【摘要】：在2008年國(guó)際金融危機(jī)爆發(fā)之后，流動(dòng)性風(fēng)險(xiǎn)管理和監(jiān)管受到國(guó)際上各個(gè)國(guó)家的高度重視。此次金融危機(jī)起源于美國(guó)次貸危機(jī)，凸顯了資產(chǎn)價(jià)格波動(dòng)對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的巨大影響。為了維護(hù)金融系統(tǒng)穩(wěn)定，必須加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)管理。壓力測(cè)試作為VaR模型的補(bǔ)充，隨著它的出現(xiàn)并發(fā)展，銀行或監(jiān)管當(dāng)局可以基于歷史的、假定的情景進(jìn)行銀行的流動(dòng)性風(fēng)險(xiǎn)分析，研究極端情景對(duì)銀行可能造成的沖擊，是銀行流動(dòng)性風(fēng)險(xiǎn)管理不可或缺的工具。因此本文通過(guò)構(gòu)建銀行資產(chǎn)價(jià)格波動(dòng)與流動(dòng)性風(fēng)險(xiǎn)之間的關(guān)系模型，并在此基礎(chǔ)上建立流動(dòng)性風(fēng)險(xiǎn)壓力測(cè)試體系。 本文首先選取一年期貸款利率、上證指數(shù)、上海銀行間同業(yè)拆放利率、法定存款準(zhǔn)備金率等影響銀行資產(chǎn)價(jià)格波動(dòng)的因子與銀行備付金率構(gòu)建VAR模型，并通過(guò)協(xié)整檢驗(yàn)、脈沖響應(yīng)函數(shù)分析和方差分解分析研究資產(chǎn)價(jià)格波動(dòng)對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)的影響。研究結(jié)果表明，上證指數(shù)、法定存款準(zhǔn)備金率對(duì)銀行備付金率的影響非常大，同業(yè)拆放利率次之，貸款利率的影響最��；且上證指數(shù)和同業(yè)拆放率存在著顯著的正向影響，存款準(zhǔn)備金率和貸款利率存在著負(fù)向效應(yīng)，但是貸款利率的影響是不顯著的。 其次，本文選取協(xié)整方程作為壓力測(cè)試模型，運(yùn)用歷史數(shù)據(jù)構(gòu)建極端情景，研究上證指數(shù)、同業(yè)拆放利率和法定存款準(zhǔn)備金率的極端波動(dòng)對(duì)銀行備付金率的影響。實(shí)證結(jié)果表明，在資產(chǎn)價(jià)格受沖擊的情況下，銀行的備付金率明顯下降，甚至大部分出現(xiàn)負(fù)值的情況，，銀行面臨著嚴(yán)重的流動(dòng)性危機(jī)。 基于前文的研究，文章對(duì)銀行流動(dòng)性風(fēng)險(xiǎn)管理提出了幾點(diǎn)建議。一是拓寬融資渠道，減輕股票市場(chǎng)融資壓力；二是合理控制存款準(zhǔn)備金率的調(diào)整次數(shù)和調(diào)整時(shí)機(jī)；三是審慎評(píng)估其他風(fēng)險(xiǎn)對(duì)流動(dòng)性風(fēng)險(xiǎn)的影響，實(shí)行全面風(fēng)險(xiǎn)管理；四是建立流動(dòng)性風(fēng)險(xiǎn)壓力測(cè)試制度。
[Abstract]:After the outbreak of the international financial crisis in 2008, liquidity risk management and regulation has been highly valued by all countries. The financial crisis originated from the subprime mortgage crisis in the United States, highlighting the huge impact of asset price fluctuations on the liquidity risk of commercial banks. In order to maintain the stability of the financial system, liquidity risk management must be strengthened. As a supplement to the VaR model, with the emergence and development of the stress test, banks or regulators can analyze the liquidity risk of banks based on historical, hypothetical scenarios, and study the possible impact of extreme scenarios on banks. It is an indispensable tool for liquidity risk management in banks. Therefore, this paper establishes the relationship model between bank asset price volatility and liquidity risk, and then establishes the liquidity risk stress test system. In this paper, the factors affecting the fluctuation of bank asset prices, such as one-year loan rate, Shanghai Stock Exchange Index, Shanghai Interbank offered rate and Statutory deposit reserve ratio, are selected to construct the VAR model, and the co-integration test is carried out. Impulse response function analysis and variance decomposition analysis are used to study the effect of asset price volatility on liquidity risk of banks. The results show that the Shanghai Stock Exchange Index and Statutory deposit reserve ratio have great influence on the reserve ratio of banks, the interbank offered rate is the second, and the loan interest rate is the least. Moreover, the Shanghai Stock Exchange Index and the interbank offered rate have significant positive effects, the reserve ratio and the loan interest rate have negative effects, but the impact of the loan interest rate is not significant. Secondly, this paper selects co-integration equation as the stress test model, using historical data to construct extreme scenarios, to study the impact of extreme volatility of Shanghai Stock Exchange Index, Interbank offered rate and Statutory deposit reserve ratio on the reserve ratio of banks. The empirical results show that under the condition of the impact of asset prices, the reserve ratio of banks is obviously decreased, even most of the cases of negative value, the banks are facing a serious liquidity crisis. Based on the previous research, this paper puts forward some suggestions on liquidity risk management of banks. One is to broaden the financing channels to reduce the financing pressure in the stock market; the other is to reasonably control the times and timing of the adjustment of the required reserve ratio; third, to carefully assess the impact of other risks on the liquidity risk and implement comprehensive risk management; Fourth, the establishment of liquidity risk stress testing system.
【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】：2013
【分類號(hào)】：F832.33;F832.5;F224

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本文編號(hào)：2390031