本文選題：資產(chǎn)價格 + 銀行脆弱性��； 參考：《天津財經(jīng)大學(xué)》2013年碩士論文

【摘要】：在過去幾十年中,隨著世界各國金融危機(jī)的頻繁爆發(fā),由資產(chǎn)價格波動所引發(fā)的系統(tǒng)性金融危機(jī)已經(jīng)成為各國政府和中央銀行普遍關(guān)注的焦點。而我國目前仍處于以商業(yè)銀行為主導(dǎo)的金融體系中,金融危機(jī)的產(chǎn)生與發(fā)展必然與商業(yè)銀行的穩(wěn)健經(jīng)營存在著密切聯(lián)系。因此重視資產(chǎn)價格波動對我國銀行脆弱性的影響,探討其對我國銀行體系脆弱性影響的傳導(dǎo)途徑,對于我國銀行體系的穩(wěn)健經(jīng)營和風(fēng)險防范具有深遠(yuǎn)的意義。 在梳理國內(nèi)外學(xué)者已有的研究成果的基礎(chǔ)上,本文首先從宏觀經(jīng)濟(jì)和微觀金融角度分別選取了貸款增長率、CPI和不良貸款率、資本充足率四個指標(biāo)對我國銀行體系脆弱性進(jìn)行了綜合評估,然后運用VAR模型、Granger因果關(guān)系檢驗、脈沖響應(yīng)、方差分析等實證學(xué)分析方法分別從整個股市板塊、房地產(chǎn)價格板塊和金融板塊三個方面研究了其對銀行體系脆弱性綜合指標(biāo)的影響。實證結(jié)果表明,房地產(chǎn)價格波動對銀行脆弱性影響最大,金融板塊對其影響次之,整個股市的價格波動對銀行脆弱性沒有顯著影響。更詳細(xì)的講,資產(chǎn)價格波動對代表銀行脆弱性的宏觀經(jīng)濟(jì)指標(biāo)即貸款增長率和CPI的影響較為顯著,而代表銀行體系脆弱性的微觀金融指標(biāo)即不良貸款率和資本充足率則更多的受制于銀監(jiān)會的監(jiān)管,受資產(chǎn)價格波動影響較小。最后,在此基礎(chǔ)上,本文分別從銀行自身角度、資產(chǎn)價格調(diào)控角度、銀行業(yè)監(jiān)管角度和整個資本市場角度提出了相應(yīng)的政策建議。
[Abstract]:In the past few decades, with the frequent outbreak of financial crises in the world, the systemic financial crisis caused by the fluctuation of asset prices has become the focus of attention of governments and central banks. At present, China is still in the financial system dominated by commercial banks. The emergence and development of financial crisis must be closely related to the steady operation of commercial banks. Therefore, we attach importance to the impact of asset price fluctuation on the vulnerability of Chinese banks, and explore the transmission ways of its impact on the vulnerability of China's banking system. It has far-reaching significance for the steady operation and risk prevention of the banking system in China. On the basis of combing the existing research results of domestic and foreign scholars, This paper firstly selects four indicators of loan growth rate (CPI), non-performing loan ratio (NPLR) and capital adequacy ratio (capital adequacy ratio) to evaluate the vulnerability of China's banking system from the point of view of macro-economy and micro-finance respectively, and then uses VAR model to test the Granger causality. The impact of impulse response and variance analysis on the vulnerability of the banking system is studied from three aspects: the whole stock market, the real estate price and the financial sector. The empirical results show that the volatility of real estate prices has the greatest impact on the vulnerability of banks, followed by the financial sector, and the volatility of the whole stock market has no significant impact on the vulnerability of banks. More specifically, asset price volatility has a significant impact on the macroeconomic indicators that represent the vulnerability of banks, namely, the growth rate of loans and the CPI. On the other hand, the micro-financial index, that is, non-performing loan ratio and capital adequacy ratio, which represents the fragility of the banking system, is more subject to the supervision of the CBRC and is less affected by the fluctuation of asset prices. Finally, on this basis, this paper puts forward the corresponding policy recommendations from the perspective of the bank itself, asset price regulation, banking supervision and the whole capital market.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5;F832.3

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