本文選題：同業(yè)業(yè)務 + 銀行風險�。� 參考：《山西財經(jīng)大學》2017年碩士論文

【摘要】：近年來,我國同業(yè)業(yè)務的發(fā)展速度非�？�。截至2015年末,16家上市銀行的同業(yè)資產總額為11.23萬億元,占16家上市銀行總資產的比重為9.65%。同業(yè)業(yè)務資產在銀行總資產中所占的比例越來越高,地位也越來越重要。商業(yè)銀行出于逃離監(jiān)管約束、追求利潤增長的需要而積極推進同業(yè)業(yè)務的發(fā)展,但與此同時也帶來了一系列風險隱患的暴露和經(jīng)營問題的突出。因此,對同業(yè)業(yè)務的性質和地位樹立正確清晰的認識,對商業(yè)銀行今后的發(fā)展至關重要。本文就基于同業(yè)業(yè)務視角,對商業(yè)銀行的風險承擔展開分析:利用2008--2015年50家商業(yè)銀行的平衡面板數(shù)據(jù),建立動態(tài)面板模型,以銀行風險Z值作為被解釋變量,以銀行同業(yè)資產占比作為主要解釋變量,以其他銀行微觀個體特征和宏觀經(jīng)濟形勢指標作為控制變量,采用系統(tǒng)廣義矩估計方法,對兩個方面的內容進行了研究:同業(yè)業(yè)務發(fā)展對銀行風險的影響,以及同業(yè)業(yè)務發(fā)展影響銀行風險的具體機制。實證分析表明:第一,同業(yè)業(yè)務的發(fā)展會增大銀行風險。同業(yè)資產占比大小與銀行風險大小顯著相關,同業(yè)資產占比越高,銀行風險越大。同業(yè)業(yè)務在開展過程中,由于模式復雜、監(jiān)管困難、期限錯配,易引發(fā)信用風險和系統(tǒng)風險。第二,銀行風險受上期影響較大,具有很強的延續(xù)性。銀行個體微觀特征對其風險具有顯著影響:存貸比越高,資產收益率越大,銀行風險越大,因存貸比過高會導致銀行流動性變差,收益高的銀行傾向于采取更加激進的經(jīng)營策略。宏觀經(jīng)濟形勢對銀行風險的影響也較為顯著:人均國內生產總值越大,經(jīng)濟形勢越好,銀行風險越小,因經(jīng)濟景氣時期,就業(yè)情況良好,企業(yè)凈值改善,違約風險降低,銀行信貸資產穩(wěn)定。貨幣流動性越大,銀行風險越大,因流動性過剩時,易產生資產價格泡沫化,銀行間競爭過度,擴大了銀行利率和信用風險。第三,同業(yè)資產占比對銀行風險的影響有其具體機制,同業(yè)業(yè)務發(fā)展通過對銀行資產收益率產生影響,進而影響銀行風險。雖然同業(yè)業(yè)務的發(fā)展可以為銀行帶來利潤,增加收益,但會導致銀行資產收益率的降低,對銀行的經(jīng)營績效產生不利影響;相對于貸款業(yè)務,同業(yè)業(yè)務是一種低效的盈利模式,發(fā)展同業(yè)業(yè)務是在存貸比受到管制下的一種被迫選擇。
[Abstract]:In recent years, the development speed of our country interbank business is very fast. By the end of 2015, the total interbank assets of 16 listed banks were 11.23 trillion yuan, accounting for 9.65 percent of the total assets of 16 listed banks. The proportion of interbank assets in the total assets of banks is higher and higher, and the status is becoming more and more important. Commercial banks actively promote the development of the same business in order to escape the regulatory constraints and pursue the growth of profits, but at the same time, it also brings a series of risks exposure and outstanding management problems. Therefore, establishing a correct and clear understanding of the nature and status of the business is of great importance to the future development of commercial banks. This paper analyzes the risk bearing of commercial banks from the perspective of interbank business: using the balanced panel data of 50 commercial banks from 2008 to 2015, the dynamic panel model is established, and the Z value of bank risk is taken as the explanatory variable. Taking the ratio of interbank assets as the main explanatory variable and the microcosmic characteristics of other banks and the macroeconomic situation as control variables, the generalized moment estimation method is used. This paper studies two aspects: the influence of the development of interbank business on the risk of the bank, and the specific mechanism of the development of interbank business affecting the risk of the bank. Empirical analysis shows that: first, the development of interbank business will increase bank risk. The ratio of interbank assets is significantly related to the risk of banks, and the higher the ratio of interbank assets is, the greater the risk of banks is. In the course of carrying out interbank business, it is easy to lead to credit risk and system risk because of complicated mode, difficult supervision and mismatch of term. Second, bank risk is greatly affected by the prior period, with strong continuity. The microcosmic characteristics of banks have a significant impact on their risks: the higher the deposit-loan ratio, the greater the return on assets, the greater the bank risk, because the higher the deposit-loan ratio will lead to poor bank liquidity. High-yielding banks tend to adopt more aggressive business strategies. The macroeconomic situation also has a significant impact on bank risk: the greater the GDP per capita, the better the economic situation, the smaller the bank risk, because in good economic times, the employment situation is good, the net worth of enterprises improves, and the risk of default is reduced. Bank credit assets are stable. The greater the monetary liquidity, the greater the bank risk. Because of excess liquidity, asset price is liable to bubble and the competition between banks is excessive, which expands the interest rate and credit risk of banks. Third, the influence of the ratio of interbank assets to bank risk has its specific mechanism. The development of interbank business affects the bank risk by influencing the return on bank assets. Although the development of interbank business can bring profit and increase income to the bank, it will lead to the decrease of the rate of return on assets of the bank, which will have a negative impact on the performance of the bank. Compared with the loan business, the interbank business is a kind of inefficient profit mode. The development of interbank business is a forced choice under the control of deposit-loan ratio.
【學位授予單位】：山西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.2

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