中國商業(yè)銀行市場約束研究
發(fā)布時(shí)間：2018-08-27 07:47
【摘要】：從宏觀經(jīng)濟(jì)角度看，改革開放三十多年來，中國通過漸進(jìn)式改革逐步從計(jì)劃經(jīng)濟(jì)步入市場經(jīng)濟(jì)發(fā)展模式，但是在金融行業(yè)市場化改革的發(fā)展還遠(yuǎn)遠(yuǎn)不夠。中國的金融業(yè)目前仍然是一個(gè)政府主導(dǎo)型行業(yè)，中國政府對于金融業(yè)的控制是強(qiáng)有力的。具體體現(xiàn)在商業(yè)銀行的國有控股性質(zhì)；存貸款基準(zhǔn)利率央行統(tǒng)一制定；信貸規(guī)模的控制等諸多方面。盡管金融自由化一直受到爭議，國家出于金融安全及政治穩(wěn)定等因素的考慮必須對金融業(yè)施行必要的管制。但是不可否認(rèn)的是，金融市場化在調(diào)節(jié)資源配置，提高經(jīng)濟(jì)效率等方面發(fā)揮著巨大的作用。因此穩(wěn)步推進(jìn)金融市場化發(fā)展對我國的經(jīng)濟(jì)發(fā)展有著重要的實(shí)踐意義。從銀行業(yè)發(fā)展的微觀角度看，中國企業(yè)的融資手段依然以商業(yè)銀行貸款的間接融資為主，在這樣的背景下加強(qiáng)銀行業(yè)的風(fēng)險(xiǎn)監(jiān)管對我國的意義尤為重要。中國銀監(jiān)會對銀行的監(jiān)管一直以巴塞爾協(xié)議為藍(lán)本依托，制定符合中國國情的監(jiān)管制度。而巴塞爾協(xié)議的三大監(jiān)管支柱為：（1）資本充足監(jiān)管；（2）監(jiān)管當(dāng)局監(jiān)管；（3）市場約束監(jiān)管。所謂市場約束即為發(fā)揮市場力量對銀行業(yè)的風(fēng)險(xiǎn)行為構(gòu)成約束，形成一種以市場為導(dǎo)向的監(jiān)管機(jī)制。可見市場約束是集合市場經(jīng)濟(jì)和監(jiān)管機(jī)制的綜合產(chǎn)物。作為巴塞爾協(xié)議銀行監(jiān)管的第三大支柱，市場約束在商業(yè)銀行監(jiān)管中發(fā)揮著不可替代的作用。 本文旨在運(yùn)用從總體到細(xì)節(jié)的分析框架與方法，并結(jié)合金融學(xué)的分支以及數(shù)學(xué)的重要原理，同時(shí)利用計(jì)量方法和翔實(shí)的數(shù)據(jù)對中國商業(yè)銀行的市場約束情況進(jìn)行理論分析和實(shí)證研究。在理論方面，建立綜合考察市場約束主要主體——存款人、債權(quán)人、股東的激勵(lì)機(jī)制以及商業(yè)銀行對市場約束的博弈反應(yīng)等模型；在實(shí)證方面，結(jié)合中國商業(yè)銀行的實(shí)際數(shù)據(jù)進(jìn)行逐一分析。進(jìn)而研究市場約束如何發(fā)揮其對商業(yè)銀行監(jiān)管的主要規(guī)律和作用機(jī)制，并結(jié)合中國實(shí)際，探求市場約束在我國的發(fā)展情況。本文通過以上分析論述得出一些關(guān)于如何通過市場約束促進(jìn)商業(yè)銀行監(jiān)管的結(jié)論，并對中國的銀行業(yè)監(jiān)管發(fā)展進(jìn)行展望。 本文共有八章。第一章為導(dǎo)論，介紹問題提出的背景、本文的研究思路、方法、特點(diǎn)，以及本文的創(chuàng)新點(diǎn)及難點(diǎn)。第二章為理論綜述與文獻(xiàn)述評�；仡櫫耸袌黾s束及其相關(guān)內(nèi)容的重要文獻(xiàn)，并從整體上闡述了市場約束的作用機(jī)制。詳細(xì)論述了市場約束的歷史、發(fā)揮作用的一般原理、市場約束的內(nèi)涵及主體（存款人、次級債投資人、股東等）。在文獻(xiàn)綜述的同時(shí)簡要的分析了市場約束的條件及發(fā)展，也分析了市場約束與其他監(jiān)管支柱的聯(lián)系。從第三章開始，具體分析市場約束主體在中國的實(shí)際情況。第三章從存款人的角度對市場約束作用的發(fā)揮進(jìn)行論述。理論部分介紹了存款人發(fā)揮市場約束作用的機(jī)理及重要意義。實(shí)證部分就我國的存款市場進(jìn)行了統(tǒng)計(jì)性描述及市場約束的計(jì)量分析。第四章從次級債投資人的角度對市場約束進(jìn)行了論述。應(yīng)用資產(chǎn)定價(jià)的原理，用數(shù)學(xué)模型推導(dǎo)了次級債投資人如何發(fā)揮市場約束作用。并就商業(yè)銀行引入次級債后會引起其他利益相關(guān)人的變化進(jìn)行了分析。并通過建立數(shù)學(xué)模型和數(shù)值模擬就我國次級債市場等問題的特殊性進(jìn)行了分析。還就我國商業(yè)銀行次級債發(fā)展的特有現(xiàn)象——“相互持有”的角度對市場約束的影響進(jìn)行了分析。第五章從股東在股市進(jìn)行交易的角度，對我國上市商業(yè)銀行的市場約束進(jìn)行了分析。本章論述了股東市場約束的內(nèi)涵、意義，分析了我國商業(yè)銀行股東的市場約束存在的途徑。實(shí)證部分用GMM動(dòng)態(tài)面板分析了基于股票交易的角度對商業(yè)銀行風(fēng)險(xiǎn)的市場約束。實(shí)證結(jié)果顯示，股票市場交易的非系統(tǒng)性波動(dòng)對商業(yè)銀行的風(fēng)險(xiǎn)管理構(gòu)成了市場約束。第六章主要論述了市場約束受到周圍環(huán)境怎樣的影響。以及面對市場約束，商業(yè)銀行會進(jìn)行哪些相應(yīng)的博弈。論述了信息披露與市場約束的關(guān)系；如果存在市場約束，或者市場約束預(yù)期，商業(yè)銀行會做出盈余管理、資本管理、監(jiān)管資本套利等博弈及外部環(huán)境對市場約束的影響。第七章總結(jié)了市場約束在我國的發(fā)展情況，對如何在我國踐行市場約束等問題進(jìn)行了分析。第八章為本文的總結(jié)論和未來的研究方向。 通過理論和實(shí)證分析，本文得出如下結(jié)論：首先，市場約束在商業(yè)銀行監(jiān)管問題上發(fā)揮著不可替代的作用。第二，中國商業(yè)銀行的市場約束機(jī)制還很薄弱，尤其表現(xiàn)在存款人及次級債投資人上。第三，，面對市場約束，商業(yè)銀行會做出盈余管理、資本管理等博弈反應(yīng)。市場約束總體上促進(jìn)巴塞爾協(xié)議的另兩大監(jiān)管支柱。第四，市場約束的發(fā)展在我國銀行業(yè)是必要且重要的，因此應(yīng)加強(qiáng)我國商業(yè)銀行的市場約束監(jiān)管，這對我國商業(yè)銀行的健康發(fā)展具有重要意義。
[Abstract]:From the macroeconomic point of view, over the past 30 years of reform and opening up, China has gradually stepped into the market economy through gradual reform from the planned economy, but the development of market-oriented reform in the financial industry is far from enough. Although financial liberalization has been controversial, the state has to impose necessary controls on the financial sector for the sake of financial security and political stability. Financial marketization plays an important role in adjusting resource allocation and improving economic efficiency. Therefore, it is of great practical significance to promote the development of financial marketization steadily for China's economic development. China Banking Regulatory Commission (CBRC) has been formulating a regulatory system in line with China's national conditions based on the Basel Accord. The three main regulatory pillars of the Basel Accord are: (1) capital adequacy supervision; (2) regulatory authority supervision; (3) market constraints. As the third pillar of Basel Accord banking supervision, market restraint plays an important role in the supervision of commercial banks. An irreplaceable role.
The purpose of this paper is to make theoretical analysis and empirical research on the market constraints of commercial banks in China by using the framework and methods of analysis from the whole to the details, combining the branches of Finance and the important principles of mathematics, and using quantitative methods and detailed data. The incentive mechanism of depositors, creditors, shareholders and the game reaction of commercial banks to market constraints are analyzed one by one in the empirical aspect. Then the main laws and mechanism of market constraints on commercial banks are studied, and the market is explored in the light of China's reality. Based on the above analysis and discussion, this paper draws some conclusions on how to promote the supervision of commercial banks through market constraints, and prospects the development of China's banking supervision.
The first chapter is the introduction, which introduces the background of the problem, the research ideas, methods, characteristics, and the innovation and difficulties of this paper. The second chapter is the theoretical review and literature review. The history of market restraint, the general principle of market restraint, the connotation and main body of market restraint (depositors, subordinated bond investors, shareholders, etc.) are reviewed. At the same time, the conditions and development of market restraint are briefly analyzed, and the relationship between market restraint and other regulatory pillars is also analyzed. Chapter 3 discusses the role of market constraints from the perspective of depositors. The theoretical part introduces the mechanism and significance of market constraints exerted by depositors. The empirical part makes a statistical description of the deposit market in China and a quantitative analysis of market constraints. Chapter 4 discusses the investors in subordinated bonds. This paper discusses the market constraints from the angle of market. Applying the principle of asset pricing, the paper deduces how the investors of subordinated bonds exert their market constraints by means of mathematical models, and analyzes the changes of other stakeholders caused by the introduction of subordinated bonds by commercial banks. The particularity of these problems is analyzed. The influence of market restraint is also analyzed from the perspective of "mutual holding", a peculiar phenomenon in the development of subordinated bonds of commercial banks in China. The fifth chapter analyzes the market restraint of listed commercial banks in China from the perspective of stockholders'trading in the stock market. The connotation and significance of constraints are analyzed. The empirical part uses GMM dynamic panel to analyze the market constraints on the risks of commercial banks. The empirical results show that the non-systematic volatility of stock market transactions constrains the risk management of commercial banks. Chapter 6 mainly discusses how market constraints are affected by the surrounding environment, and what corresponding games commercial banks will play in the face of market constraints. Discusses the relationship between information disclosure and market constraints; if there are market constraints, or market constraints expectations, commercial banks will make earnings management, capital management, regulatory capital sets. Chapter 7 summarizes the development of market constraints in China and analyzes how to practice market constraints in China. Chapter 8 is the summary of this paper and the future research direction.
Through theoretical and empirical analysis, this paper draws the following conclusions: firstly, market constraints play an irreplaceable role in the supervision of commercial banks. secondly, the market restraint mechanism of Chinese commercial banks is still very weak, especially for depositors and investors in subordinated bonds. thirdly, commercial banks will make earnings management in the face of market constraints. Fourthly, the development of market constraints is necessary and important in China's banking industry. Therefore, it is of great significance for the healthy development of China's commercial banks to strengthen the supervision of market constraints.
【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.33;F832.51;F224
[Abstract]:From the macroeconomic point of view, over the past 30 years of reform and opening up, China has gradually stepped into the market economy through gradual reform from the planned economy, but the development of market-oriented reform in the financial industry is far from enough. Although financial liberalization has been controversial, the state has to impose necessary controls on the financial sector for the sake of financial security and political stability. Financial marketization plays an important role in adjusting resource allocation and improving economic efficiency. Therefore, it is of great practical significance to promote the development of financial marketization steadily for China's economic development. China Banking Regulatory Commission (CBRC) has been formulating a regulatory system in line with China's national conditions based on the Basel Accord. The three main regulatory pillars of the Basel Accord are: (1) capital adequacy supervision; (2) regulatory authority supervision; (3) market constraints. As the third pillar of Basel Accord banking supervision, market restraint plays an important role in the supervision of commercial banks. An irreplaceable role.
The purpose of this paper is to make theoretical analysis and empirical research on the market constraints of commercial banks in China by using the framework and methods of analysis from the whole to the details, combining the branches of Finance and the important principles of mathematics, and using quantitative methods and detailed data. The incentive mechanism of depositors, creditors, shareholders and the game reaction of commercial banks to market constraints are analyzed one by one in the empirical aspect. Then the main laws and mechanism of market constraints on commercial banks are studied, and the market is explored in the light of China's reality. Based on the above analysis and discussion, this paper draws some conclusions on how to promote the supervision of commercial banks through market constraints, and prospects the development of China's banking supervision.
The first chapter is the introduction, which introduces the background of the problem, the research ideas, methods, characteristics, and the innovation and difficulties of this paper. The second chapter is the theoretical review and literature review. The history of market restraint, the general principle of market restraint, the connotation and main body of market restraint (depositors, subordinated bond investors, shareholders, etc.) are reviewed. At the same time, the conditions and development of market restraint are briefly analyzed, and the relationship between market restraint and other regulatory pillars is also analyzed. Chapter 3 discusses the role of market constraints from the perspective of depositors. The theoretical part introduces the mechanism and significance of market constraints exerted by depositors. The empirical part makes a statistical description of the deposit market in China and a quantitative analysis of market constraints. Chapter 4 discusses the investors in subordinated bonds. This paper discusses the market constraints from the angle of market. Applying the principle of asset pricing, the paper deduces how the investors of subordinated bonds exert their market constraints by means of mathematical models, and analyzes the changes of other stakeholders caused by the introduction of subordinated bonds by commercial banks. The particularity of these problems is analyzed. The influence of market restraint is also analyzed from the perspective of "mutual holding", a peculiar phenomenon in the development of subordinated bonds of commercial banks in China. The fifth chapter analyzes the market restraint of listed commercial banks in China from the perspective of stockholders'trading in the stock market. The connotation and significance of constraints are analyzed. The empirical part uses GMM dynamic panel to analyze the market constraints on the risks of commercial banks. The empirical results show that the non-systematic volatility of stock market transactions constrains the risk management of commercial banks. Chapter 6 mainly discusses how market constraints are affected by the surrounding environment, and what corresponding games commercial banks will play in the face of market constraints. Discusses the relationship between information disclosure and market constraints; if there are market constraints, or market constraints expectations, commercial banks will make earnings management, capital management, regulatory capital sets. Chapter 7 summarizes the development of market constraints in China and analyzes how to practice market constraints in China. Chapter 8 is the summary of this paper and the future research direction.
Through theoretical and empirical analysis, this paper draws the following conclusions: firstly, market constraints play an irreplaceable role in the supervision of commercial banks. secondly, the market restraint mechanism of Chinese commercial banks is still very weak, especially for depositors and investors in subordinated bonds. thirdly, commercial banks will make earnings management in the face of market constraints. Fourthly, the development of market constraints is necessary and important in China's banking industry. Therefore, it is of great significance for the healthy development of China's commercial banks to strengthen the supervision of market constraints.
【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.33;F832.51;F224
【參考文獻(xiàn)】
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