本文選題：銀行體系穩(wěn)定性 + BSS指數(shù)　； 參考：《中國(guó)海洋大學(xué)》2012年碩士論文

【摘要】：我國(guó)加入WTO已逾10年，我國(guó)的商業(yè)銀行體系已正式結(jié)束了入世以來的5年保護(hù)期。面對(duì)激烈的國(guó)際競(jìng)爭(zhēng)，我國(guó)金融系統(tǒng)正經(jīng)歷著巨大的考驗(yàn)。特別是次貸危機(jī)以后，受美國(guó)量化寬松政策及歐債危機(jī)的影響，，國(guó)際游資不斷沖擊著國(guó)內(nèi)的金融系統(tǒng)，使國(guó)際國(guó)內(nèi)環(huán)境愈加的復(fù)雜。商業(yè)銀行作為我國(guó)金融系統(tǒng)的主體之一，正接受著銀行本身內(nèi)在因素以及國(guó)際國(guó)內(nèi)復(fù)雜環(huán)境的挑戰(zhàn)，其穩(wěn)定性也受到威脅。本文以我國(guó)商業(yè)銀行體系穩(wěn)定性為研究對(duì)象，探討以下問題：1）我國(guó)商業(yè)銀行體系穩(wěn)定性的影響因素；2）我國(guó)商業(yè)銀行體系穩(wěn)定性的度量；3）我國(guó)商業(yè)銀行穩(wěn)定性差異分析。針對(duì)上述問題，本文的研究工作和主要貢獻(xiàn)集中在以下幾個(gè)方面： 首先，類比工程學(xué)、航天科學(xué)、生態(tài)學(xué)等穩(wěn)定性的相關(guān)概念，對(duì)銀行體系穩(wěn)定性做了相關(guān)概念的界定；從宏觀理論和微觀理論兩方面，用金融不穩(wěn)定假說、金融危機(jī)史觀、安全邊界說、信息不對(duì)稱、逆向選擇與道德風(fēng)險(xiǎn)、囚徒困境、委托一代理問題、金融熵等一系列理論為銀行體系穩(wěn)定性的定性和定量分析奠定了較為穩(wěn)固的理論基礎(chǔ)，同時(shí)定性分析了商業(yè)銀行體系穩(wěn)定性的影響因素；根據(jù)SCP范式對(duì)我國(guó)商業(yè)銀行體系穩(wěn)定性現(xiàn)狀進(jìn)行了分析，從內(nèi)因、外因兩方面闡述了我國(guó)商業(yè)銀行體系穩(wěn)定性的現(xiàn)狀，并就其存在的問題進(jìn)行定性的描述分析。 其次，在我國(guó)實(shí)際情況基礎(chǔ)上，選取銀行穩(wěn)定性的影響因素，并用ISM模型對(duì)其進(jìn)行分層、剔除，建立了四層的指標(biāo)體系結(jié)構(gòu)；在提取主成分的基礎(chǔ)上，用主觀的層次分析和客觀的主成分分析法設(shè)定了各個(gè)主要影響因素的權(quán)重，構(gòu)建出BSS（Banking System's Stability）指數(shù)。通過全國(guó)數(shù)據(jù)和典型個(gè)例交通銀行、中國(guó)銀行、興業(yè)銀行、工商銀行、建設(shè)銀行、招商銀行等十一家主要商業(yè)銀行的時(shí)間序列數(shù)據(jù)對(duì)BSS指數(shù)進(jìn)行了實(shí)證分析，其結(jié)果與現(xiàn)實(shí)基本相符。 第三，通過構(gòu)建VAR模型對(duì)數(shù)據(jù)進(jìn)行深層挖掘，發(fā)掘影響因素的影響力的差異。經(jīng)過ADF平衡性檢驗(yàn)、協(xié)整關(guān)系判斷、格蘭杰因果檢驗(yàn)、脈沖響應(yīng)函數(shù)等，得出提取的五個(gè)主成分是不穩(wěn)定的但與BSS指數(shù)存在長(zhǎng)期的協(xié)整關(guān)系并能夠通過最大特征值統(tǒng)計(jì)量和跡統(tǒng)計(jì)量檢驗(yàn)，進(jìn)一步深入研究度量了五大權(quán)重指標(biāo)與銀行穩(wěn)定性關(guān)系以及對(duì)穩(wěn)定性的沖擊；一方面，方差分解的結(jié)果顯示,銀行穩(wěn)健性的波動(dòng)主要受自身、信貸增長(zhǎng)率、相對(duì)通貨膨脹率和短期債務(wù)/債務(wù)總額的影響，這些因素對(duì)BSS指數(shù)的波動(dòng)的解釋程度接近50%,說明銀行的穩(wěn)健性除了依賴于銀行體系本身以外，還很大程度上受國(guó)際環(huán)境和我國(guó)綜合國(guó)力的穩(wěn)定性影響。另一方面，變參數(shù)的固定效應(yīng)面板模型從縱向、橫向以及波動(dòng)性三方面深入分析各個(gè)因素對(duì)不同商業(yè)銀行穩(wěn)定性差異影響以及國(guó)有銀行和非國(guó)有銀行的差異等。 最后，針對(duì)定性分析和定量分析的結(jié)果提出從宏觀經(jīng)濟(jì)環(huán)境、宏觀經(jīng)濟(jì)發(fā)展趨勢(shì)的預(yù)測(cè)、社會(huì)信用環(huán)境三方面保持良好的銀行體系發(fā)展環(huán)境、加強(qiáng)銀行體系自身建設(shè)、提升自控水平、完善銀行業(yè)監(jiān)管制度、從準(zhǔn)入退出機(jī)制、存款保險(xiǎn)制度、最后貸款人三個(gè)層面來構(gòu)筑銀行體系安全網(wǎng)等政策建議以供相關(guān)部門參考。
[Abstract]:After China ' s entry into WTO for more than 10 years , China ' s commercial bank system has formally ended the five - year protection period since its entry into WTO . In the face of fierce international competition , our country ' s financial system is undergoing a huge test . Especially after the sub - prime crisis , the international capital has continuously impacted the domestic financial system . The stability of the commercial bank is also threatened .
2 ) the measurement of the system stability of commercial banks in China ;
3 ) Analysis of the stability difference of commercial banks in China . In view of the above problems , the research work and main contribution of this paper are focused on the following aspects :

Firstly , the concepts of stability such as analogy engineering , space science , ecology and so on are defined , and the concept of banking system stability is defined ;
On the basis of macro - theory and micro - theory , using financial instability hypothesis , financial crisis history , security boundary theory , information asymmetry , reverse selection and moral hazard , prisoner ' s dilemma , principal - agent problem , financial entropy , etc .
According to SCP model , the present situation of commercial bank system stability in China is analyzed , and the present situation of the stability of commercial bank system in our country is elaborated from the aspects of internal and external factors , and the qualitative description analysis is made on the existing problems .

Secondly , on the basis of the actual situation of our country , the influencing factors of bank stability are selected , and the ISM model is used to stratify and eliminate it , and the four - layer index architecture is established ;
On the basis of extracting principal components , the weights of each major influencing factor are set by subjective analytic hierarchy process and objective principal component analysis method , and the BSS ( Banking System ' s Stability ) index is constructed . The BSS index is empirically analyzed through the national data and typical time series data of eleven major commercial banks , such as Bank of China , Industrial Bank of China , Industrial and Commercial Bank , Construction Bank and China Merchants Bank . The results are in line with reality .

Thirdly , by constructing VAR model , we deeply explore the influence of influencing factors by constructing VAR model . Through ADF balance test , co - integration relation judgement , grant causality test and impulse response function , it is concluded that the five main components are unstable but have long - term co - integration with BSS index and can be tested by maximum eigenvalue statistics and trace statistics , and further study the relationship between five weight indexes and bank stability and the impact on stability .
On the one hand , the results of variance decomposition show that the fluctuation of the bank ' s robustness is mainly influenced by its own , the credit growth rate , the relative inflation rate and the short - term debt / debt total . The degree of the fluctuation of the BSS index is close to 50 % , which indicates that the stability of the bank is greatly influenced by the international environment and the stability of the comprehensive national strength of our country . On the other hand , the fixed effect panel model of the variable parameters analyzes the influence of each factor on the stability of different commercial banks and the difference between the state - owned banks and the non - state - owned banks .

Finally , according to the results of qualitative analysis and quantitative analysis , a good bank system development environment is put forward from macro - economic environment , macro - economic development trend and social credit environment , so as to strengthen banking system ' s self - construction , improve self - control level , perfect banking supervision system , construct banking system safety net and other policy suggestions from three aspects of admission exit mechanism , deposit insurance system and final lender for reference .

【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F224

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