發(fā)布時(shí)間：2018-03-12 22:15

  本文選題：流動(dòng)性風(fēng)險(xiǎn)　切入點(diǎn)：期限錯(cuò)配　出處：《湖南大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

【摘要】：期限錯(cuò)配下銀行的短期流動(dòng)性風(fēng)險(xiǎn)不僅僅關(guān)系到商業(yè)銀行自身的發(fā)展,還會(huì)影響到投資者的利益,更會(huì)影響到一國經(jīng)濟(jì)的持續(xù)穩(wěn)定和發(fā)展。伴隨著金融危機(jī)的爆發(fā)頻率加快、破壞力加深、波及的范圍更加廣,對(duì)期限錯(cuò)配下商業(yè)銀行的短期流動(dòng)性風(fēng)險(xiǎn)的監(jiān)管日漸嚴(yán)格,銀行資產(chǎn)負(fù)債期限錯(cuò)配所導(dǎo)致的短期流動(dòng)性風(fēng)險(xiǎn)日漸成為了學(xué)術(shù)界研究的焦點(diǎn)。本文將深入研究期限錯(cuò)配下商業(yè)銀行潛在的短期流動(dòng)性風(fēng)險(xiǎn)。已有的文獻(xiàn)大多采用流動(dòng)性比率、流動(dòng)性缺口率等靜態(tài)指標(biāo)測(cè)度期限錯(cuò)配下商業(yè)銀行的短期流動(dòng)性風(fēng)險(xiǎn)。而本文從動(dòng)態(tài)視角出發(fā),借助商業(yè)銀行一個(gè)月內(nèi)到期資產(chǎn)負(fù)債數(shù)據(jù),運(yùn)用動(dòng)態(tài)流動(dòng)性缺口模型,從到期資產(chǎn)違約渠道和銀行聲譽(yù)風(fēng)險(xiǎn)渠道分析商業(yè)銀行短期流動(dòng)性需求與供給,測(cè)量一個(gè)月內(nèi)流動(dòng)性需求與流動(dòng)性供給狀況,估算出商業(yè)銀行短期資金錯(cuò)配缺口,進(jìn)而對(duì)商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn)進(jìn)行測(cè)度。測(cè)度結(jié)果顯示,我國商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn)在2008年迅速上升,之后有所下降并保持平穩(wěn),在2013年又普遍上升,這一結(jié)果較好地貼合了我國商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn)的現(xiàn)實(shí)情況。在此基礎(chǔ)上,繼續(xù)探究期限錯(cuò)配下商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn)的影響因素,運(yùn)用8家提供了一個(gè)月內(nèi)到期資產(chǎn)負(fù)債數(shù)據(jù)的商業(yè)銀行的實(shí)際數(shù)據(jù),借助橫截面面板模型,對(duì)其影響因素進(jìn)行分析,主要得出以下結(jié)論：從宏觀角度看,國家良好的經(jīng)濟(jì)發(fā)展態(tài)勢(shì)使商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn)較小,而貨幣市場(chǎng)環(huán)境越寬松,商業(yè)銀行越存在短期流動(dòng)性風(fēng)險(xiǎn)隱患：從商業(yè)銀行自身角度看,資本充足率、流動(dòng)性比例、資產(chǎn)規(guī)模越小會(huì)加大商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn),貸款占總資產(chǎn)比例越大,商業(yè)銀行短期流動(dòng)性風(fēng)險(xiǎn)越大。本文基于動(dòng)態(tài)流動(dòng)性缺口模型,闡述了期限錯(cuò)配下銀行短期流動(dòng)性風(fēng)險(xiǎn)的測(cè)度方法,并對(duì)其影響因素進(jìn)行了實(shí)證分析,為研究我國商業(yè)銀行的短期流動(dòng)性風(fēng)險(xiǎn)提供了新思路。
[Abstract]:The short-term liquidity risk of banks under term mismatch is not only related to the development of commercial banks themselves, but also to the interests of investors, but also to the sustained stability and development of a country's economy. The damage has deepened, the scope of the contagion has been wider, and the regulation of short-term liquidity risks of commercial banks under maturities mismatch has become increasingly stringent. The short-term liquidity risk caused by the maturity mismatch of bank assets and liabilities has become the focus of academic research. This paper will study the potential short-term liquidity risk of commercial banks under term mismatch. Static indicators such as liquidity gap rate measure short-term liquidity risk of commercial banks under maturity mismatch. From the dynamic point of view, this paper uses the dynamic liquidity gap model with the help of the maturity assets and liabilities data of commercial banks within one month. This paper analyzes the short-term liquidity demand and supply of commercial banks from the channel of default of maturity assets and the channel of bank reputation risk, measures the situation of liquidity demand and liquidity supply within one month, and estimates the shortage of short-term mismatch of funds in commercial banks. The results show that the short-term liquidity risk of Chinese commercial banks rose rapidly in 2008, then declined and remained stable, and then generally rose in 2013. This result fits well with the reality of short-term liquidity risk of commercial banks in China. On the basis of this, we continue to explore the influencing factors of short-term liquidity risk of commercial banks under term mismatch. Using the actual data of 8 commercial banks which provide the data of maturing assets and liabilities within one month, with the help of cross-section panel model, the influencing factors are analyzed. The main conclusions are as follows: from the macro point of view, The favorable economic development situation of the country makes the short-term liquidity risk of commercial banks smaller, and the looser the money market environment, the more risks of short-term liquidity risk of commercial banks: from the point of view of commercial banks, the capital adequacy ratio, liquidity ratio, The smaller the scale of assets, the greater the short-term liquidity risk of commercial banks, the larger the ratio of loans to total assets, the greater the short-term liquidity risk of commercial banks. This paper expounds the measurement method of short-term liquidity risk of banks under term mismatch, and makes an empirical analysis of its influencing factors, which provides a new way of thinking for the study of short-term liquidity risk of commercial banks in China.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.33

【相似文獻(xiàn)】

相關(guān)期刊論文 前7條

1 金中夏;徐昕;莫萬貴;;香港人民幣離岸市場(chǎng)建設(shè)[J];中國金融;2013年07期

2 柯金川;郇文娟;魏佳琪;;我國證券市場(chǎng)的短期流動(dòng)性實(shí)證分析[J];北京交通大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2011年02期

3 王禮;;聯(lián)匯公司成立 不改短期流動(dòng)性[J];證券導(dǎo)刊;2007年11期

4 張偉鋒;;銀行業(yè)短期流動(dòng)性風(fēng)險(xiǎn)預(yù)警研究[J];時(shí)代金融;2014年15期

5 崔嶸;;樂觀評(píng)估遭降低 加息或推遲[J];證券導(dǎo)刊;2010年24期

6 ;速覽[J];新財(cái)經(jīng);2004年04期

7 ;[J];;年期

相關(guān)重要報(bào)紙文章 前10條

1 金石期貨 戶濤;短期流動(dòng)性趨緊[N];期貨日?qǐng)?bào);2013年

2 一德期貨 周猛;短期流動(dòng)性寬裕[N];期貨日?qǐng)?bào);2014年

3 本報(bào)記者 任曉;拆借利率大漲 短期流動(dòng)性趨緊[N];中國證券報(bào);2013年

4 海通證券研究所 于建國;短期流動(dòng)性調(diào)控成為貨幣政策新亮點(diǎn)[N];上海證券報(bào);2008年

5 鈕文新;降準(zhǔn)還要等多久[N];經(jīng)濟(jì)參考報(bào);2012年

6 民生期貨 周麗麗;短期流動(dòng)性無憂[N];期貨日?qǐng)?bào);2013年

7 本報(bào)記者 朱益民;資金凈回籠五月逆轉(zhuǎn) 短期流動(dòng)性釋放A股回暖[N];21世紀(jì)經(jīng)濟(jì)報(bào)道;2010年

8 本報(bào)記者 方紅群;大成基金：短期流動(dòng)性仍偏緊[N];中國證券報(bào);2011年

9 記者 王媛 豐和;央行單日凈回籠抽緊資金面 短期流動(dòng)性工具出山穩(wěn)預(yù)期[N];上海證券報(bào);2013年

10 一德期貨 周猛;短期流動(dòng)性較寬松[N];期貨日?qǐng)?bào);2014年

相關(guān)碩士學(xué)位論文 前1條

1 趙倩;期限錯(cuò)配下銀行短期流動(dòng)性風(fēng)險(xiǎn)研究[D];湖南大學(xué);2016年

，

本文編號(hào)：1603516