本文關(guān)鍵詞：利率波動(dòng)對(duì)中國(guó)銀行業(yè)績(jī)效影響的實(shí)證研究　出處：《哈爾濱工業(yè)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 債券回購(gòu)利率 銀行績(jī)效 經(jīng)濟(jì)增加值 Flannery模型

【摘要】：我國(guó)利率長(zhǎng)久處于被央行監(jiān)管的狀態(tài)，而2012年央行前后進(jìn)行了兩次利率及其浮動(dòng)空間的調(diào)整，2013年又徹底解除貸款利率管制，在利率改革進(jìn)程中邁出了很大的一步。目前我國(guó)商業(yè)銀行業(yè)務(wù)單一，資產(chǎn)管理不成熟，當(dāng)面對(duì)利率的頻繁波動(dòng)銀行業(yè)績(jī)必然會(huì)受到?jīng)_擊。目前全面的研究闡述利率波動(dòng)帶給銀行傳統(tǒng)和非傳統(tǒng)業(yè)務(wù)績(jī)效的影響是非常少見(jiàn)的。故當(dāng)我國(guó)銀行業(yè)處于轉(zhuǎn)型階段時(shí)，研究利率波動(dòng)對(duì)銀行業(yè)績(jī)效的影響并量化結(jié)果，具有重要意義。 本研究從業(yè)務(wù)方面進(jìn)行劃分，將銀行績(jī)效分為傳統(tǒng)業(yè)務(wù)以及非傳統(tǒng)業(yè)務(wù)兩類(lèi)分別進(jìn)行考察以及衡量。在市場(chǎng)利率的選擇方面，選擇了更具市場(chǎng)基準(zhǔn)利率代表性的七天期銀行間債券回購(gòu)利率。從數(shù)據(jù)可得性因素出發(fā)，本文的研究樣本選取的是在A股市場(chǎng)全部上市的16家商業(yè)銀行，研究時(shí)間段跨度從2009年至2012年。在對(duì)銀行業(yè)傳統(tǒng)業(yè)務(wù)績(jī)效衡量方面采用了經(jīng)濟(jì)增加值法，而對(duì)非傳統(tǒng)業(yè)務(wù)績(jī)效的衡量指標(biāo)方面通過(guò)主成分分析將6項(xiàng)財(cái)務(wù)指標(biāo)降維成2項(xiàng)指標(biāo)。最后采用統(tǒng)計(jì)、計(jì)量分析方法以及Flannery模型通過(guò)Eviews和Spss軟件進(jìn)行實(shí)證分析。 最終得出結(jié)論：（1）我國(guó)商業(yè)銀行平均負(fù)債調(diào)整速度略小于資產(chǎn)調(diào)整速度；我國(guó)銀行業(yè)是“借長(zhǎng)貸短”模式；利率與利息收入和支出在短期和長(zhǎng)期均是正相關(guān)關(guān)系，利率上升銀行業(yè)將獲利；（2）經(jīng)過(guò)調(diào)整后的Flannery模型具有更高的擬合度；（3）利率與非傳統(tǒng)業(yè)務(wù)的財(cái)務(wù)業(yè)績(jī)及成長(zhǎng)性存在著正相關(guān)關(guān)系，但是在商業(yè)銀行非傳統(tǒng)業(yè)務(wù)風(fēng)險(xiǎn)處理能力與利率之間的關(guān)系方面還需要進(jìn)一步的深入研究。本文的研究成果將為銀行規(guī)避利率風(fēng)險(xiǎn)、調(diào)整信貸比例、發(fā)展業(yè)務(wù)創(chuàng)新、拓寬收入渠道提供參考。
[Abstract]:The interest rate of our country has been under the supervision of the central bank for a long time, but before and after 2012, the central bank made two adjustments to the interest rate and its floating space, and in 2013, it completely lifted the control of the loan interest rate. In the interest rate reform process has taken a very big step. At present, our commercial bank business is single, asset management is not mature. The current comprehensive research on the impact of interest rate volatility on the traditional and non-traditional business performance of banks is very rare. Therefore, when China's banking industry is in transition, it is very rare to understand the impact of interest rate volatility on the performance of banks. Phase time. It is of great significance to study the impact of interest rate fluctuation on banking performance and to quantify the results. This study divides the bank performance into traditional business and non-traditional business from the aspect of business, and measures the choice of market interest rate. Based on the data availability factor, the sample of this paper is selected from 16 commercial banks listed in A-share market. The time span of the study is from 2009 to 2012. The economic added value method is used to measure the traditional business performance of the banking industry. On the other hand, the measurement index of non-traditional business performance is reduced to 2 indicators by principal component analysis. Finally, statistics is adopted. The econometric analysis method and Flannery model are analyzed by Eviews and Spss software. The final conclusion is: (1) the average debt adjustment speed of commercial banks in China is slightly lower than that of assets adjustment; China's banking industry is a "long loan short" mode; Interest rates are positively correlated with interest income and expenses in the short and long term, and the banking sector will make a profit if interest rates rise; (2) the adjusted Flannery model has higher fitting degree; Interest rate has a positive correlation with financial performance and growth of non-traditional business. However, the relationship between non-traditional business risk handling ability and interest rate of commercial banks needs further study. The research results of this paper will be for banks to avoid interest rate risk and adjust the credit ratio. Develop business innovation, broaden revenue channels to provide reference.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F822.0;F832.3;F830.42

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本文編號(hào)：1379307