本文選題：商業(yè)銀行 + 流動性管理��； 參考：《浙江工商大學》2017年碩士論文

【摘要】：流動性管理一直是商業(yè)銀行研究領域的重點和難點問題之一。2008年金融危機之后,各國對商業(yè)銀行的流動性管理更為關注。流動性管理已經(jīng)成為商業(yè)銀行必須面對的重要內(nèi)容。商業(yè)銀行績效管理是其進行正常經(jīng)營盈利的重要保障,良好的績效管理力在尋找控制流動性風險和追求利潤最大化的結合點。而目前基于商業(yè)銀行是否積極管理流動性及商業(yè)銀行流動性管理對績效的影響研究還較為缺乏,因此無法通過對商業(yè)銀行流動性管理的積極性來對預期其對商業(yè)銀行績效的正負影響。本文在流動性管理的實證分析中,選取67家商業(yè)銀行2008-2015年年度數(shù)據(jù),通過建立流動性管理的局部調(diào)整模型,研究商業(yè)銀行是否在積極的管理流動性。通過存貸比(LTD)和凈穩(wěn)定資金比率(NSFR)兩大指標來探究商業(yè)銀行是否設立了目標流動性,并引入了調(diào)整速度(λ)作為研究商業(yè)銀行在偏離目標值時具體調(diào)整行為的反映變量。實證結果表明,不管是以存貸比還是NSFR為監(jiān)管指標,商業(yè)銀行均能根據(jù)自身特點設定流動性目標值。當實際值偏離目標值時,其均擁有大于零的調(diào)整速度(即有向目標值調(diào)整的沖動),表明商業(yè)銀行在積極的管理流動性。且銀行資產(chǎn)規(guī)模、不良貸款率與流動性目標成顯著負相關,銀行成長性、上市銀行與流動性目標成正相關。在存貸比監(jiān)管時期,還可發(fā)現(xiàn)商業(yè)銀行更關注LTA指標。在商業(yè)銀行流動性管理對績效影響的實證研究中,論文以商業(yè)銀行調(diào)整速度作為流動性管理的代理變量,選取2010-2015年數(shù)據(jù)構建面板數(shù)據(jù)模型,進一步研究商業(yè)銀行流動性管理對績效的影響,從全樣本分析和分不同所有制銀行分析兩部分探究商業(yè)銀行流動性與績效之間的影響關系。結果表明商業(yè)銀行流動性管理與績效之間存在倒U型關系,即商業(yè)銀行在一定程度上增加流動性能增加銀行績效,超過最優(yōu)流動性后,流動性增加會使銀行績效下降。另外,實證結果還表明商業(yè)銀行是在控制風險的基礎之上,以績效最大化為目標管理流動性。
[Abstract]:Liquidity management has always been one of the key and difficult problems in the research field of commercial banks. After the financial crisis of.2008, countries have paid more attention to the liquidity management of commercial banks. Liquidity management has become an important content that commercial banks must face. Good performance management is looking for a combination of controlling liquidity risk and seeking profit maximization. However, the current research on whether commercial banks actively manage liquidity and commercial bank liquidity management has a lack of research on the impact of performance. Therefore, it is impossible for commercial banks to anticipate commercial banks through the liquidity management of commercial banks. In the empirical analysis of liquidity management, this paper selects the annual data of 67 commercial banks for 2008-2015 years, and studies the positive management liquidity of commercial banks through the establishment of the local adjustment model of liquidity management. Through the LTD and the net stable fund ratio (NSFR) two major indicators to explore commercial silver. The liquidity of the target is set up, and the adjustment speed (lambda) is introduced as a reflection variable to study the specific adjustment behavior of commercial banks when they deviate from the target value. The empirical results show that commercial banks can set liquidity targets according to their own characteristics, regardless of the ratio of deposit and loan or NSFR, when the actual value deviates from the target value, All of them have the adjustment speed of greater than zero (i.e. the impulse to adjust to the target value), which indicates that the commercial banks are actively managing liquidity. And the bank assets scale, the bad loan rate and the liquidity target have a significant negative correlation, the bank growth, the listed bank and the liquidity target are positively related. In the period of the deposit and loan ratio supervision, the commercial bank can also be found. In the empirical study of the impact of liquidity management on the performance of commercial banks, the paper takes the adjustment speed of commercial banks as the proxy variable of liquidity management, and selects 2010-2015 year data to build panel data model to further study the impact of liquidity management on commercial banks' performance, from the full sample analysis and the difference. The two part of the analysis of banking analysis explores the relationship between liquidity and performance of commercial banks. The results show that there is an inverted U relationship between liquidity management and performance in commercial banks, that is, commercial banks increase liquidity and increase bank performance to a certain extent. After exceeding the optimal liquidity, the increase of liquidity will reduce the performance of banks. The empirical results also show that commercial banks are based on controlling risks and aim at managing liquidity by maximizing performance.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33;F830.42

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