the level is constantly improving. The non interest business of commercial banks has greater development potential and space, but we should pay attention to the prevention and management of the risk.
Fourth, this paper constructs the theoretical system and research framework of bank income structure and bank risk, and then establishes an empirical model of income structure and bank risk, and makes empirical analysis using EVIEWS, R software and other software analysis software. (1) the Volatility Analysis of commercial banks' income is carried out. (2) the income volatility is decomposed on the basis of portfolio theory. It is found that the overall income volatility of commercial banks in the past 2003-2013 years is mainly due to the decline in net interest income volatility, followed by the basic zero (all sample banks) or negative (large commercial banks) from net interest income and non interest income. Therefore, the bank's income combination can disperse the risk. (3) based on the portfolio theory, the correlation between interest income and non interest income is examined. The results show that the correlation coefficient of net interest income and non interest income is mostly negative, and (4) the influence factors on the correlation between net interest income and non interest income are entered. The non interest income share of the full sample bank has no significant influence on the correlation coefficient. (5) the relationship between the income diversification, the non interest income share and the bank performance and risk is examined by the 2003-2013 year bank panel data of the 16 listed commercial banks in China. The results show that China's business is commercial. There is a positive correlation between the degree of diversification of banks and the performance and risk of banks. The improvement of diversification is helpful to improve the performance of banks, increase the return on risk adjustment, and reduce the risk of bank bankruptcy. However, the ratio of non interest income to bank performance and risk is negatively related. Risk adjusted asset return increases bank bankruptcy risk. This reflects the double edged nature of non interest income.
Finally, based on the comprehensive investigation and Reflection on the changes of domestic and foreign banks' income structure and bank risk, combined with the empirical analysis of the income structure of China's banking industry and the bank risk, the main conclusions are summed up. The enlightenment and reference for the smooth transition of the Chinese banking income structure and the development of non interest business are made. (1) we should rationally look at the diversification of income and the ratio of non interest income. The development difference of non interest income is closely related to the financial system, economic background and business model of various countries. The development degree and competitiveness of the banking industry can not be measured by the degree of income diversification and the ratio of non interest income. (2) the diversification of income should be carefully issued at the same time. Exhibition business; (3) non interest business innovation should be aimed at meeting the needs of real economic and financial services; (4) income diversification should pay attention to the extension and innovation on the basis of the core functions of the bank; (5) the diversification of commercial banks should be adapted to their scale; (6) the transformation of commercial banks' income structure should be related to comprehensive risk management. Close.
【學位授予單位】：華東師范大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.33;F830.42
本文編號：2136990
[Abstract]:In recent years, with the development of China's economy, interest rate marketization, banking reform, RMB internationalization and other financial reforms, the financial disintermediation caused by the development of capital market and the increasingly strict capital supervision have forced commercial banks to expand from the scale of reliance on loans, and gradually make a service diversification service. The diversification of functions and diversification has changed. Through diversification of business, commercial banks in our country continue to surpass the business boundary of traditional commercial banks in the product service. The income flow of different business forms a diversified income combination, and the bank income structure is gradually changing to the diversification. Before the financial crisis, the International Banking Bank actively sought new business and income flows, and the proportion of non interest income increased, forming a diversified income structure. However, the international banking industry was engaged in investment bank and trading business, banking function alienation, systemic risk increased, and after the financial crisis, the international banking industry reconsidered bank income diversification and banks The relationship between risk and major regulatory reform was carried out.
Therefore, in the context of the current division of business and division supervision, the study of the changes in the income structure of the Chinese banking industry and the relationship between the change of the income structure and the bank performance and the risk have important theoretical and practical implications for the stable income of the Chinese commercial banks, the dispersal of the risks, the realization of the sustainable development and the security of the whole financial system. Righteousness.
This paper first systematically combs the related theories and literature of bank income diversification and bank performance and risk, especially the latest literature after the financial crisis, in order to grasp the theoretical frontiers and research trends, and deepen and enrich the related theoretical system of bank income diversification and bank performance and risk.
Secondly, we examine the changes in the income structure of the major countries and major international banks, as well as the impact of non interest income development on the performance and risk of the bank, and provide experience and reference for the Chinese banking industry. In the investigation of five typical countries such as the United States, Germany, Britain, Japan and Switzerland, it is found that the proportion of non interest income and the influence of non interest countries are obvious. There is no consistent conclusion on whether non interest business improves bank performance and decentralization. However, in the study, the common features, such as the declining interest income of the country, are the important and stable sources of non interest income, the volatility of transaction income, and the non interest business. The exhibition shows the characteristics of scale. In the investigation of the 10 typical international banks, the non interest income of the large banks is higher and the fluctuation is larger; but the capital adequacy ratio is low, so the bank risk is relatively large; the net interest rate difference of the big banks is low; the increase of the non interest income ratio does not necessarily improve the bank performance; the big bank is not interest. Income is greatly influenced by the financial crisis, and the transaction income is the main cause of loss and income fluctuations; the income structure of the large bank is closely related to its business model, business orientation and risk preference.
Third, to fully understand and investigate the diversification of China's commercial banks under the new situation of economic and financial reform, the change of income structure and the trend of development, and examine the situation and trend of bank performance and risk management. At present, there are two main types of business banks in China: first, the bank control generally adopted by large commercial banks. Stock group and financial holding group model; two in the current "separate operation, division supervision" system, banks and other non bank financial institutions in cooperation with the silver letter, silver certificate cooperation, silver based cooperation, bank insurance cooperation. At present, the income of commercial banks is still mainly dependent on net interest income, non interest income is not high, However, the non interest income has developed rapidly and shows the difference between the types and characteristics of the bank. From the performance and risk supervision index of commercial banks, the level is constantly improving. The non interest business of commercial banks has greater development potential and space, but we should pay attention to the prevention and management of the risk.
Fourth, this paper constructs the theoretical system and research framework of bank income structure and bank risk, and then establishes an empirical model of income structure and bank risk, and makes empirical analysis using EVIEWS, R software and other software analysis software. (1) the Volatility Analysis of commercial banks' income is carried out. (2) the income volatility is decomposed on the basis of portfolio theory. It is found that the overall income volatility of commercial banks in the past 2003-2013 years is mainly due to the decline in net interest income volatility, followed by the basic zero (all sample banks) or negative (large commercial banks) from net interest income and non interest income. Therefore, the bank's income combination can disperse the risk. (3) based on the portfolio theory, the correlation between interest income and non interest income is examined. The results show that the correlation coefficient of net interest income and non interest income is mostly negative, and (4) the influence factors on the correlation between net interest income and non interest income are entered. The non interest income share of the full sample bank has no significant influence on the correlation coefficient. (5) the relationship between the income diversification, the non interest income share and the bank performance and risk is examined by the 2003-2013 year bank panel data of the 16 listed commercial banks in China. The results show that China's business is commercial. There is a positive correlation between the degree of diversification of banks and the performance and risk of banks. The improvement of diversification is helpful to improve the performance of banks, increase the return on risk adjustment, and reduce the risk of bank bankruptcy. However, the ratio of non interest income to bank performance and risk is negatively related. Risk adjusted asset return increases bank bankruptcy risk. This reflects the double edged nature of non interest income.
Finally, based on the comprehensive investigation and Reflection on the changes of domestic and foreign banks' income structure and bank risk, combined with the empirical analysis of the income structure of China's banking industry and the bank risk, the main conclusions are summed up. The enlightenment and reference for the smooth transition of the Chinese banking income structure and the development of non interest business are made. (1) we should rationally look at the diversification of income and the ratio of non interest income. The development difference of non interest income is closely related to the financial system, economic background and business model of various countries. The development degree and competitiveness of the banking industry can not be measured by the degree of income diversification and the ratio of non interest income. (2) the diversification of income should be carefully issued at the same time. Exhibition business; (3) non interest business innovation should be aimed at meeting the needs of real economic and financial services; (4) income diversification should pay attention to the extension and innovation on the basis of the core functions of the bank; (5) the diversification of commercial banks should be adapted to their scale; (6) the transformation of commercial banks' income structure should be related to comprehensive risk management. Close.
【學位授予單位】：華東師范大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.33;F830.42
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