發(fā)布時(shí)間：2018-01-08 01:02

  本文關(guān)鍵詞：我國商業(yè)銀行資金錯(cuò)配問題研究　出處：《哈爾濱工業(yè)大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 商業(yè)銀行 資金錯(cuò)配 流動性風(fēng)險(xiǎn) H-P濾波

【摘要】：自2013年5月開始,上海銀行間同業(yè)拆放利率(Shibor)一路上漲。2013年6月20日上海銀行間同業(yè)拆放利率達(dá)到了空前絕后的高峰,當(dāng)天隔夜Shibor利率首次超過10%,升至13.4440%,創(chuàng)下歷史記錄。一時(shí)間商業(yè)銀行業(yè)上演了“空城計(jì)”,這種情況在資本市場的作用下被放大,市場資金利率不斷攀升,各家銀行發(fā)行的理財(cái)產(chǎn)品數(shù)量和收益率不斷刷新紀(jì)錄,這種“冰火兩重天”的狀況表明商業(yè)銀行出現(xiàn)了流動性問題。與此同時(shí),央行貨幣政策又進(jìn)一步緊縮,導(dǎo)致“錢荒”危機(jī)升級。基于此背景,本文首先從商業(yè)銀行資產(chǎn)負(fù)債表入手,在西方商業(yè)銀行普遍采用的流動性缺口模型的基礎(chǔ)上,將缺口的大小以資金來源和運(yùn)用之間的總差額大小來衡量。采用H-P濾波方法將短期資金穩(wěn)定來源部分分解,求出其在一定置信區(qū)間內(nèi)的波動下限,并與長期趨勢合并得出銀行短期資金來源的最低下限。然后選取四家有代表性的樣本銀行,并對其缺口進(jìn)行估算,發(fā)現(xiàn)樣本時(shí)間段內(nèi)樣本銀行并不存在正的資金錯(cuò)配缺口,即不存在流動性短缺。其次,運(yùn)用面板數(shù)據(jù)模型找出其影響因素。影響因素分為兩個(gè)方面,一方面是市場相關(guān)因素,即“共同變量”,但由于指標(biāo)較多且具有高相關(guān)性,故采用主成分分析法提取這些變量的共同因子作為新變量;另一方面是銀行個(gè)體因素,即“特殊變量”,選取影響商業(yè)銀行流動性的銀行個(gè)體因素作為變量。然后將主成分分析法提取的公因子和銀行特殊變量帶入,建立橫截面面板模型。再次,為了明確“公共變量”因素和“特殊變量”因素對商業(yè)銀行資金錯(cuò)配缺口的具體影響,采用固定效應(yīng)模型進(jìn)行回歸分析,實(shí)證結(jié)果顯示,從市場角度看,國家良好的經(jīng)濟(jì)發(fā)展態(tài)勢會引發(fā)商業(yè)銀行資金錯(cuò)配缺口的加大;從商業(yè)銀行自身角度看,存貸比、不良貸款率和貸款總額/總資產(chǎn)的加大會加大資金錯(cuò)配缺口。最后,針對實(shí)證結(jié)果提出增加合理投資渠道,減少交叉持有理財(cái)產(chǎn)品的現(xiàn)象、進(jìn)一步完善存款保險(xiǎn)制度、發(fā)展信貸資產(chǎn)證券化等建議。
[Abstract]:Since May 2013, the Shanghai Interbank offered rate (sibor) has been rising. In June 20th 2013, the Shanghai Interbank offered rate reached an unprecedented peak. For the first time, overnight Shibor interest rates exceeded 10, rising to 13. 4440, setting a record. Commercial banking staged a "short game." This situation is magnified by the role of capital markets, market interest rates continue to rise, the number of wealth management products issued by banks and the rate of return are constantly breaking records. This "ice and fire" situation indicates that commercial banks have liquidity problems. At the same time, the central bank's monetary policy is further tightened, leading to the escalation of the "money shortage" crisis. This paper begins with the balance sheet of commercial banks, based on the liquidity gap model commonly used by western commercial banks. The size of the gap is measured by the total difference between the source of funds and the application. The H-P filtering method is used to partially decompose the stable source of short-term funds, and the lower bound of volatility in a certain confidence interval is obtained. And combined with the long-term trend to obtain the lowest lower limit of bank short-term funding sources. Then four representative sample banks are selected and their gap is estimated. It is found that there is no positive fund mismatch gap in the sample period, that is, there is no liquidity shortage. Secondly, the panel data model is used to find out the influencing factors, which are divided into two aspects. On the one hand, there are market related factors, that is, "common variable", but because there are many indexes and high correlation, the common factors of these variables are extracted by principal component analysis as new variables. On the other hand, the individual factors of banks, namely "special variables", are selected as variables to influence the liquidity of commercial banks, and then the common factors extracted by principal component analysis and special variables of banks are brought in. Thirdly, in order to clarify the specific impact of "public variables" and "special variables" on the gap of capital mismatch in commercial banks, the fixed effect model is used to regression analysis. The empirical results show that, from the market point of view, the country's good economic development situation will lead to the increase of the gap between commercial banks' capital mismatch; From the perspective of commercial banks, the increase of deposit / loan ratio, non-performing loan ratio and total loans / total assets will increase the gap of capital mismatch. Finally, according to the empirical results, we propose to increase the reasonable investment channels. Reduce the phenomenon of cross-holding financial products, further improve the deposit insurance system, develop credit asset securitization and other suggestions.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.33

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本文編號：1394952