本文關(guān)鍵詞： 利率市場(chǎng)化 商業(yè)銀行行為選擇 總量檢驗(yàn) 分量檢驗(yàn)　出處：《武漢大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：近年來(lái),中國(guó)經(jīng)濟(jì)增速放緩,商業(yè)銀行的經(jīng)營(yíng)與發(fā)展面臨著巨大的壓力,而利率市場(chǎng)化則給我國(guó)的商業(yè)銀行體系帶來(lái)了新的挑戰(zhàn)與機(jī)遇。利率市場(chǎng)化可以給予投資者與存款人更多回報(bào),擴(kuò)大與增加商業(yè)銀行的資金來(lái)源,有利于商業(yè)銀行增加負(fù)債規(guī)模、提升競(jìng)爭(zhēng)力;但利率市場(chǎng)化也有可能降低商業(yè)銀行的經(jīng)營(yíng)利潤(rùn)率,提高不良貸款率水平,給銀行業(yè)的發(fā)展帶來(lái)負(fù)面影響。在此背景下研究利率市場(chǎng)化對(duì)商業(yè)銀行行為選擇的影響、規(guī)避其帶來(lái)的風(fēng)險(xiǎn),并提出風(fēng)險(xiǎn)防范的政策建議具有非常重要的現(xiàn)實(shí)意義。本文首先使用貨幣經(jīng)濟(jì)學(xué)的相關(guān)理論,分析了利率市場(chǎng)化對(duì)商業(yè)銀行行為選擇的影響,然后基于中國(guó)16家上市商業(yè)銀行2008年以來(lái)的樣本數(shù)據(jù),構(gòu)建向量自回歸模型,從不良貸款率、信貸量、貸存比、利息收益率、資本充足率五個(gè)方面,進(jìn)行了總量檢驗(yàn)(將所有商業(yè)銀行視為一個(gè)整體)與分量檢驗(yàn)(將商業(yè)銀行分成不同類(lèi)型)。研究結(jié)果顯示利率市場(chǎng)化對(duì)商業(yè)銀行的行為選擇產(chǎn)生了較大的影響,不但壓縮了商業(yè)銀行的盈利水平,而且增加了商業(yè)銀行的經(jīng)營(yíng)風(fēng)險(xiǎn)�；诮Y(jié)論我們從重視宏觀環(huán)境風(fēng)險(xiǎn)、強(qiáng)化金融監(jiān)管、完善銀行內(nèi)部風(fēng)險(xiǎn)控制等方面提出了改進(jìn)的建議,并結(jié)合當(dāng)前的金融發(fā)展動(dòng)態(tài),提出了商業(yè)銀行利用互聯(lián)網(wǎng)金融的創(chuàng)新模式對(duì)沖利率市場(chǎng)化帶來(lái)的負(fù)面影響的政策建議。本文的創(chuàng)新之處在于:首先建立向量自回歸模型,從總量檢驗(yàn)與分量檢驗(yàn)的不同維度對(duì)比研究了利率市場(chǎng)化對(duì)商業(yè)銀行行為選擇的影響;其次基于實(shí)證結(jié)果,提出商業(yè)銀行應(yīng)對(duì)利率市場(chǎng)化沖擊的相關(guān)政策建議,同時(shí)結(jié)合當(dāng)前互聯(lián)網(wǎng)金融的發(fā)展,提出商業(yè)銀行要與時(shí)俱進(jìn)的轉(zhuǎn)型,利用互聯(lián)網(wǎng)金融的創(chuàng)新模式來(lái)主動(dòng)適應(yīng)利率市場(chǎng)化的影響。論文的不足之處在于:作為一名在職攻讀學(xué)位的研究生,我的理論分析水平有限,而且金融環(huán)境變化日新月異,關(guān)于商業(yè)銀行的行為選擇的相關(guān)分析還可以進(jìn)一步完善,我將在今后繼續(xù)深入研究。
[Abstract]:In recent years, China's economic growth has slowed, and commercial banks are facing tremendous pressure on their operation and development. The marketization of interest rate brings new challenges and opportunities to the commercial banking system of our country. The marketization of interest rate can give investors and depositors more returns and expand and increase the sources of funds of commercial banks. It is beneficial for commercial banks to increase the scale of debt and enhance their competitiveness; However, the marketization of interest rates may also reduce the operating profit rate of commercial banks and improve the level of non-performing loans. Under this background, this paper studies the influence of interest rate liberalization on the behavior choice of commercial banks, and avoids the risks brought by it. And put forward the policy recommendations of risk prevention has a very important practical significance. Firstly, using the relevant theory of monetary economics, this paper analyzes the impact of interest rate marketization on the behavior choice of commercial banks. Then based on the sample data of 16 Chinese listed commercial banks since 2008, a vector autoregressive model is constructed, which includes five aspects: non-performing loan ratio, credit volume, loan-deposit ratio, interest rate and capital adequacy ratio. Aggregate checks (all commercial banks considered as a whole) and component tests (classification of commercial banks into different types) were carried out. The results show that the marketization of interest rate has a great influence on the behavior choice of commercial banks. It not only compacts the profit level of commercial banks, but also increases the operating risks of commercial banks. Based on the conclusion, we should pay attention to macro environmental risks and strengthen financial supervision. Improve the bank internal risk control and other aspects of the recommendations for improvement, and combined with the current financial development. This paper puts forward the policy recommendations of commercial banks to use the innovative mode of Internet finance to hedge the negative impact of interest rate marketization. The innovation of this paper lies in: firstly, the vector autoregressive model is established. From the different dimensions of aggregate test and component test, this paper studies the influence of interest rate marketization on the behavior choice of commercial banks. Secondly, based on the empirical results, put forward the commercial banks to deal with the impact of market-oriented interest rate policy recommendations, and combined with the current development of Internet finance, the commercial banks should keep pace with the transition. Using the innovative mode of Internet finance to adapt to the impact of interest rate marketization. The shortcomings of this paper are: as an in-service graduate student, my theoretical analysis level is limited. Moreover, the financial environment is changing with each passing day, and the relevant analysis on the behavior choice of commercial banks can be further improved. I will continue to study deeply in the future.
【學(xué)位授予單位】：武漢大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.5;F832.33

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