本文選題：銀行流動性風(fēng)險　切入點：流動性風(fēng)險后果　出處：《哈爾濱工業(yè)大學(xué)》2017年博士論文　論文類型：學(xué)位論文

【摘要】：2008年金融危機中,受到流動性枯竭影響而導(dǎo)致銀行擠兌的事件頻出,單個銀行流動性風(fēng)險的集中爆發(fā),在銀行間傳遞,并蔓延至金融市場,引起了全球經(jīng)濟下滑。如何對商業(yè)銀行的流動性風(fēng)險進行識別、管理和有效控制已成為世界性的銀行管理新課題。商業(yè)銀行的流動性風(fēng)險分為宏觀和微觀兩個層面。銀行流動性風(fēng)險的微觀層面,即銀行流動性風(fēng)險,是銀行內(nèi)部各項經(jīng)營活動所導(dǎo)致的結(jié)果風(fēng)險。隨著金融市場的快速發(fā)展,銀行面臨著資金流動愈加頻繁的狀況及迅速變幻的經(jīng)營環(huán)境。深入研究流動性風(fēng)險的成因并明確其經(jīng)濟后果是商業(yè)銀行有效控制流動性風(fēng)險的重要前提。本文研究目的在于確定商業(yè)銀行流動性風(fēng)險及其經(jīng)濟后果。采用理論分析和實證檢驗相結(jié)合的方法進行邏輯推演及假設(shè)驗證。從委托代理理論出發(fā),構(gòu)建了含有表內(nèi)及表外經(jīng)營項目的商業(yè)銀行流動性模型,并分析存貸款之間的協(xié)同效應(yīng),以最終厘清商業(yè)銀行流動性風(fēng)險的形成機理。從商業(yè)銀行流動風(fēng)險的基礎(chǔ)理論出發(fā),對商業(yè)銀行業(yè)務(wù)進行了詳細分解以確定流動性風(fēng)險產(chǎn)生的根源,并分析了商業(yè)銀行流動性及其風(fēng)險形成及其影響。在此基礎(chǔ)上建立了委托代理視角下存款,貸款和承諾信用貸款,融資等商業(yè)銀行業(yè)務(wù)模型。從存款、貸款兩方面確定了商業(yè)銀行流動性風(fēng)險的成因:由于取款的不確定性導(dǎo)致了存款方面流動性風(fēng)險的形成;由于信用承諾貸款的不確定性,加上傳統(tǒng)貸款項目成功與否的不確定性,導(dǎo)致了貸款方面的流動性風(fēng)險。并詳細分析了各銀行業(yè)務(wù)對流動性風(fēng)險產(chǎn)生的影響,流動性風(fēng)險對商業(yè)銀行業(yè)績產(chǎn)生的影響,存款和貸款是否存在協(xié)同效應(yīng),該效應(yīng)對流動性有何等影響,能否放大或縮小流動性風(fēng)險等問題并提出相應(yīng)的研究假設(shè)。為了驗證研究假設(shè),且更為深入且精確地探尋商業(yè)銀行流動性風(fēng)險的動因及影響,本文采用樣本細分及分段研究等方法,使用美國銀行數(shù)據(jù)作為對比,從新角度分析中國商業(yè)銀行流動性風(fēng)險狀況,以期為中國商業(yè)銀行流動性風(fēng)險管理提供參考。在研究過程和方法方面,使用更為科學(xué)的樣本分組及窗口期分段分析方法,根據(jù)不同樣本組在不同研究窗口期經(jīng)營活動的差異進行分析和篩選,從而識別并確定商業(yè)銀行流動性的影響因子。隨后根據(jù)前述影響因子建立流動性回歸模型,并對模型進行優(yōu)化。并在此基礎(chǔ)上計算出流動性風(fēng)險,同時根據(jù)美國及中國商業(yè)銀行實際數(shù)據(jù)分析流動性風(fēng)險對存貸款協(xié)同性及經(jīng)營業(yè)績的影響。本文在創(chuàng)新性理論分析的基礎(chǔ)上,使用了更精確的實證研究方法,厘清了商業(yè)銀行流動性風(fēng)險動因及其經(jīng)濟后果的邏輯關(guān)系,并從多角度分析流動性管理相關(guān)問題。通過以上研究過程,得到研究結(jié)果:將美國數(shù)據(jù)作為比較標(biāo)準(zhǔn),雖然,當(dāng)期中國商業(yè)銀行流動性較高,但同時中國商業(yè)銀行也存在活期存款率過高,核心資本率偏低,貸款增長過快及不良率過高等,暴露出中國商業(yè)銀行流動性風(fēng)險防范意識短缺等問題,中國商業(yè)銀行領(lǐng)域仍然面臨較大的流動性管理壓力及流動性風(fēng)險突發(fā)事件挑戰(zhàn)。為避免遭受流動性風(fēng)險帶來的損失,本文提出了適用于中國商業(yè)銀行流動性風(fēng)險現(xiàn)狀的政策建議。本文的主要貢獻有:在理論分析中,從委托代理角度出發(fā),系統(tǒng)地建立起商業(yè)銀行表內(nèi)表外銀行業(yè)務(wù)三期模型。由于流動性風(fēng)險是一種綜合性的結(jié)果風(fēng)險,因此,單獨分析存款及貸款和承諾信用貸款過于片面。從銀行的表內(nèi)和表外業(yè)務(wù)單獨及結(jié)合的角度出發(fā),本文構(gòu)建的商業(yè)銀行流動性模型體現(xiàn)了存款和貸款兩個層面的不確定性,更加符合商業(yè)銀行的經(jīng)營實際情況;本文模型使得委托代理問題下的商業(yè)銀行流動性風(fēng)險的定向分析有了定量結(jié)果,并填補了商業(yè)銀行流動性課題中存貸款的協(xié)同效應(yīng)及其變化相關(guān)理論研究的空白,對KRS流動性模型結(jié)論(存貸款協(xié)同效應(yīng)是銀行高效運作的結(jié)果)提出了挑戰(zhàn);改進的現(xiàn)有流動性模型理念,較大地修正了模型約束條件,對商業(yè)銀行存款、取款、融資的時點以及額度進行調(diào)整,得到更具廣泛應(yīng)用性的約束條件,從而使得模型結(jié)果更契合實際;從超額現(xiàn)金持有理論出發(fā),提出了流動性風(fēng)險的流動性模型殘差計算法,彌補了現(xiàn)有流動性風(fēng)險計算方法中靜態(tài)指標(biāo)法衡量信息單一及動態(tài)指標(biāo)法存在主觀偏倚等不足;在實證研究中,確定了不同結(jié)構(gòu)的銀行流動性分組,并采用跟進式的研究方法,使研究更貼近實際情況。使用對比分析方法,使用發(fā)達國家銀行數(shù)據(jù)進行檢驗得出的結(jié)果對中國商業(yè)銀行的流動性風(fēng)險管理具有前瞻性參考意義。
[Abstract]:In the 2008 financial crisis, liquidity impact caused by depletion of bank runs frequent events, centralized liquidity risk of individual banks broke out, transfer between bank and spread to the financial market, due to the global economic slowdown. How the liquidity risk of commercial banks for the identification, management and effective control has become a new topic bank management in the world. The liquidity risk of commercial banks is divided into two macro and micro level. Micro level of bank liquidity risk, bank liquidity risk, banks within the various business activities due to the result of risk. With the rapid development of financial markets, the bank faces liquidity situation more frequent and a rapidly changing business environment. Studying the reasons of liquidity risk and the economic consequences of commercial banks is an important prerequisite for effective control of liquidity risk. This paper studies. Is to determine the liquidity risk of commercial banks and its economic consequences. By using the method of combining theoretical analysis and empirical test of logical inference and hypothesis testing. Starting from the principal-agent theory, constructs the liquidity model with table and table outside the business of commercial banks, and analyzes the synergistic effect between deposits and loans, to form a mechanism finally clarify the liquidity risk of commercial banks. From the basic theory of commercial bank liquidity risk, the business of commercial banks in detail to determine the source of liquidity risk, and analyzes the commercial bank liquidity risk and its formation and influence. Based on the established agency from the perspective of deposits, loans and commitments credit loans, commercial bank financing business model. From two aspects of deposits, loans to determine the causes of the liquidity risk of commercial banks: because of the uncertainty of withdrawals The formation of deposit liquidity risk; credit loan commitment due to uncertainty, uncertainty and the success of the project and the traditional loans, resulting in liquidity risk loans. And a detailed analysis of the impact of the banking liquidity risk, liquidity risk effect on the performance of commercial banks the existence of synergies, deposits and loans, the effect of the liquidity effect how, can enlarge or reduce the liquidity risk and other issues and put forward the corresponding research hypothesis. In order to verify the research hypotheses, and more motivation and influence deeply and accurately explore the liquidity risk of commercial banks, this paper uses the method of sample segmentation and Study on segmentation, the use of American bank data for comparison, analysis of the status of commercial bank liquidity risk China from a new angle, in order to commercial bank liquidity risk management Chinese Provide reference. In the research process and methods, the use of more scientific sample grouping and window segmentation method, based on the analysis and selection of differences in different research window during the business activities of the different sample groups, to identify and determine the factors influencing the liquidity of commercial banks. Then according to the influence factors to establish the regression model of liquidity, and optimize the model. The liquidity risk is calculated and based on this, according to the United States and the commercial bank China actual data analysis impact of liquidity risk on loan collaboration and performance. The analysis based on innovative theory, using the empirical research method is more accurate, to clarify the logical relationship the commercial bank liquidity risk factors and economic consequences, and analyses the related problems of liquidity management from different angles. Through the above research, the results obtained The US data as a comparison standard, although higher current commercial bank Chinese liquidity, but at the same time, commercial banks are also Chinese deposit rate is too high, the low rate of core capital, loan growth is too fast and too high rate of bad, exposed the liquidity problem of commercial bank risk prevention awareness China wind shortage, the commercial bank China field still face greater pressure on liquidity management and liquidity risk emergencies challenge. To avoid the liquidity risk management is proposed in this paper is suitable for the commercial bank liquidity risk status Chinese policy suggestions. The main contributions of this paper are: in the theoretical analysis, starting from the principal-agent perspective, to establish a system the commercial bank balance sheet banking three period model. Because the liquidity risk is a comprehensive result of risk, therefore, a separate analysis of deposits and loans and credit loan commitments Too one-sided. From the point of view of the bank's internal and external business alone and combined with the commercial bank liquidity model in this paper reflects the two levels of deposits and loans of uncertainty, more in line with the commercial bank's management of the actual situation; this model makes the directional analysis of liquidity risk under the principal-agent problem of commercial banks the quantitative results, and fill the blank of research on the synergy effect and changes of related theory of liquidity of commercial banks in the loan, the KRS mobility model conclusion (loan synergy is the efficient operation of the bank) challenge; improved the existing liquidity model concept, fixed constraints greatly the withdrawal of commercial banks, deposit, financing, and time limit adjustment, get more extensive application of constraints, which makes the model more realistic; The excess cash holding theory, put forward the liquidity model residual liquidity risk calculation method, static index calculation method makes up the liquidity risk existing in the method of measuring the information of single and dynamic index method of subjective bias and other issues; in the empirical study, to determine the different structure of bank liquidity group, and the follow up the research method, to study closer to the actual situation. Using the method of comparative analysis, test results and forward-looking reference to the liquidity risk management of commercial banks Chinese use data banks in developed countries.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F832.33
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本文編號：1565672