【摘要】：在銀行的經(jīng)營管理中，不良貸款的風(fēng)險(xiǎn)控制一直是我國銀行業(yè)的核心問題，而目前我國信用風(fēng)險(xiǎn)的研究仍然集中于違約概率這一指標(biāo)的分析上，忽略了衡量信用風(fēng)險(xiǎn)程度的重要指標(biāo)——違約損失率的研究。現(xiàn)有違約損失率的研究中，多集中于對(duì)性質(zhì)、分布等基本問題的探討，或是有少量實(shí)證是針對(duì)微觀主體的研究。與以往學(xué)者的不同，本文從銀行、區(qū)域和行業(yè)三個(gè)角度，通過違約損失率這個(gè)指標(biāo)反映出的聯(lián)動(dòng)效應(yīng)進(jìn)行研究。采用2005-2013年銀行貸款違約損失率的季度數(shù)據(jù)作為研究樣本，首先對(duì)我國銀行違約損失的歷史表現(xiàn)，行業(yè)、區(qū)域分布現(xiàn)狀進(jìn)行描述性統(tǒng)計(jì)分析。然后利用pearson相關(guān)關(guān)系確定各主體之間的相關(guān)性，再用格蘭杰因果檢驗(yàn)分析它們的因果關(guān)系，并輔助最小生成樹法研究其內(nèi)在聯(lián)動(dòng)機(jī)制，在此基礎(chǔ)上用脈沖響應(yīng)法分析聯(lián)動(dòng)效應(yīng)的方向和程度。 在理論研究和實(shí)證研究的基礎(chǔ)上，本文發(fā)現(xiàn)：在銀行機(jī)構(gòu)間的聯(lián)動(dòng)中，外資銀行與其他商業(yè)銀行機(jī)構(gòu)的相關(guān)性較弱。在非外資銀行機(jī)構(gòu)中，農(nóng)村商業(yè)銀行與其他機(jī)構(gòu)的聯(lián)動(dòng)效應(yīng)均很強(qiáng)，其中與大型（國有）商業(yè)銀行形成的最大聯(lián)動(dòng)程度達(dá)0.4。在區(qū)域聯(lián)動(dòng)中，地理區(qū)位對(duì)違約損失率的聯(lián)動(dòng)有一定的聚集效應(yīng)，其中華東地區(qū)的區(qū)域聯(lián)動(dòng)性最強(qiáng)。對(duì)七大區(qū)域進(jìn)一步分析，將聯(lián)動(dòng)方式歸納為：①“一中心”聯(lián)動(dòng)，以北京為中心的華北地區(qū)聯(lián)動(dòng)，以河南為中心的華中地區(qū)聯(lián)動(dòng)。②以華東、西南為代表的“多中心”聯(lián)動(dòng)。③以華南、西北為代表的“閉合型”聯(lián)動(dòng)三類。在產(chǎn)業(yè)聯(lián)動(dòng)中，第一產(chǎn)業(yè)充當(dāng)著產(chǎn)業(yè)聯(lián)動(dòng)中心，其與第二產(chǎn)業(yè)最大聯(lián)動(dòng)程度達(dá)2.78。在行業(yè)聯(lián)動(dòng)中，主要表現(xiàn)了兩種行業(yè)間的聯(lián)動(dòng)機(jī)制，一是以產(chǎn)業(yè)鏈形式將違約損失率的變動(dòng)進(jìn)行上下游傳導(dǎo)；二是以產(chǎn)業(yè)相關(guān)性的形式將違約損失率的變動(dòng)在相似行業(yè)之間進(jìn)行傳導(dǎo)。制造業(yè)，住宿和餐飲業(yè)，居民服務(wù)和其他服務(wù)業(yè)，文化、體育和娛樂業(yè)這四個(gè)行業(yè)作為子類中心節(jié)點(diǎn)，將20個(gè)細(xì)分行業(yè)聚集在一起。
[Abstract]:In the operation and management of banks, the risk control of non-performing loans has always been the core issue of China's banking industry, but at present, the research on credit risk in China is still focused on the analysis of the index of default probability. The study of default loss rate, which is an important index to measure the degree of credit risk, is ignored. In the existing study of default loss rate, most of the research focuses on the nature, distribution and other basic issues, or a small amount of empirical research is aimed at the micro subject. Different from the previous scholars, this paper studies the linkage effect reflected by the default loss rate from the perspective of bank, region and industry. Taking the quarterly data of bank loan default loss rate from 2005 to 2013 as the research sample, this paper first makes a descriptive statistical analysis on the historical performance, industry and regional distribution of bank default loss in China. Then the pearson correlation is used to determine the correlation between the subjects, and then the Granger causality test is used to analyze their causality, and the minimum spanning tree method is used to study the internal linkage mechanism. On this basis, the direction and degree of linkage effect are analyzed by pulse response method. On the basis of theoretical research and empirical research, this paper finds that the correlation between foreign banks and other commercial banks is weak in the linkage between banking institutions. Among the non-foreign banks, the linkage effect between rural commercial banks and other institutions is very strong, among which the maximum degree of linkage with large (state-owned) commercial banks is 0.4. In the regional linkage, the geographical location has a certain aggregation effect on the default loss rate, among which East China has the strongest regional linkage. According to the further analysis of the seven regions, the linkage mode is summarized as: (1) "one center" linkage, North China area linkage with Beijing as the center, and central China area with Henan as the center. 2 to East China, Southwest as the representative of the "multi-center" linkage. 3 South China, northwest as the representative of the "closed" linkage three categories. In the industrial linkage, the primary industry acts as the center of industrial linkage, and the maximum degree of linkage with the secondary industry is 2.78. In the industry linkage, it mainly shows the linkage mechanism between the two industries, one is to transmit the change of default loss rate upstream and downstream in the form of industrial chain; The second is to transmit the change of default loss rate between similar industries in the form of industrial correlation. Manufacturing, accommodation and catering, resident services and other services, culture, sports and entertainment, as sub-central nodes, bring together 20 subsectors.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.4

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本文編號(hào)：2487315