本文選題：商業(yè)銀行　切入點：資本動態(tài)調整　出處：《浙江工商大學》2015年碩士論文　論文類型：學位論文

【摘要】：資本和流動性作為銀行應對外部風險沖擊的兩道重要防線,兩者相互補充,共同維護銀行的穩(wěn)健經(jīng)營。但回顧巴塞爾監(jiān)管框架的演化過程,不難發(fā)現(xiàn)資本監(jiān)管長期扮演重要角色,而流動性監(jiān)管卻未受到足夠重視。2008年席卷全球的金融危機,對全球金融體系和實體經(jīng)濟產生了極大沖擊,凸顯出傳統(tǒng)金融監(jiān)管的諸多缺陷,為此巴塞爾委員會決定全面改革現(xiàn)行監(jiān)管制度,于2010年推出《巴塞爾協(xié)議Ⅲ》和《流動性風險計量、標準和監(jiān)測的國際框架》等一系列新監(jiān)管政策,開啟了未來全球金融監(jiān)管的新方向和新標準。雖然我國經(jīng)受住了此次金融危機的考驗,表現(xiàn)出較強的風險抵御能力,但并不是因為我國監(jiān)管制度完美無瑕,而是因為我國金融開放程度和發(fā)達程度遠不及歐美國家。但隨著我國逐漸推行利率市場化和金融市場的對外放開,認真總結國際銀行監(jiān)管既有經(jīng)驗教訓,對于提升我國監(jiān)管的有效性,更好的發(fā)揮銀行服務實體經(jīng)濟、維護金融穩(wěn)定等都具有重要的啟示作用。以往對資本調整行為的研究,大都基于資本監(jiān)管單方面約束下的靜態(tài)研究,沒有突出資本調整的動態(tài)行為,且沒有重視流動性監(jiān)管對資本調整行為以及對資本監(jiān)管傳導有效性的影響。因此,本文基于資本監(jiān)管和流動性監(jiān)管雙重約束條件,構建了以銀行利潤最大化為經(jīng)營目標的理論模型,同時引入懲罰函數(shù),理論分析資本監(jiān)管、流動性監(jiān)管對資本動態(tài)調整行為的影響。分析發(fā)現(xiàn)：資本監(jiān)管的強化對資本調整有正向激勵作用,而流動性監(jiān)管對資本調整的影響取決于銀行對債券和貸款持有量的權衡；進一步,本文還分析了監(jiān)管懲罰措施對資本調整彈性的影響,發(fā)現(xiàn)嚴格執(zhí)行懲罰時,資本調整速度明顯加快；最后,本文分析了資本監(jiān)管和流動性監(jiān)管的協(xié)調作用對資本調整行為的影響,發(fā)現(xiàn)流動性監(jiān)管加強了資本調整行為對資本監(jiān)管壓力的正向敏感性。為了更好地反映中國商業(yè)銀行實際資本的動態(tài)調整行為,本文基于系統(tǒng)GMM回歸方法,選取中國61家商業(yè)銀行2004—2014年非平衡面板數(shù)據(jù),實證回歸分析資本監(jiān)管壓力、流動性監(jiān)管壓力、懲罰措施對資本動態(tài)調整行為的影響,其次對資本補充渠道進行分析,最后討論資本和流動性監(jiān)管的協(xié)調作用對資本動態(tài)調整的影響。實證檢驗結果表明：(1)資本監(jiān)管和流動性監(jiān)管壓力均對促進資本增長有積極作用,且懲罰措施越嚴格,銀行資本調整速度越快,說明監(jiān)管壓力和懲罰措施的實施對銀行具有很強的震懾作用。(2)流動性監(jiān)管加強了銀行資本對資本監(jiān)管壓力的正向敏感性,表明流動性監(jiān)管是資本監(jiān)管的有效補充。(3)核心資本和附屬資本對總資本增長均有顯著正向影響,且前者對總資本增長的貢獻明顯大于后者,說明銀行在資本補充渠道上更傾向于權益類資本融資方式。
[Abstract]:Capital and liquidity are two important lines of defence for banks to deal with external risk shocks. They complement each other and jointly maintain the sound operation of banks. However, we review the evolution of the Basel regulatory framework, It is not difficult to find that capital regulation has played an important role for a long time, but liquidity regulation has not been given enough attention. The financial crisis sweeping the world in 2008 has had a great impact on the global financial system and the real economy. Therefore, the Basel Committee decided to reform the current regulatory system in an all-round way. In 2010, the Basel Accord III and liquidity risk measures were introduced. A series of new regulatory policies, such as standards and the international framework for monitoring, have opened up a new direction and new standards for global financial regulation in the future. Although China has withstood the test of the financial crisis, it has shown a strong ability to withstand risks. However, it is not because our regulatory system is perfect, but because the degree of financial openness and development in our country is far less than that in Europe and the United States. However, with the gradual implementation of marketization of interest rates and liberalization of the financial market, Summing up the experience and lessons of international banking supervision has important enlightenments for improving the effectiveness of supervision in our country, giving full play to the real economy of banking services and maintaining financial stability, etc. In the past, the research on the behavior of capital adjustment has been carried out. Most of them are based on the static research under the unilateral constraint of capital supervision, and do not emphasize the dynamic behavior of capital adjustment, and do not attach importance to the influence of liquidity regulation on capital adjustment behavior and the transmission effectiveness of capital supervision. Based on the dual constraints of capital supervision and liquidity regulation, this paper constructs a theoretical model with the aim of maximizing bank profits, and introduces a penalty function to analyze the capital supervision theoretically. The analysis shows that the strengthening of capital supervision has a positive incentive effect on capital adjustment, while the influence of liquidity regulation on capital adjustment depends on the balance between bond and loan holdings. Furthermore, this paper also analyzes the impact of regulatory measures on the flexibility of capital adjustment. It is found that the speed of capital adjustment is obviously accelerated when the punishment is strictly enforced. This paper analyzes the influence of the coordination function of capital supervision and liquidity supervision on the capital adjustment behavior. It is found that liquidity regulation strengthens the positive sensitivity of capital adjustment behavior to the pressure of capital supervision. In order to better reflect the dynamic adjustment behavior of Chinese commercial banks' actual capital, this paper bases on the systematic GMM regression method. Based on the non-equilibrium panel data of 61 commercial banks in China from 2004 to 2014, this paper makes empirical regression analysis on the influence of capital supervision pressure, liquidity supervision pressure and punishment measures on the capital dynamic adjustment behavior, and then analyzes the channels of capital replenishment. The empirical results show that both capital supervision and liquidity supervision pressure have a positive effect on promoting capital growth, and the more strict the punishment measures are, The faster the rate of capital adjustment in banks, the stronger deterrent effect of regulatory pressure and punitive measures on banks.) liquidity supervision has strengthened the positive sensitivity of banks' capital to capital supervision pressures. It shows that liquidity supervision is an effective supplement to capital supervision. (3) both core capital and subsidiary capital have significant positive effects on total capital growth, and the former contributes more to total capital growth than the latter. It shows that banks are more inclined to equity capital financing in capital supplementary channels.
【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.33;F830.42

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