本文關(guān)鍵詞： 商業(yè)銀行 流動性風(fēng)險 影響因素 面板數(shù)據(jù)模型 最小二乘回歸　出處：《吉林大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：商業(yè)銀行的流動性水平反映了其經(jīng)營風(fēng)險，由于銀行的主要業(yè)務(wù)是對資產(chǎn)負債進行管理，當銀行的資產(chǎn)負債結(jié)構(gòu)出現(xiàn)問題時就會出現(xiàn)流動性風(fēng)險。在我國，商業(yè)銀行的流動性過剩問題在一段時間里是研究的重點，而到2013年我國商業(yè)銀行也出現(xiàn)了短暫的流動性危機。從流動性過剩到出現(xiàn)流動性風(fēng)險，這更值得我們?nèi)ニ伎际鞘裁匆蛩赜绊懮虡I(yè)銀行流動性水平的變動。 商業(yè)銀行作為一個金融中介，連接著整個經(jīng)濟社會，這也使得銀行的經(jīng)營管理更容易受到來自各方面因素的影響。在對以前的研究成果總結(jié)和分析之后，我們認為流動性風(fēng)險主要有三個層面的影響因素，一是商業(yè)銀行自身的經(jīng)營管理策略，二是銀行業(yè)市場結(jié)構(gòu)的變動，最后是宏觀經(jīng)濟環(huán)境的變動。 本文的第1章為緒論。說明了文章的選題背景以及研究意義，對文章的整體內(nèi)容和框架進行了簡述，介紹了文章的研究思路和主要方法，并且闡述了文章的創(chuàng)新點。 第2章是總結(jié)了涉及的理論基礎(chǔ)，回顧和分析了國內(nèi)外文獻。首先具體說明了商業(yè)銀行的流動性和流動性風(fēng)險的概念，然后從商業(yè)銀行自身的脆弱性、信息不對稱、銀行間市場風(fēng)險傳染三個方面分析了流動性風(fēng)險產(chǎn)生的根源。對國內(nèi)外的相關(guān)文獻進行了回顧和總結(jié)，學(xué)者們關(guān)于流動性風(fēng)險的研究主要從兩個層面，一個是從銀行整體流動性的角度，一個是從商業(yè)銀行的角度。 第3章首先根據(jù)具體數(shù)據(jù)對銀行的流動性現(xiàn)狀進行了研究，然后從理論上闡述了流動性的影響因素。就“錢荒”問題及其形成原因進行了分析，通過GARCH、TARCH模型研究了上海同業(yè)拆借利率的波動性。通過流動性比例、存貸比和超額準備金率三個指標對商業(yè)銀行整體的流動性現(xiàn)狀進行了統(tǒng)計性描述。從內(nèi)部和外部兩方面探究了商業(yè)銀行流動性風(fēng)險的影響因素。 第4章是通過實際數(shù)據(jù)對流動性風(fēng)險的影響因素進行了實證研究�？紤]到商業(yè)銀行流動性的內(nèi)部影響因素和外部影響因素的不同衡量口徑會產(chǎn)生不同的影響效果，從銀行整體的角度和16家上市商業(yè)銀行的角度分別建立兩個模型做了實證研究。從商業(yè)銀行整體的分析則更加注重整個經(jīng)濟的運行狀況和銀行業(yè)整體的變化，通過經(jīng)濟增長、廣義貨幣增長和同業(yè)拆借利率反映整個經(jīng)濟狀況，銀行業(yè)整體則主要涉及了市場集中度和總資產(chǎn)增長率兩個指標。從上市商業(yè)銀行角度的分析更加注重銀行的差異性，主要考慮了監(jiān)管指標和財務(wù)指標對銀行流動性水平的影響。 通過最小二乘回歸，，發(fā)現(xiàn)廣義貨幣增長率、銀行業(yè)市場集中度和同業(yè)拆借利率與流動性比例存在顯著的負相關(guān)關(guān)系，而銀行總資產(chǎn)增長率與流動性比例存在顯著的正相關(guān)關(guān)系，但是彈性系數(shù)都比較小。 通過面板數(shù)據(jù)模型回歸，在上市銀行總體模型中，資本充足率、平均總資產(chǎn)收益率和凈資產(chǎn)增長率與流動性比例存在顯著的正相關(guān)性。在大型上市商業(yè)銀行模型中，凈資產(chǎn)增長率與流動性比例存在顯著的負相關(guān)關(guān)系。而在中小型上市商業(yè)銀行中，平均總資產(chǎn)收益率和凈資產(chǎn)增長率與流動性比例存在顯著的正相關(guān)關(guān)系。 第5章得出結(jié)論�；谏虡I(yè)銀行整體流動性的模型回歸，我們發(fā)現(xiàn)穩(wěn)定的廣義貨幣增長率能夠提高銀行的流動性水平；在現(xiàn)階段，放寬銀行業(yè)準入、降低集中度能降低流動性風(fēng)險；央行可以通過對銀行間拆借市場利率的管理來達到對商業(yè)銀行流動性的有效管理�；谏鲜猩虡I(yè)銀行的面板數(shù)據(jù)模型的回歸，我們發(fā)現(xiàn)對資本充足率的監(jiān)管可以降低流動性風(fēng)險；在我們研究的時間區(qū)間，銀行的盈利能力越強流動性水平越高；銀行的成長能力與流動性水平存在正相關(guān)關(guān)系，這與基于整體的研究是一致的，但是在大型上市銀行模型中得出相反的結(jié)論，這與大型銀行的規(guī)模相關(guān)。進一步對流動性現(xiàn)狀進行分析，也得出相關(guān)結(jié)論。
[Abstract]:The liquidity level of commercial banks reflects its operational risk . As the main business of the bank is the management of assets and liabilities , liquidity risk arises when the assets and liabilities structure of the bank is in question . In our country , the liquidity surplus problem of commercial banks is the focus of the research for some time . In China , the liquidity crisis has also appeared in China ' s commercial banks in 2013 . From the excess liquidity to liquidity risk , it is more worthwhile to think about the factors that affect the fluctuation of the liquidity level of commercial banks . As a financial intermediary , commercial banks are connected with the whole economy and society , which also makes the management of banks more vulnerable to various factors . After summing up and analyzing the previous research results , we think that liquidity risk is mainly influenced by three levels , one is the management strategy of the commercial banks themselves , the second is the change of the banking market structure , and finally the changes of the macro - economic environment . The first chapter of this paper is introduction . The background of the article ' s selection and the significance of research are described . The whole contents and framework of the article are briefly described . The research ideas and main methods of the article are introduced , and the innovation points of the article are expounded . Chapter 2 summarizes the theoretical foundation , reviews and analyses the literatures at home and abroad . Firstly , the concept of liquidity and liquidity risk of commercial banks is analyzed , and then the root causes of liquidity risk are analyzed from three aspects of their vulnerability , information asymmetry and inter - bank market risk infection . The research on liquidity risk is mainly from two levels , one from the perspective of the overall liquidity of the bank , and one from the angle of commercial banks . Chapter 3 firstly studies the liquidity situation of the bank according to the specific data , then expounds the influence factors of liquidity in theory . Through the analysis of the problem of " money shortage " and the reasons for its formation , this paper studies the volatility of the loan interest rate of the commercial banks through the three indexes of liquidity ratio , deposit ratio and excess reserve ratio . Chapter 4 is an empirical study on the influencing factors of liquidity risk through real data . In view of the internal influence factors of the liquidity of commercial banks and the different measures of external influence factors , two models have been established . Through the least square regression , it is found that the growth rate of the broad money , the concentration of the banking market and the ratio of the interbank borrowing rate and the liquidity ratio have significant negative correlation , while the growth rate of the total assets of the bank is positively correlated with the liquidity ratio , but the elastic coefficient is relatively small . Through the panel data model regression , there is a positive correlation between the capital adequacy ratio , the average total asset yield and the net asset growth rate and the liquidity ratio in the overall model of the listed banks . In the model of the large - scale listed commercial banks , there is a significant negative correlation between the net asset growth rate and the liquidity ratio . In the small and medium - sized listed commercial banks , the average total asset yield and the net asset growth rate have a significant positive correlation with the liquidity ratio . Chapter 5 draws a conclusion . Based on the model regression of the overall liquidity of commercial banks , we find that stable generalized monetary growth rate can improve the liquidity level of the banks . At the present stage , we can reduce the liquidity risk by relaxing the market access and reducing the concentration . In the time interval of our study , the higher the profitability of the bank , the higher the liquidity level .

【學(xué)位授予單位】：吉林大學(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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