本文選題：同業(yè)業(yè)務(wù)　切入點(diǎn)：金融監(jiān)管　出處：《浙江大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：我國銀行體系同業(yè)業(yè)務(wù)在近十年來呈現(xiàn)井噴式發(fā)展,其增長背后的邏輯有著金融監(jiān)管的動因,而銀行發(fā)展同業(yè)業(yè)務(wù)也可能對銀行自身的風(fēng)險產(chǎn)生影響,為此本文對同業(yè)業(yè)務(wù)現(xiàn)狀、影響因素與風(fēng)險開展了研究:首先,本文從宏觀層面就我國銀行體系2006-2016年的同業(yè)業(yè)務(wù)發(fā)展趨勢進(jìn)行了現(xiàn)狀分析,分別從同業(yè)資產(chǎn)、同業(yè)負(fù)債以及同業(yè)創(chuàng)收三個角度描述了同業(yè)業(yè)務(wù)發(fā)展的特征,并估計得到我國銀行體系借道同業(yè)交易實現(xiàn)變相放貸即“銀行的影子”其規(guī)模在2016年年末達(dá)到27.91萬億水平;之后,本文從我國商業(yè)銀行的微觀數(shù)據(jù)入手,實證分析了金融監(jiān)管指標(biāo)對銀行配置同業(yè)業(yè)務(wù)的影響。經(jīng)驗結(jié)果表明資本充足率越低、存貸比越高,銀行在下一期會配置更多的同業(yè)資產(chǎn),另一監(jiān)管指標(biāo)不良貸款率的影響效應(yīng)并不顯著。進(jìn)一步研究顯示,2014年發(fā)布的旨在規(guī)范金融機(jī)構(gòu)同業(yè)業(yè)務(wù)的《通知》效力有待提高;最后,本文以Log-z指數(shù)作為銀行風(fēng)險的衡量指標(biāo),實證檢驗了發(fā)展同業(yè)業(yè)務(wù)對銀行自身風(fēng)險的影響。結(jié)果顯示銀行資產(chǎn)中同業(yè)業(yè)務(wù)比率與其風(fēng)險程度成正比,其作用機(jī)制是發(fā)展同業(yè)業(yè)務(wù)會降低銀行總資產(chǎn)收益率及提高其波動性。此外,銀行規(guī)模越小、貸款質(zhì)量越差、存貸比系數(shù)越高的銀行風(fēng)險也相對越大。
[Abstract]:In recent ten years, the interbank business of China's banking system has been booming. The logic behind its growth has the motivation of financial supervision, and the development of interbank business may also have an impact on the risk of the bank itself. Therefore, this paper studies the current situation, influencing factors and risks of interbank business. Firstly, this paper analyzes the development trend of interbank business in China's banking system from 2006 to 2016 from the macro level, and analyzes the current situation of interbank business from the perspective of interbank assets. The characteristics of interbank business development are described from the perspectives of interbank debt and interbank income generation, and it is estimated that the scale of "shadow of banks" reached 27.91 trillion level at the end of 2016. Starting from the microcosmic data of commercial banks in China, this paper empirically analyzes the impact of financial supervision indicators on the allocation of interbank business. The empirical results show that the lower the capital adequacy ratio, the higher the deposit / loan ratio. Banks will allocate more interbank assets in the next phase, and the impact of the non-performing loan ratio, another regulatory indicator, will not be significant. Further research shows that the effectiveness of the Notification issued on 2014 to regulate interbank operations by financial institutions needs to be improved; finally, This paper takes the Log-z index as a measure of bank risk, and empirically tests the influence of developing interbank business on banks' own risk. The results show that the ratio of interbank business in bank assets is proportional to the degree of risk. In addition, the smaller the bank size, the worse the loan quality, and the higher the ratio of deposit to loan ratio, the higher the bank risk.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.1

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