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

【摘要】：在我國金融市場中,銀行業(yè)處于主導性地位。我國金融體系具有外生性的特點,商業(yè)銀行與其他金融機構(gòu)存在市場分割的特征。商業(yè)銀行在居民和企業(yè)之間以第三方嵌入角色存在,擔任吸收全社會消費剩佘資金和為實體經(jīng)濟供給流動性的重任。商業(yè)銀行的資產(chǎn)負債管理是儲蓄到投資的關(guān)鍵環(huán)節(jié),因此商業(yè)銀行的內(nèi)源流動性與外部市場的流動性相互影響。利率市場化的推進將商業(yè)銀行資產(chǎn)與負債同時推進市場經(jīng)受沖擊。在我國利率市場化基本完成但尚未徹底市場化的歷史時期,分析我國商業(yè)銀行流動性風險在利率市場進程加快過程中的變動情況,具有重要的理論意義和現(xiàn)實意義。本文系統(tǒng)地梳理了國內(nèi)外商業(yè)銀行流動性風險相關(guān)研究,在流動性風險產(chǎn)生原因、流動性風險衡量、利率市場化對流動性風險影響等方面對現(xiàn)有文獻進行整理。在文獻梳理的基礎(chǔ)上,本文進一步探討了利率市場化對商業(yè)銀行流動性風險的影響機制。為全面分析我國利率市場化進程中商業(yè)銀行流動性風險水平的變動情況,本文利用Copula-Kernel模型,對內(nèi)源流動性風險和外源流動性風險均進行衡量,并比較2010-2012年時間段和2013-2015年利率市場化進程加快時間段中內(nèi)外源流動性風險水平變化情況。接下來,本文再通過構(gòu)建SVAR模型深入分析利率市場化對商業(yè)銀行流動性水平的動態(tài)影響,最終提出應對利率市場化的風險管理建議。研究發(fā)現(xiàn),利率市場化進程加快的過程中,內(nèi)源流動性風險水平變化上,利率市場化對大型商業(yè)銀行的沖擊要大于對中小商業(yè)銀行的沖擊;外源流動性風險水平變化上,利率市場化對商業(yè)銀行的沖擊不大,甚至有改善了商業(yè)銀行外部融資渠道的可能。另外,從脈沖響應上看,市場化利率對商業(yè)銀行流動性水平的沖擊確實要強于非市場化利率,而利率市場化背景下,商業(yè)銀行的流動性水平對利率水平的影響要弱于利率管制下的影響。因此,當前環(huán)境下,如何完善流動性管理技術(shù)應成為商業(yè)銀行提高盈利水平的同時重點關(guān)注的問題。
[Abstract]:In our country's financial market, the banking industry is in the leading position. China's financial system has the characteristics of externality, commercial banks and other financial institutions have the characteristics of market segmentation. Commercial banks exist as third party embedded roles between residents and enterprises, serving as the important task of absorbing the surplus funds of the whole society and providing liquidity for the real economy. The management of assets and liabilities of commercial banks is the key link between saving and investment, so the internal liquidity of commercial banks and the liquidity of external markets interact with each other. The promotion of interest rate marketization will push commercial bank assets and liabilities simultaneously to push the market to withstand shocks. In the historical period when the marketization of interest rate is basically completed but not completely marketized, it is of great theoretical and practical significance to analyze the changes of liquidity risk of commercial banks in the process of accelerating the process of interest rate market. This article systematically combs the domestic and foreign commercial banks liquidity risk related research, in the liquidity risk causes, the liquidity risk measurement, interest rate marketization to liquidity risk influence and so on aspect carries on the collation to the existing literature. On the basis of literature review, this paper further discusses the influence mechanism of interest rate marketization on liquidity risk of commercial banks. In order to analyze the changes of liquidity risk level of commercial banks in the process of interest rate marketization, this paper uses Copula-Kernel model to measure both endogenous liquidity risk and exogenous liquidity risk. The change of liquidity risk level of internal and external sources in the period of 2010-2012 and 2013-2015 is compared with the acceleration of interest rate marketization in 2013-2015. Then, this paper analyzes the dynamic influence of interest rate marketization on the liquidity level of commercial banks through the construction of SVAR model, and finally puts forward the risk management suggestions to deal with the marketization of interest rate. It is found that in the process of accelerating the process of interest rate marketization, the level of endogenous liquidity risk changes, the impact of interest rate marketization on large commercial banks is greater than that on small and medium-sized commercial banks, and the external liquidity risk level changes. Interest rate marketization has little impact on commercial banks, and even improves the external financing channels of commercial banks. In addition, from the impulse response point of view, the impact of market-oriented interest rate on the liquidity level of commercial banks is indeed stronger than that of non-market-oriented interest rate, and under the background of market-oriented interest rate, The influence of liquidity level of commercial banks on interest rate level is weaker than that under interest rate control. Therefore, under the current environment, how to perfect the liquidity management technology should become the commercial bank to raise the profit level at the same time the important question which pays close attention to.
【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】：F832.5;F832.33

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