本文關(guān)鍵詞： 商業(yè)銀行 流動(dòng)性風(fēng)險(xiǎn)管理 支付系統(tǒng) 影響 評(píng)估　出處：《云南師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在2008年全球性經(jīng)濟(jì)危機(jī)發(fā)生以來，商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)管理引起了各國(guó)監(jiān)管機(jī)構(gòu)和研究機(jī)構(gòu)的高度重視和關(guān)注，很多監(jiān)管方式和理論研究成果遭到了顛覆，加強(qiáng)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理有著越來越重要的現(xiàn)實(shí)意義。我國(guó)研究商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理起步較晚，，研究主要停留在影響商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的內(nèi)部因素上，對(duì)外部因素的影響研究比較缺乏。 基于上述背景，本文研究從我國(guó)第二代支付系統(tǒng)即將上線運(yùn)行這一事件出發(fā)，圍繞商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理影響因素展開分析，綜合近年來我國(guó)商業(yè)銀行流動(dòng)性波動(dòng)情況，總結(jié)出我國(guó)商業(yè)銀行流動(dòng)性變化的特點(diǎn)及影響因素。針對(duì)我國(guó)第二代支付系統(tǒng)即將上線運(yùn)行，著重研究了支付系統(tǒng)對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的影響和作用機(jī)制，希望得出支付系統(tǒng)與商業(yè)流動(dòng)性風(fēng)險(xiǎn)管理之間的關(guān)系。 研究發(fā)現(xiàn)：我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理主要受內(nèi)部因素和外部因素兩個(gè)方面的影響，而外部因素主要有貨幣政策、金融發(fā)育程度、國(guó)際資本流動(dòng)和金融基礎(chǔ)設(shè)施，我國(guó)支付系統(tǒng)作為最重要的金融基礎(chǔ)設(shè)施，從宏觀層面和微觀層面對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理產(chǎn)生了影響。通過利用VAR模型與Granger因果檢驗(yàn)進(jìn)行了實(shí)證分析，得出我國(guó)支付系統(tǒng)對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的影響最為顯著這一結(jié)論。由此也引出了我國(guó)支付系統(tǒng)一旦出現(xiàn)不可抗拒的自然災(zāi)害或故障，我國(guó)商業(yè)銀行流動(dòng)性將面臨巨大的風(fēng)險(xiǎn)損失。因此我國(guó)應(yīng)盡快完善支付系統(tǒng)災(zāi)難備份和應(yīng)急管理，商業(yè)銀行也應(yīng)高度重視自身行內(nèi)系統(tǒng)的建設(shè)，并完善流動(dòng)性風(fēng)險(xiǎn)管理的相關(guān)制度。
[Abstract]:Since the global economic crisis occurred in 2008, the liquidity risk management of commercial banks has aroused the great attention and attention of the regulatory agencies and research institutions in various countries, and many regulatory methods and theoretical research results have been subverted. It is more and more important to strengthen the liquidity risk management of commercial banks. The research on liquidity risk management of commercial banks starts late in China, and the study mainly focuses on the internal factors that affect the liquidity risk management of commercial banks. Research on the influence of external factors is relatively lacking. Based on the above background, this paper studies and analyzes the influencing factors of liquidity risk management of commercial banks from the event that the second generation payment system is about to go online, and synthesizes the liquidity fluctuation of Chinese commercial banks in recent years. This paper summarizes the characteristics and influencing factors of the liquidity change of commercial banks in China. In view of the coming into operation of the second generation payment system in China, the influence and mechanism of payment system on liquidity risk management of commercial banks are studied emphatically. We hope to find out the relationship between payment system and business liquidity risk management. It is found that liquidity risk management of commercial banks in China is mainly influenced by internal and external factors, while external factors mainly include monetary policy, degree of financial development, international capital flow and financial infrastructure. As the most important financial infrastructure, the payment system of our country has influenced the liquidity risk management of commercial banks at the macro and micro levels. By using VAR model and Granger causality test, the empirical analysis has been carried out. The conclusion that the payment system of our country has the most significant influence on liquidity risk management of commercial banks has also drawn the conclusion that once there is an irresistible natural disaster or failure in the payment system of our country, The liquidity of commercial banks in China will face huge risk loss. Therefore, China should improve the disaster backup and emergency management of payment system as soon as possible, and commercial banks should also attach great importance to the construction of their own internal systems. And improve the liquidity risk management system.
【學(xué)位授予單位】：云南師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.2;F832.33

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