本文選題：商業(yè)銀行 + 風(fēng)險偏好��； 參考：《哈爾濱工業(yè)大學(xué)》2017年碩士論文

【摘要】：2008年美國發(fā)生波及廣泛的“次貸危機”,使人們深刻意識到金融中介機構(gòu)的行為導(dǎo)致嚴(yán)重金融危機的可能性。由此,大量針對證券公司、商業(yè)銀行等金融中介機構(gòu)在發(fā)生危機和經(jīng)濟(jì)平穩(wěn)時風(fēng)險偏好的研究出現(xiàn)在危機之后。研究發(fā)現(xiàn),金融中介機構(gòu)的風(fēng)險偏好對資產(chǎn)的風(fēng)險溢價水平有顯著影響。特別在房地產(chǎn)市場,發(fā)現(xiàn)其風(fēng)險偏好的改變會對信貸產(chǎn)生影響從而影響房地產(chǎn)市場的溢價水平。我國房地產(chǎn)市場正處于加速發(fā)展階段,房價屢創(chuàng)新高,泡沫化問題嚴(yán)重。但同時由于我國房地產(chǎn)市場改革時間較短,政策的制定執(zhí)行以及金融機構(gòu)在面對房價過快上漲時對信貸風(fēng)險的評估有所不足,對我國房地產(chǎn)風(fēng)險溢價與金融中介機構(gòu)風(fēng)險偏好關(guān)系的研究顯得非常重要。而我國房地產(chǎn)業(yè)資金來源渠道大部分為銀行信貸,因此,研究房地產(chǎn)風(fēng)險溢價與商業(yè)銀行風(fēng)險偏好的關(guān)系更具實際意義。但目前針對我國兩者之間關(guān)系的研究非常少,因此本文擬對我國房地產(chǎn)風(fēng)險溢價與商業(yè)銀行風(fēng)險偏好之間的關(guān)系進(jìn)行研究,以期得出兩者在我國之間存在的聯(lián)系。本文將中國人民銀行公布的商業(yè)銀行不良貸款率作為商業(yè)銀行風(fēng)險偏好的代表變量,分別搜集了2006年至2015年商業(yè)銀行、房地產(chǎn)市場以及宏觀層面的季度數(shù)據(jù)和年度數(shù)據(jù)。首先,運用VAR模型、協(xié)整檢驗等計量方法從全國角度出發(fā)探討了房地產(chǎn)風(fēng)險溢價與商業(yè)銀行風(fēng)險偏好兩者之間的關(guān)系。其次,考慮到房地產(chǎn)市場的區(qū)域性、不可分割性等特點以及經(jīng)濟(jì)發(fā)展水平的差異,搜集了31個省市自治區(qū)的數(shù)據(jù),對這31個省市自治區(qū)運用固定效應(yīng)變系數(shù)的面板模型進(jìn)行研究,同時考慮到國務(wù)院2010年頒布的新國十條,引入虛擬變量“限購令”考察在此條件下對房地產(chǎn)溢價水平的影響。研究結(jié)果表明,我國商業(yè)銀行風(fēng)險偏好與房地產(chǎn)風(fēng)險溢價之間存在正向影響,但該影響顯示為非對稱性。商業(yè)銀行風(fēng)險偏好的增加會提高其擴(kuò)大信貸規(guī)模的傾向,從而進(jìn)一步推高房地產(chǎn)溢價,而房地產(chǎn)風(fēng)險溢價的提升會在一定程度上影響到商業(yè)銀行風(fēng)險偏好,由于我國商業(yè)銀行風(fēng)險偏好受到諸多因素影響,房地產(chǎn)市場的狀況并非決定性因素。且由于房地產(chǎn)市場具有不可移動性、區(qū)域性等特點,以及我國不同省市之間經(jīng)濟(jì)及房地產(chǎn)市場發(fā)展速度各異,兩者關(guān)系的程度產(chǎn)生了顯著的差異,經(jīng)濟(jì)越發(fā)達(dá)地區(qū)兩者之間的正向影響越明顯。
[Abstract]:In 2008, the subprime mortgage crisis occurred in the United States, which made people deeply aware of the possibility of serious financial crisis caused by the actions of financial intermediaries. As a result, a large number of financial intermediaries such as securities companies, commercial banks and other financial institutions in crisis and economic stability when risk preference research appeared after the crisis. It is found that the risk preference of financial intermediaries has a significant impact on the risk premium level of assets. Especially in the real estate market, it is found that the change of risk preference will have an impact on the credit and thus affect the premium level of the real estate market. The real estate market of our country is in the accelerating development stage, the house price sets the high record time and time again, the bubble problem is serious. But at the same time, because of the short time of the real estate market reform in our country, the policy formulation and implementation and the financial institutions' assessment of the credit risk in the face of the rapid rise of house prices are insufficient. It is very important to study the relationship between real estate risk premium and financial intermediary risk preference. However, most of the sources of real estate funds in China are bank credit. Therefore, it is more meaningful to study the relationship between real estate risk premium and commercial banks' risk preference. However, there is very little research on the relationship between the real estate risk premium and the risk preference of commercial banks in China, in order to find out the relationship between them. In this paper, the non-performing loan ratio of commercial banks published by the people's Bank of China is regarded as the representative variable of commercial banks' risk preference, and the quarterly and annual data of commercial banks, real estate market and macro level from 2006 to 2015 are collected respectively. Firstly, the relationship between real estate risk premium and commercial banks' risk preference is discussed from the perspective of the whole country by using VAR model and cointegration test. Secondly, considering the regional and indivisible characteristics of the real estate market and the differences in the level of economic development, we collected data from 31 provinces, municipalities and autonomous regions. In this paper, the panel model with variable coefficient of fixed effect is applied to the 31 provinces and autonomous regions. Taking into account the new ten items issued by the State Council in 2010, the virtual variable "purchase restriction order" is introduced to examine the effect on the premium level of real estate under this condition. The results show that there is a positive effect between commercial banks' risk preference and real estate risk premium, but the effect is asymmetric. The increase of risk preference of commercial banks will increase their tendency to expand the scale of credit, thus further push up the real estate premium, and the increase of real estate risk premium will affect the risk preference of commercial banks to some extent. As the risk preference of commercial banks in China is affected by many factors, the condition of the real estate market is not the decisive factor. Because the real estate market has the characteristics of immobility, regionality and so on, as well as the different development speed of economy and real estate market between different provinces and cities of our country, the degree of the relationship between the two has produced the remarkable difference. The more developed the economic area between the two between the positive impact is more obvious.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F299.23;F832.4

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