本文選題：流動(dòng)性監(jiān)管 + 巴塞爾協(xié)議��； 參考：《暨南大學(xué)》2014年碩士論文

【摘要】：長久以來，在央行和銀監(jiān)會(huì)的作用下，我國商業(yè)銀行資本充足率的監(jiān)管一直穩(wěn)步發(fā)展。然而鑒于流動(dòng)性風(fēng)險(xiǎn)的偶發(fā)性和監(jiān)管的復(fù)雜性，流動(dòng)性風(fēng)險(xiǎn)的監(jiān)管卻十分不到位。2008年，，美國金融危機(jī)波及全球范圍，以《巴塞爾協(xié)議》為核心框架的現(xiàn)代銀行業(yè)監(jiān)管機(jī)構(gòu)缺少對(duì)流動(dòng)性風(fēng)險(xiǎn)的深入了解，不具備卓有成效的風(fēng)險(xiǎn)預(yù)警防范機(jī)制。此種情況下，《巴塞爾協(xié)議Ⅲ：流動(dòng)性風(fēng)險(xiǎn)計(jì)量、標(biāo)準(zhǔn)和監(jiān)測(cè)的國際框架》應(yīng)運(yùn)而生，商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)監(jiān)管從此邁上了一個(gè)新的臺(tái)階。 在分析邏輯上，本文遵循這樣一個(gè)脈絡(luò)：從理論到現(xiàn)實(shí)、從外部到內(nèi)部、從問題到對(duì)策。本文的緒論首先介紹了研究背景以及意義，然后對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)監(jiān)管問題從歷年的研究成果中總結(jié)出本文的研究思路，并提出了本文的創(chuàng)新與不足。本文以巴塞爾Ⅲ最新提出的兩個(gè)監(jiān)管指標(biāo)——凈穩(wěn)定資金比例NSFR和流動(dòng)性覆蓋率LCR為主要研究對(duì)象，全面闡述其內(nèi)涵。緊接著歸納總結(jié)了我國流動(dòng)性監(jiān)管的發(fā)展歷程，并指出了現(xiàn)行指標(biāo)體系的缺陷，然后分析了其他國家在流動(dòng)性監(jiān)管方面的經(jīng)驗(yàn)做法。根據(jù)搜集到的16家上市銀行的面板數(shù)據(jù)，本文估算出了我國銀行業(yè)的各種流動(dòng)性監(jiān)管達(dá)標(biāo)狀況。之后，采用多元線性回歸和面板VAR模型，實(shí)證分析了流動(dòng)性最新監(jiān)管約束（以流動(dòng)性比例為替代指標(biāo)）對(duì)我國銀行業(yè)信貸乃至整個(gè)宏觀經(jīng)濟(jì)的影響。通過分析可以得出結(jié)論，流動(dòng)性比例這一指標(biāo)對(duì)我國信貸的增速有著明顯的約束力，且這個(gè)指標(biāo)本身內(nèi)生性較強(qiáng)，可以用來客觀評(píng)價(jià)流動(dòng)性風(fēng)險(xiǎn)的達(dá)標(biāo)情況。并在文末，預(yù)測(cè)了未來流動(dòng)性監(jiān)管的發(fā)展方向，并針對(duì)上文的分析提出了一些政策建議。
[Abstract]:For a long time, under the action of the central bank and the CBRC, the supervision of the capital adequacy ratio of commercial banks in China has been developing steadily. However, given the accidental nature of liquidity risk and the complexity of regulation, the regulation of liquidity risk is far from being in place. In 2008, the US financial crisis spread to the whole world. The modern banking regulators with Basel Accord as the core framework lack a thorough understanding of liquidity risk and have no effective risk warning and prevention mechanism. In this case, Basel III: the International Framework for liquidity risk Measurement, Standards and Monitoring came into being, and the supervision of liquidity risk in commercial banks rose to a new level. In the logic of analysis, this paper follows such a thread: from theory to reality, from outside to inside, from problem to countermeasure. The introduction of this paper first introduces the background and significance of the research, then summarizes the research ideas of this paper from the past years of research results, and puts forward the innovation and deficiency of this paper. In this paper, the main research objects are the net stable capital ratio (NSFR) and the liquidity coverage rate (LCR), which are the two latest regulatory indexes proposed by Basel 鈪

本文編號(hào)：1931484