本文關(guān)鍵詞：中東歐五國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)影響因素研究（2000-2012）　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：中東歐五國21世紀(jì)初相繼完成了銀行業(yè)改革,外資銀行占據(jù)了主導(dǎo)地位,因此銀行業(yè)變得更加脆弱。為了便于監(jiān)管機(jī)構(gòu)監(jiān)管,做到有的放矢,有必要對銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的影響因素進(jìn)行探討。本文在前人的基礎(chǔ)上,綜合采用宏微觀指標(biāo)對中東歐銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行研究。首先,采用指標(biāo)評分法粗略測度中東歐五國2004-2011年間銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)走勢。初步發(fā)現(xiàn)中東歐五國2006之前銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)逐漸減低,2006-2007表現(xiàn)最為穩(wěn)定。2008年次貸危機(jī)后,中東歐五國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)整體上升。2009年之后,中東歐五國銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)表現(xiàn)有差異。其次利用三步回歸模型(基礎(chǔ)回歸模型、加入GDP制約因素回歸模型、加入金融開放程度制約因素回歸模型)對中東歐五國2000-2012年數(shù)據(jù)進(jìn)行分析。結(jié)果發(fā)現(xiàn)1.中東歐五國21世紀(jì)初完成銀行業(yè)改革,使得中東歐銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)在2006年之前逐步下降；2.2008年金融危機(jī)主要通過國際貿(mào)易渠道使高度依賴歐盟貿(mào)易的中東歐五國經(jīng)濟(jì)受挫,并影響到銀行業(yè)穩(wěn)定性。實(shí)證回歸結(jié)果驗(yàn)證了該觀點(diǎn)。中東歐五國高外資依賴和高外債依賴的自身特征也讓金融危機(jī)通過預(yù)期渠道干擾了中東歐五國銀行業(yè)穩(wěn)定。事實(shí)上外資沒有大量撤資,資金流動和銀行等金融機(jī)構(gòu)渠道并沒有顯著地傳遞金融危機(jī)產(chǎn)生的風(fēng)險(xiǎn)進(jìn)入中東歐五國銀行業(yè)。相反,實(shí)證結(jié)果表明外資促進(jìn)了中東歐銀行業(yè)的穩(wěn)定,提高銀行資產(chǎn)回報(bào)率,降低不良貸款率,同時(shí)發(fā)現(xiàn)中東歐五國經(jīng)濟(jì)發(fā)展水平影響外資銀行對東道國銀行業(yè)作用的發(fā)揮。雖然,此次2008年次貸危機(jī),外資銀行沒有大量撤資對中東歐五國銀行體系造成沖擊,但是中東歐五國政府為了進(jìn)一步保障本國銀行業(yè)的穩(wěn)定性,需要改善“三高”局面--多元化貿(mào)易合作伙伴,降低外債負(fù)擔(dān)率和改善外資銀行控制本國銀行業(yè)的局面。
[Abstract]:In 21th century, five countries in Central and Eastern Europe completed the banking reform one after another, foreign banks occupied the dominant position, so the banking industry became more vulnerable. It is necessary to explore the influencing factors of banking systemic risk. Based on the previous studies, this paper comprehensively uses macro and micro indicators to study the systemic risk of banking in Central and Eastern Europe. Using index scoring method to roughly measure the trend of banking systemic risk in five countries of Central and Eastern Europe from 2004 to 2011. The preliminary results show that the systemic risk of banking in the five countries of Central and Eastern Europe before 2006 gradually decreased. 2006-2007 was the most stable. After the subprime mortgage crisis in 2008, the systemic risk of banking in five countries of Central and Eastern Europe rose overall. After 2009. There are differences in the performance of banking systemic risk in five countries of Central and Eastern Europe. Secondly, the three-step regression model (basic regression model) is used to add the regression model of GDP constraint factors. This paper analyzes the data of the five countries in Central and Eastern Europe from 2000 to 2012 by adding the regression model of financial openness. The results show that 1.The banking reform of the five countries in Central and Eastern Europe was completed in early 21th century. The systemic risk of banking in central and eastern Europe gradually declined before 2006; 2. The 2008 financial crisis has frustrated the economies of the five Central and Eastern European countries, which are highly dependent on EU trade, mainly through international trade channels. Empirical regression results verify this view. The characteristics of high foreign capital dependence and high external debt dependence of the five countries in Central and Eastern Europe also make the financial crisis interfere with the banking stability of the five central and eastern European countries through the expected channels. The fact is that foreign capital has not divested in large quantities. Financial institutions such as capital flows and banks do not significantly transfer the risk of financial crisis into the banking sector of the five central and eastern European countries. On the contrary, the empirical results show that foreign investment promotes the stability of the banking sector in Central and Eastern Europe. At the same time, it is found that the economic development level of five countries in Central and Eastern Europe affects the role of foreign banks in the banking industry of the host country. Although, in 2008, the subprime mortgage crisis. Foreign banks did not withdraw a large amount of the impact on the banking system of the five central and eastern European countries, but the five central and eastern European governments in order to further protect the stability of their banking sector. There is a need to improve the "three high" situation-diversification of trading partners, reduction of foreign debt burden and foreign banks to control the domestic banking sector.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F831.2

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