發(fā)布時間：2017-12-28 21:39

  本文關(guān)鍵詞：中國商業(yè)銀行流動性風(fēng)險監(jiān)管研究　出處：《天津財經(jīng)大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 流動性風(fēng)險監(jiān)管 商業(yè)銀行 流動性覆蓋率 凈穩(wěn)定資金比例 信貸供給

【摘要】：商業(yè)銀行融通資金的本質(zhì)要求其必須時刻防范流動性風(fēng)險。流動性風(fēng)險不僅會導(dǎo)致商業(yè)銀行經(jīng)營困難甚至面臨破產(chǎn)風(fēng)險,而且會對金融系統(tǒng)和實體經(jīng)濟(jì)帶來巨大的負(fù)面沖擊。然而在實踐業(yè)務(wù)中,引發(fā)流動性風(fēng)險原因的多樣性使得商業(yè)銀行和監(jiān)管當(dāng)局都很難準(zhǔn)確捕捉和防范潛在的流動性風(fēng)險。次貸危機(jī)爆發(fā)后,很多風(fēng)險管理體系完善和資本充足率較高的銀行都因為流動性枯竭而快速倒閉,全球銀行業(yè)因此遭受重創(chuàng),這暴露出全球商業(yè)銀行流動性風(fēng)險監(jiān)管體系存在較多漏洞。各國監(jiān)管當(dāng)局和學(xué)者隨即開始反思和探討原有的商業(yè)銀行流動性風(fēng)險監(jiān)管體系,共同推動了全球流動性風(fēng)險監(jiān)管的改革進(jìn)程。巴塞爾委員作為全球銀行業(yè)監(jiān)管政策制定的引領(lǐng)者和推動者,開創(chuàng)性地提出了兩個用于監(jiān)管商業(yè)銀行流動性風(fēng)險的定量指標(biāo),即流動性覆蓋率和凈穩(wěn)定資金比例,這使得商業(yè)銀行流動性風(fēng)險監(jiān)管的新時代也隨之到來。之后,包括我國在內(nèi)的巴塞爾委員會成員國開始陸續(xù)引入巴塞爾III流動性風(fēng)險監(jiān)管指標(biāo)。目前,全球經(jīng)濟(jì)仍在調(diào)整恢復(fù),我國經(jīng)濟(jì)也進(jìn)入"新常態(tài)",經(jīng)濟(jì)下行壓力凸顯。同時,利率市場化、互聯(lián)網(wǎng)金融等使我國金融市場環(huán)境和金融業(yè)態(tài)發(fā)生了巨大變化,這就造成商業(yè)銀行所需應(yīng)對的流動性風(fēng)險管理壓力變得更大了。因此,巴塞爾III流動性風(fēng)險監(jiān)管標(biāo)準(zhǔn)在全球范圍內(nèi)實施后,我國商業(yè)銀行的巴塞爾III流動性風(fēng)險監(jiān)管指標(biāo)是否達(dá)標(biāo)?在使用新監(jiān)管指標(biāo)進(jìn)行度量后,我國商業(yè)銀行的流動性風(fēng)險是否呈現(xiàn)出了原有監(jiān)管指標(biāo)未曾發(fā)現(xiàn)的新特征?同時,在新的宏觀金融環(huán)境下,新監(jiān)管指標(biāo)會對我國商業(yè)銀行的信貸供給、盈利能力和資本充足水平產(chǎn)生哪些影響?這些問題都將是本文所關(guān)注的,這對于商業(yè)銀行更好地應(yīng)對新監(jiān)管環(huán)境,提升國際競爭力,以及監(jiān)管當(dāng)局更有效地實施流動性風(fēng)險監(jiān)管,進(jìn)而提高我國金融體系的穩(wěn)定性具有較高的理論和實踐意義。本文首先梳理了商業(yè)銀行流動性風(fēng)險的監(jiān)管理論,分析了金融危機(jī)前后全球銀行業(yè)流動性風(fēng)險監(jiān)管面臨的新形勢以及監(jiān)管當(dāng)局的流動性風(fēng)險監(jiān)管改革實踐,尤其是對我國商業(yè)銀行在新常態(tài)時期遇到的流動性風(fēng)險監(jiān)管壓力以及我國監(jiān)管當(dāng)局對商業(yè)銀行流動性風(fēng)險監(jiān)管框架的革新進(jìn)行了總結(jié)。認(rèn)為巴塞爾III流動性風(fēng)險監(jiān)管規(guī)則將是全球商業(yè)銀行流動性風(fēng)險監(jiān)管的指引,雖然兩個監(jiān)管指標(biāo)創(chuàng)立所依據(jù)的是發(fā)達(dá)國家的經(jīng)驗數(shù)據(jù),但全球各國和地區(qū)很有必要對其進(jìn)行消化吸收,并以此增強(qiáng)自身的流動性風(fēng)險監(jiān)管能力。其次,本文對我國41家商業(yè)銀行的流動性覆蓋率和凈穩(wěn)定資金比例進(jìn)行了測算。總體上看,我國大部分商業(yè)銀行的指標(biāo)測度值都比較高,意味著極端短期流動性風(fēng)險和期限轉(zhuǎn)換風(fēng)險發(fā)生的概率較小。還有一些銀行的指標(biāo)測度值波動較大,在未來應(yīng)加強(qiáng)監(jiān)測頻率。但從分業(yè)來看,我國不同類型商業(yè)銀行的指標(biāo)測度值存在較大不同。根據(jù)流動性覆蓋率的測算發(fā)現(xiàn):地方性商業(yè)銀行的流動性覆蓋率相對較高,短期流動性風(fēng)險也就較低;中小銀行的優(yōu)質(zhì)流動性資產(chǎn)中現(xiàn)金及中央銀行存放款項占據(jù)絕對位置;中小銀行現(xiàn)金流出項目主要集中在同業(yè)存款。而根據(jù)凈穩(wěn)定資金比例的測算發(fā)現(xiàn):國有銀行的期限轉(zhuǎn)換風(fēng)險較低;地方性商業(yè)銀行的資金來源比較集中,主要是客戶存款和股權(quán);中小銀行凈貸款占比較低,資金流向更加多元。再次,本文選取13家商業(yè)銀行2007-2013年的數(shù)據(jù),使用面板模型對流動性比例、流動性覆蓋率和凈穩(wěn)定資金比例這三個指標(biāo)在我國的監(jiān)管有效性展開了實證分析。實證發(fā)現(xiàn):凈穩(wěn)定資金比例在我國銀行業(yè)的適用性較強(qiáng),流動性比例和流動性覆蓋率對于我國銀行業(yè)的監(jiān)管有效性則不太顯著。從銀行分業(yè)來看,流動性比例對國有銀行來說監(jiān)管會更有效,對股份制銀行和地方性銀行的監(jiān)管有效性會相對較低。流動性覆蓋率對國有銀行和地方性銀行來說監(jiān)管會更有效,凈穩(wěn)定資金比例對股份制銀行和地方性銀行來說監(jiān)管會更加有效。最后,本文從銀行信貸供給、盈利水平和資本充足水平等角度出發(fā),通過面板模型實證分析了流動性覆蓋率和凈穩(wěn)定資金比例這兩個新監(jiān)管指標(biāo)對商業(yè)銀行的多方面影響。信貸供給影響方面,當(dāng)貨幣政策收緊時,我國商業(yè)銀行的巴塞爾Ⅲ流動性風(fēng)險監(jiān)管指標(biāo)值越低,其貸款減少越多,而監(jiān)管指標(biāo)值越高的銀行貸款收縮程度越小;反之亦然。盈利能力影響方面,流動性覆蓋率和凈穩(wěn)定資金比例均會消弱商業(yè)銀行的盈利能力,但凈穩(wěn)定資金比例對商業(yè)銀行盈利能力的影響較弱。資本充足水平影響方面,流動性覆蓋率監(jiān)管標(biāo)準(zhǔn)的實施不利于商業(yè)銀行資本充足水平的提高,而凈穩(wěn)定資金比例監(jiān)管標(biāo)準(zhǔn)的實施有助于提高商業(yè)銀行的資本充足水平。
[Abstract]:The essence of financing for commercial banks requires that they must keep away from the liquidity risk at all times. Liquidity risk will not only lead to commercial banks' business difficulties or even bankruptcy risks, but also bring a huge negative impact on the financial system and the real economy. However, in practice, the diversity of causes of liquidity risk makes it difficult for commercial banks and regulatory authorities to accurately capture and prevent potential liquidity risks. After the outbreak of the subprime mortgage crisis, many banks with high risk management system and high capital adequacy ratio collapsed rapidly due to the exhaustion of liquidity. The global banking industry suffered heavy losses, which revealed that there are many loopholes in the regulation system of global commercial bank liquidity risk. Regulatory authorities and scholars began to reflect on and explore the original regulatory system of liquidity risk of commercial banks, and jointly promote the reform process of global liquidity risk regulation. Basel as a member of global banking regulatory policy leader and facilitator of a two for the liquidity risk of commercial bank regulatory quantitative indicators, liquidity coverage ratio and net stable funding ratio, which makes the new era of commercial bank liquidity risk supervision is coming. After that, the member states of the Basel Committee, including China, began to introduce the indicators of liquidity risk supervision in Basel III. At present, the global economy is still adjusting and restoring, China's economy has also entered a "new normal", and the economic downside pressure is prominent. At the same time, interest rate marketization and Internet finance have made great changes in China's financial market environment and financial format, which makes commercial banks need to cope with the pressure of liquidity risk management. Therefore, the standard of liquidity risk supervision in Basel III implementation in the global scope, whether the indicators of liquidity risk supervision in Basel III Commercial Bank of our country standard? In the use of new regulatory indicators to measure, the liquidity risk of commercial banks in China are showing the new features of the original regulatory indicators at the same time, in the not found? The new macro financial environment, the new regulatory indicators will impact on China's commercial bank credit supply, profitability and capital adequacy level? These issues will be the focus of this, for commercial banks to better respond to the new regulatory environment, enhance the international competitiveness, and the regulatory authorities more effective implementation of liquidity the risk supervision, and improve the stability of the financial system of our country has a high theoretical and practical significance. This paper first analyzes the liquidity risk of commercial bank supervision theory, analyzes the practice of liquidity risk supervision reform in the new situation before and after the financial crisis, the global banking liquidity risk supervision faces and regulatory authorities, especially for China's commercial banks in the new normal period due to the liquidity risk regulatory pressure and the regulatory authorities in China the reform of the framework of the supervision of liquidity risks of commercial banks are summarized. That rule of liquidity risk supervision in Basel III will be the global liquidity risk of commercial bank regulatory guidelines, although the two regulatory indicators created is based on the experience of developed countries and regions around the world, but it is necessary for the digestion and absorption, and thus enhance their liquidity risk supervision ability. Secondly, this paper calculates the liquidity coverage rate and the net stable fund ratio of 41 commercial banks in China. Generally speaking, most commercial banks in China have high index measurement value, which means that the probability of extreme short term liquidity risk and deadline transition risk is relatively small. There are also some banks' index measurement values fluctuating, and the monitoring frequency should be strengthened in the future. However, from the point of view of the division of business, the index of different types of commercial banks in China is quite different. According to the calculation of liquidity coverage ratio: the local commercial bank's liquidity coverage is relatively high, short-term liquidity risk is low; cash and central bank liquidity asset quality of small and medium sized banks in deposits occupy the absolute position; the project of small and medium banks cash outflow mainly concentrated in interbank deposits. According to the calculation of the proportion of net stable funds, it is found that the risk of the transition period of state-owned banks is relatively low. The sources of funds for local commercial banks are relatively concentrated, which are mainly customer deposits and equity; small and medium-sized banks net loans are relatively low, and the flow of funds is more diverse. Thirdly, this paper selects 2007-2013 commercial banks' data for 13 years, and uses panel data to analyze the three indicators of liquidity ratio, liquidity coverage and net stable capital ratio in China's regulatory effectiveness. It is found that the proportion of net stable capital in China's banking industry is relatively strong, and the liquidity ratio and liquidity coverage are not very effective in banking regulation in China. From the bank division, the liquidity ratio is more effective for the state-owned banks, and the effectiveness of the supervision of the joint-stock banks and the local banks will be relatively low. Liquidity coverage will be more effective for state-owned banks and local banks. The proportion of net stable capital will be more effective for joint stock banks and local banks. Finally, from the perspective of bank credit supply, profitability and capital adequacy level, the panel model is applied to analyze the two new regulatory indicators of liquidity coverage and net stable capital ratio. In the aspect of credit supply, when the monetary policy is tightening, the lower the regulatory risk index of Basel III liquidity risk of commercial banks is, the more the loans will be reduced, and the higher the regulatory index value is, the smaller the degree of bank loan contraction. In terms of profitability, liquidity coverage and the proportion of net stable funds will weaken the profitability of commercial banks, but the proportion of net stable funds is to business.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F832.33

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