摘  要

中國經(jīng)濟經(jīng)歷的宏觀經(jīng)濟波動，從國際收支順差、銀行體系的“非理性繁榮”造成的流動性假性過剩，到貨幣信貸的過分擴張、資產(chǎn)價格虛高以及通脹壓力導(dǎo)致了宏觀經(jīng)濟系統(tǒng)性風(fēng)險累積，進入了另一面，即銀行銀根緊縮、流動性不足以及貨幣信貸從主觀到客觀的全面收縮，資產(chǎn)價格忽漲忽跌而通貨緊縮壓力增大的問題，宏觀經(jīng)濟運行的非正常膨脹與緊縮出現(xiàn)了時間與空間上“犬牙交錯”，加劇了宏觀經(jīng)濟運行的脆弱性，金融作為宏觀經(jīng)濟的指示器，會對經(jīng)濟的發(fā)展變化起到預(yù)測的重要作用，中國金融的脆弱性與脆弱性金融恰如其分地先宏觀經(jīng)濟運營風(fēng)險而存在，例如，央行通過調(diào)整存款準備金率、利率實施或緊或松的貨幣政策，從宏觀經(jīng)濟運行與波動的特征，到貨幣政策與信貸政策的執(zhí)行，體現(xiàn)在金融風(fēng)險的壓力測試之上，而這一體現(xiàn)經(jīng)濟、金融的“測試”正是通過銀行體系來予以實現(xiàn)。
實際上，因為商業(yè)銀行性質(zhì)而存在的研究對象異質(zhì)性差異，即不同資產(chǎn)規(guī)模、流動性水平、資本充足程度的銀行其信貸供給對銀行風(fēng)險測度具有怎樣的異質(zhì)性反應(yīng)。本文旨在測度我國銀行風(fēng)險與銀行貸款渠道之間的關(guān)系，即考察風(fēng)險測度指標與商業(yè)銀行微觀經(jīng)營指標測度銀行貸款渠道之間的關(guān)系。實際上，銀行貸款渠道理論一般而言是針對貨幣政策，貨幣政策的信貸傳導(dǎo)理論其實質(zhì)是貨幣政策利率變動的商業(yè)銀行資產(chǎn)負債結(jié)構(gòu)表的變動。以利率變動為外生性政策刺激，利率作為金融機構(gòu)經(jīng)營業(yè)務(wù)與風(fēng)險的價格，直接決定了金融機構(gòu)運營的成本與收益，隨之通過金融機構(gòu)的信貸業(yè)務(wù)調(diào)整社會資金的供給。商業(yè)銀行作為一國貨幣政策的主要傳導(dǎo)介質(zhì)主體，信貸渠道成為測度與量化貨幣政策實施的中間通道。因此，以銀行資產(chǎn)負債表示的商業(yè)銀行信貸傳導(dǎo)渠道，主要是以貨幣政策為政策實施的中間通道。換言之，風(fēng)險作為商業(yè)銀行經(jīng)營信用的共生產(chǎn)品，通過商業(yè)銀行經(jīng)營特征予以體現(xiàn)，無論是理論還是實踐都是有理可循的邏輯。
    本文選取2005—2014年間我國商業(yè)銀行年度數(shù)據(jù)為研究對象，樣本主要包括全國性商業(yè)銀行以及部分城市商業(yè)銀行兩個主要的銀行層次，以分組分析建立了面板模型對比并測度出我國商業(yè)銀行主要結(jié)構(gòu)組成經(jīng)營風(fēng)險的貸款渠道敏感程度。研究首先發(fā)現(xiàn)資本充足率指標與商業(yè)銀行經(jīng)營風(fēng)險指標之間關(guān)系的非確定性，筆者提出了資本充足率指標作為監(jiān)管風(fēng)險指標所具備的外生性，同時也是商業(yè)銀行安全性經(jīng)營的獨立內(nèi)生性指標，因此，，出現(xiàn)了商業(yè)銀行因規(guī)模不同、異質(zhì)體差異產(chǎn)生的經(jīng)營特征差異，具體就表現(xiàn)于風(fēng)險資本對資本充足率指標關(guān)系的不確定性。具體來說，全國性股份制商業(yè)銀行與地方性城市商業(yè)銀行的面板回歸結(jié)果是迥異的，全國股份制商業(yè)銀行尤其是國有商業(yè)銀行，其籌資渠道以及政府背景，都使其在自主經(jīng)營決定的風(fēng)險管理上存在主客觀上的“弱化”甚至是“忽視”；但地方性城市商業(yè)銀行卻因為地域限制以及籌資渠道單一問題，使其不得不保證安全性經(jīng)營與穩(wěn)健經(jīng)營的基本標準，形成了不同性質(zhì)商業(yè)銀行自身特有的經(jīng)營特征決定的風(fēng)險特征。正是基于以上實證分析的論據(jù)，為進一步推進商業(yè)銀行風(fēng)險管理科學(xué)化與有效性，提供了政策建議的思路。
關(guān)鍵字：商業(yè)銀行    經(jīng)營風(fēng)險    信貸渠道    風(fēng)險監(jiān)管    資本充足率 

Abstract

Macroeconomic fluctuations in the Chinese economy experience, from the international balance of payments surplus, the banking system, "irrational exuberance" pseudo excess liquidity, the excessive expansion of money and credit, asset prices artificially high and inflation pressures led to the macroeconomic systemic risk accumulation, into the other side, namely the bank credit-tightening, lack of liquidity and monetary credit from the subjective to the objective of comprehensive contraction, asset prices rise and fall and the problem that the deflationary pressures, macro economic operation of expansion and contraction appeared abnormal "jagged" on time and space, aggravate the fragility of macro economic operation, financial as macroeconomic indicator, will change to the development of the economy have the important role of forecasting, China's financial fragility and vulnerability to the appropriate macroeconomic operating risks and financial exist, for example, central Banks by adjusting the deposit reserve rate, interest rate or tight or loose monetary policy, from the macro economic operation and fluctuating characteristics, to the implementation of monetary policy and credit policy, reflect on the pressure test of financial risks, which reflects the economic, financial "test" is to be implemented by the banking system. 
Because of the heterogeneity of commercial banks in terms of asset size, liquidity, capital, and so on, the changes in monetary policy affect the total amount of bank credit, which may cause the difference of cross section (section - Cross) of different characteristics of bank credit supply. In fact, because of the nature of the commercial banks, there are different kinds of research objects, namely, the different assets, liquidity, capital adequacy of bank credit supply to the bank risk measure has a heterogeneous reaction. This paper is to measure the relationship between bank risk and bank loan channel, and the capital adequacy of bank risk. Therefore, the risk index of commercial banks is an indirect measure of capital adequacy ratio. In fact, the bank loan channel theory generally speaking is the monetary policy, but the monetary policy of the bank risk pressure index usually also take the benchmark interest rate to measure, therefore, the author believes that the bank risk of bank credit transmission mechanism, and the operation mode has the consistency, in other words, the micro characteristics of commercial banks, such as different asset size, liquidity level, capital adequacy ratio of commercial banks credit channel to bank risk. This paper is to measure the relationship between bank risk and bank loan channel, and to measure the bank loan channel. This paper selects the annual data of China's commercial banks from 2005 to 2014. The sample mainly includes the national commercial banks and the two major banks. Empirical analysis of the relationship between the capital adequacy ratio of capital adequacy ratio of commercial banks and the commercial banks in the commercial banks of the National Commercial Bank of China. As a result of the empirical analysis of the characteristics of the commercial banks. The commercial banks in particular are different from the empirical analysis. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks, such as the national joint-stock commercial banks, especially state-owned commercial banks, especially state-owned banks, whose financing channels and government background. All of them make their own decisions. Have to ensure that the basic standards of security management and sound operation, the formation of a different nature of the characteristics of the commercial banks' own unique business characteristics of the decision of the risk. It is based on the above empirical analysis of the argument, in order to further promote the commercial bank risk management scientific and effective, and provide the policy recommendations.
Keywords：Commercial Bank    Operation Risk   Credit channel  Capital adequacy ratio
 
目錄
摘  要 1
Abstract 3
第一章 引言 7
1.1 選題的背景與意義 7
1.1.1選題背景 7
1.1.2 選題意義 7
1.2 主要研究內(nèi)容與論文結(jié)構(gòu) 8
1.2.1 主要研究內(nèi)容 8
1.2.2 論文的邏輯結(jié)構(gòu) 8
1.3 理論基礎(chǔ)與研究方法 9
1.3.1 文獻整理 9
1.3.2 研究方法 12
1.4 主要結(jié)論與創(chuàng)新點 13
1.5 本章小結(jié) 14
第二章 銀行風(fēng)險與信貸渠道 18
2.1 我國商業(yè)銀行經(jīng)營風(fēng)險的現(xiàn)狀 18
2.1.1 信用風(fēng)險 18
2.1.2 市場風(fēng)險 18
2.1.3 流動性風(fēng)險 19
2.2銀行經(jīng)營風(fēng)險、資本充足率與信貸渠道 19
2.2.1資本充足率與銀行風(fēng)險的監(jiān)管 20
2.2.2 資本充足率對資產(chǎn)負債結(jié)構(gòu)的影響 20
2.3 本章小結(jié) 20
第三章  實證分析 22
3.1 樣本選擇及數(shù)據(jù)來源 22
3.1.1 樣本選擇 22
3.1.2 數(shù)據(jù)來源 22
3.2 模型構(gòu)建 22
3.3 統(tǒng)計描述 23
3.4 實證檢驗 27
3.4.1 相關(guān)系數(shù)檢驗 27
3.4.2 動態(tài)面板模型估計 28
3.4.3 穩(wěn)健性檢驗 30
3.5 實證檢驗結(jié)果 33
3.5.1 全樣本估計結(jié)果分析 33
3.5.2 分樣本估計結(jié)果分析 35
3.6 本章小結(jié) 37
第四章 主要結(jié)論與政策建議 38
4.1 主要結(jié)論 38
4.1.1銀行經(jīng)營風(fēng)險與銀行信貸渠道的關(guān)系 38
4.1.2 全國股份制與地方城市商業(yè)銀行經(jīng)營特征差異 39
4.2完善我國銀行信貸渠道的政策建議 40
4.2.1 完善我國銀行貸款渠道 40
4.2.2 完善我國資本充足率、流動性監(jiān)管機制 41
4.2.3商業(yè)銀行需建立合理的資產(chǎn)負債結(jié)構(gòu)應(yīng)對約束機制 41
參考文獻 42
附錄 43
 
第一章 引言

1.1 選題的背景與意義
1.1.1 選題背景
中國經(jīng)濟經(jīng)歷的宏觀經(jīng)濟波動，從國際收支順差、銀行體系的“非理性繁榮”造成的流動性假性過剩，到貨幣信貸的過分擴張、資產(chǎn)價格虛高以及通脹壓力導(dǎo)致了宏觀經(jīng)濟系統(tǒng)性風(fēng)險累積，進入了另一面，即銀行銀根緊縮、流動性不足以及貨幣信貸從主觀到客觀的全面收縮，資產(chǎn)價格忽漲忽跌而通貨緊縮壓力增大的問題，宏觀經(jīng)濟運行的非正常膨脹與緊縮出現(xiàn)了時間與空間上“犬牙交錯”，加劇了宏觀經(jīng)濟運行的脆弱性，金融作為宏觀經(jīng)濟的指示器，會對經(jīng)濟的發(fā)展變化起到預(yù)測的重要作用，中國金融的脆弱性與脆弱性金融恰如其分地先宏觀經(jīng)濟運營風(fēng)險而存在，例如，央行通過調(diào)整存款準備金率、利率實施或緊或松的貨幣政策，從宏觀經(jīng)濟運行與波動的特征，到貨幣政策與信貸政策的執(zhí)行，體現(xiàn)在金融風(fēng)險的壓力測試之上，而這一體現(xiàn)經(jīng)濟、金融的“測試”正是通過銀行體系來予以實現(xiàn)。

本文編號：164810