【摘要】：隨著科技的進步與全球化的發(fā)展,銀行業(yè)發(fā)生了很大的變化,金融領域的研究也面臨著一些新的問題、新的挑戰(zhàn)。隨著2007年美國次貸危機進而引發(fā)的全球性金融危機影響的不斷加深,各國采取了多方面的應對措施,并對危機形成的原因進行了反思,而缺乏對流動性風險的有效識別和防范是導致危機的重要原因之一。商業(yè)銀行是一國經(jīng)濟系統(tǒng)重要的調(diào)節(jié)中樞,其吸收活期存款發(fā)放不同期限貸款的傳統(tǒng)業(yè)務為其資金的供需方建立媒介平臺,但是銀行在行使其中介功能時會給自身帶來嚴重的流動性期限錯配問題。然而,此類流動性期限錯配使銀行完成了重要的社會職能——流動性創(chuàng)造。所以,商業(yè)銀行在為市場提供流動性創(chuàng)造的同時,嚴重的期限錯配也帶來了流動性風險。那么,就我國銀行業(yè)的實際發(fā)展狀況,流動性創(chuàng)造與銀行流動性風險到底具有怎樣的關系?若因流動性創(chuàng)造增加而導致實體經(jīng)濟中的貸款規(guī)模擴大、貸款期限延長,銀行遭受的流動性風險會發(fā)生怎樣的變化?若銀行加強對流動性風險的應對,可能會減少貸款,其實體經(jīng)濟系統(tǒng)中的流動性創(chuàng)造會發(fā)生怎樣的變化?對這些問題的探究和分析不僅有利于防范銀行體系中的潛在危機,更有利于加強銀行等金融機構服務實體經(jīng)濟功能。本文試圖從以下兩個方面對現(xiàn)有研究進行拓展:一是考慮到流動性創(chuàng)造與流動性風險兩個變量之間存在著反饋關系的相互作用機理,本文建立動態(tài)面板聯(lián)立方程組模型,以經(jīng)濟理論、研究假設為基礎,綜合分析各部分、各因素之間的數(shù)量關系和模型的數(shù)值特征。二是在全樣本銀行實證檢驗的基礎上,基于我國銀行的不同類型、異質(zhì)性、隱性擔保程度等特征將其劃分為兩類,分別選取不同的單方程估計方法、系統(tǒng)估計方法,更為細致地探討分樣本流動性創(chuàng)造與銀行流動性風險的關系及其存在的差異。本文首先對流動性創(chuàng)造、銀行流動性風險的理論基礎和定量方法進行了分類研究,其次具體闡述了兩者關系的相關假說和理論分析,最后基于2007-2015年中國57家商業(yè)銀行的微觀數(shù)據(jù),建立兩者之間的聯(lián)立方程組模型,基于不同樣本之間有差別地實證分析流動性創(chuàng)造與商業(yè)銀行流動性風險之間相互作用的關系。研究結果表明:流動性創(chuàng)造在全樣本銀行回歸的情況下,對流動性風險有顯著的正向效果;相反地,流動性風險對其創(chuàng)造的流動性在系統(tǒng)估計法下存在顯著負向影響。至于分樣本銀行方面,不論在何種估計法下股份制銀行的流動性創(chuàng)造均會對流動性風險表現(xiàn)出顯著影響,而國有銀行、城市商業(yè)銀行分別在系統(tǒng)估計方法、單方程估計方法下表現(xiàn)出顯著;國有銀行、股份制銀行在不同估計法下流動性風險均會對其流動性創(chuàng)造產(chǎn)生顯著的負向影響,而城市商業(yè)銀行在這一方面上并沒表現(xiàn)出明顯的關系。
[Abstract]:With the progress of science and technology and the development of globalization, great changes have taken place in the banking industry, and the research in the field of finance is faced with some new problems and challenges. With the deepening of the impact of the global financial crisis caused by the subprime mortgage crisis in the United States in 2007, various countries have taken various measures to deal with the crisis, and have reflected on the causes of the crisis. The lack of effective identification and prevention of liquidity risk is one of the important reasons leading to the crisis. A commercial bank is an important regulatory center of a country's economic system. Its traditional business of absorbing demand deposits to issue loans with different maturities establishes a media platform for the supply and demand side of its funds. However, when banks exercise their intermediary function, they will bring serious liquidity maturity mismatch problem. However, such maturity mismatches enable banks to perform an important social function-liquidity creation. Therefore, while commercial banks create liquidity for the market, serious term mismatch also brings liquidity risk. So what is the relationship between liquidity creation and liquidity risk in China's banking industry? What will happen to the liquidity risk of banks if the scale of loans in the real economy is enlarged and the loan term is prolonged because of the increase in liquidity creation? What will happen to liquidity creation in the real economy if banks strengthen their response to liquidity risk and may reduce lending? The research and analysis of these problems is not only helpful to prevent the potential crisis in the banking system, but also to strengthen the function of banks and other financial institutions in serving the real economy. This paper attempts to expand the existing research from the following two aspects: first, considering the interaction mechanism between the two variables of liquidity creation and liquidity risk, this paper establishes a dynamic panel simultaneous equations model. On the basis of economic theory and research hypothesis, the quantitative relationship among various parts and factors and the numerical characteristics of the model are comprehensively analyzed. Secondly, on the basis of the empirical test of all sample banks, based on the characteristics of different types, heterogeneity and degree of implicit guarantee of Chinese banks, this paper divides them into two categories, and selects different single-equation estimation methods and systematic estimation methods respectively. The relationship between sample liquidity creation and bank liquidity risk and its differences are discussed in more detail. In this paper, the theoretical basis and quantitative methods of liquidity creation, bank liquidity risk are classified, and the related hypotheses and theoretical analysis of the relationship between them are expounded. Finally, based on the microscopic data of 57 commercial banks in China from 2007 to 2015, a model of simultaneous equations between them is established. This paper empirically analyzes the relationship between liquidity creation and liquidity risk of commercial banks based on different samples. The results show that liquidity creation has a significant positive effect on liquidity risk in the case of a full-sample bank regression, whereas liquidity risk has a significant negative effect on the liquidity created by the system estimation method. As for the sample banks, the liquidity creation of the joint-stock banks will have a significant impact on liquidity risk regardless of the estimation method, while the state-owned banks and the urban commercial banks are respectively in the systematic estimation method. The method of single equation estimation shows remarkable effect. The liquidity risk of state-owned banks and joint-stock banks under different estimation methods will have a significant negative impact on their liquidity creation, but the city commercial banks have no obvious relationship in this respect.
【學位授予單位】：山西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33

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