【摘要】：自中國加入WTO后,中國經濟金融發(fā)展的不確定因素、不安全因素逐漸增多,更容易受到外界的影響,由此誘發(fā)金融危機的因素也更多了。美國次貸危機引發(fā)的全球金融危機給我國的實體經濟和金融體系帶來了一定的沖擊。在金融市場飛速發(fā)展的今天,商業(yè)銀行猶如一列高速運轉的列車,而充足的流動性是維持不斷向前的動力。一旦出現(xiàn)流動性危機,隨之而來的擠兌風潮和信用危機會將商業(yè)銀行陷入困境之中。因此,最終打垮商業(yè)銀行的是流動性風險。所以,完善流動性風險披露制度和標準,建立健全的風險管理系統(tǒng)顯得尤為重要。 在研究思路上,本文參考了國內外的優(yōu)秀文獻,對我國商業(yè)銀行流動性風險的管理現(xiàn)狀展開了分析,在研究宏觀經濟因素對流動性風險的影響方面文章運用ARDL模型做了實證分析并得出結論。文章主體分為六章,第一章為緒論,介紹了選題背景和選題意義,并且對商業(yè)銀行風險管理理論和國內外文獻做出了整體的回顧。第二章為商業(yè)銀行風險管理的現(xiàn)狀分析。通過對我國國有商業(yè)銀行和股份制商業(yè)銀行的流動性狀況進行分析,得出我國商業(yè)銀行流動性風險管理中現(xiàn)存的問題。第三章為宏觀經濟因素對我國商業(yè)銀行流動性風險的影響分析。從宏觀經濟環(huán)境、央行貨幣政策、商業(yè)銀行融資能力、房地長市場和股票市場五個方面展開討論。第四章為我國商業(yè)銀行流動性風險的測度方法及評析。第五章為實證分析,本文分別選取了兩個商業(yè)銀行流動性指標來表現(xiàn)商業(yè)銀行的流動性風險。筆者選取了2009年1月至2013年3月的數(shù)據(jù),運用ARDL模型分析了商業(yè)銀行流動性指標與同業(yè)拆借率、房地產均價、上證A股成交額以及貨幣流動性之間的關系,得出同業(yè)拆借率、房地產均價和貨幣流動性對商業(yè)銀行的流動性有顯著影響。第六章為針對得出的結論對我國商業(yè)銀行流動性風險管理提出一些建議。 在研究方法上,本文運用了理論與實際相結合的方法、規(guī)范分析與實證分析相結合的方法和定量分析與定性分析相結合的方法。文章以國內外已有的優(yōu)秀文獻和商業(yè)銀行風險管理理論為基礎,結合我國商業(yè)銀行流動性風險管理過程中的具體情況,對影響商業(yè)銀行流動性風險的宏觀因素進行分析。并且運用實證模型進行計量分析驗證模型得出的結果。 區(qū)別于以往的文獻研究,本文的創(chuàng)新之處在于從影響商業(yè)銀行流動性的宏觀因素入手,運用新的數(shù)據(jù)處理方式和計量模型分析商業(yè)銀行的流動性風險問題。受限于本人的學術水平,研究過程可能存在不足。但是在金融全球化、經濟一體化的背景下,重視商業(yè)銀行的流動性風險問題,加強流動性風險管理在當下有著重大的意義。希望通過對商業(yè)銀行的流動性風險管理問題的研究,可以使商業(yè)銀行持續(xù)穩(wěn)定經營的目標得以保障。
[Abstract]:Since China's entry into WTO, the uncertain factors and unsafe factors in China's economic and financial development have increased gradually, and are more susceptible to the external influence, thus inducing more factors of financial crisis. The global financial crisis caused by the subprime mortgage crisis in the United States has brought a certain impact to the real economy and financial system of our country. With the rapid development of financial market, commercial banks are like a train running at high speed, and sufficient liquidity is the driving force to keep moving forward. Once there is a liquidity crisis, the resulting run-off and credit crisis will put commercial banks into trouble. Therefore, the ultimate collapse of commercial banks is liquidity risk. Therefore, it is very important to perfect the system and standard of liquidity risk disclosure and establish a sound risk management system. Based on the research ideas, this paper analyzes the current situation of liquidity risk management of commercial banks in China, referring to the excellent literature at home and abroad. In the study of the impact of macroeconomic factors on liquidity risk, this paper makes an empirical analysis by using ARDL model and draws a conclusion. The main body of the article is divided into six chapters. The first chapter is the introduction, which introduces the background and significance of the topic, and makes an overall review of the risk management theory of commercial banks and domestic and foreign literature. The second chapter is the current situation analysis of commercial bank risk management. By analyzing the liquidity status of state-owned commercial banks and joint-stock commercial banks, the existing problems in liquidity risk management of Chinese commercial banks are obtained. The third chapter analyzes the influence of macroeconomic factors on liquidity risk of commercial banks in China. From the macroeconomic environment, the central bank monetary policy, the commercial bank financing ability, the real estate long market and the stock market five aspects starts to discuss. The fourth chapter is the measurement method and evaluation of liquidity risk of commercial banks in China. The fifth chapter is empirical analysis, this article selects two commercial bank liquidity index separately to express the commercial bank liquidity risk. The author selects the data from January 2009 to March 2013, and analyzes the relationship between the liquidity index of commercial banks and the interbank lending rate, the average real estate price, the turnover of A shares of Shanghai Stock Exchange and the currency liquidity by using the ARDL model, and obtains the interbank lending rate. The average real estate price and monetary liquidity have a significant impact on the liquidity of commercial banks. The sixth chapter gives some suggestions on liquidity risk management of commercial banks in China. In terms of research methods, this paper uses the method of combining theory with practice, the method of combining normative analysis with empirical analysis and the method of combining quantitative analysis with qualitative analysis. Based on the domestic and foreign excellent literature and the theory of commercial bank risk management, this paper analyzes the macro factors that affect the liquidity risk of commercial banks in the process of liquidity risk management of commercial banks in China. The empirical model is used to verify the results of the model. Different from the previous literatures, the innovation of this paper is to analyze the liquidity risk of commercial banks by using new data processing methods and econometric models, starting with the macro factors that affect the liquidity of commercial banks. Limited by my academic level, the research process may be inadequate. However, under the background of financial globalization and economic integration, it is of great significance to pay attention to liquidity risk of commercial banks and strengthen liquidity risk management. It is hoped that through the study of liquidity risk management of commercial banks, the goal of sustainable and stable operation of commercial banks can be guaranteed.
【學位授予單位】：東北財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33

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