本文關鍵詞： 集中度 競爭度 銀行風險承擔 Panzar-Rosse模型 MMR理論　出處：《復旦大學》2014年碩士論文　論文類型：學位論文

【摘要】：近幾年來,隨著銀行業(yè)改革步伐的加快及監(jiān)管部門對銀行進入管制的放松,我國銀行業(yè)集中度逐步下降。而由于銀行行業(yè)的特殊性及在國民經濟中的重要地位,放松銀行業(yè)管制可能會影響銀行業(yè)的穩(wěn)定性。因此,學界對此進行了激烈的討論。一種觀點認為,隨著銀行業(yè)進入管制的放松,銀行業(yè)的壟斷租金將會下降,而新進入者對行業(yè)秩序的打亂或許會引起銀行在激烈競爭中風險承擔的提高,從而造成我國銀行業(yè)的不穩(wěn)定性。而另一種觀點則認為,放松銀行業(yè)的進入管制,可以通過競爭有效地提高銀行業(yè)效率,通過市場來這只“無形的手”來引導銀行業(yè)的健康發(fā)展,而非通過監(jiān)管部門對銀行業(yè)進入的保護,使得銀行業(yè)沒有良好的激勵機制去提高效率,而坐享政府保護帶來的壟斷租金.關于銀行競爭度變化對銀行風險承擔的影響機制,本文根據Martinez-Miera和Repullo(MMR,2010)的研究來構建理論模型,解釋了競爭度與銀行風險承擔呈“U型”相關的原因。具體來講,銀行在貸款市場上的競爭將會降低貸款利率,從而降低貸款的違約率,因此銀行的風險承擔更低。而隨著競爭繼續(xù)增大,銀行的貸款利率更低,銀行從正常的貸款中獲得的利息收入的減少超過因不良貸款下降而減少損失,銀行最后利潤下降,因此銀行的風險更高。同時,本文認為過去學者把集中度和競爭度作為同一個測度來研究有失嚴謹。結合國內銀行業(yè)實際情況,我國銀行業(yè)相比起金融市場發(fā)達地區(qū)其集中度并不低,然而我國銀行業(yè)同質化競爭非常高。因此,我國銀行業(yè)的集中度與競爭度之間的關系并非完全負相關。針對該情況,本文中對銀行集中度和競爭度的測度加以區(qū)分。使用Panzar-Rosse模型計算我國銀行業(yè)的競爭度。接下來,本文通過116家銀行2001-2012年的非平衡面板數據,就銀行集中度與風險承擔構建了模型并進行實證檢驗�？紤]到之前大多數實證文章用線性模型來探討的局限性,本文分別構建了用以赫芬達指數測量的集中度與以z值測量的風險承擔二次型關系及線性關系的實證模型。發(fā)現雖然銀行的集中度與銀行的風險承擔呈“倒U型”相關且顯著,但是由于本文的樣本區(qū)間均在“倒U型”關系的左側,即結合中國實際數據及實際約束,中國銀行業(yè)的集中度與風險承擔呈顯著正相關關系。并且在線性模型中兩者也是顯著正相關。而對銀行競爭度與風險承擔的研究發(fā)現二者具有顯著正相關關系,但二次型關系不顯著。研究還發(fā)現,銀行競爭度并不是導致銀行集中度與銀行風險正相關的中介變量。最后,根據結論和我國的現實情況來給出政策建議。
[Abstract]:In recent years, with the quickening of the pace of banking reform and the relaxation of supervision and control on the entry of banks, the banking concentration in China has gradually decreased. However, due to the particularity of the banking industry and its important position in the national economy. Deregulation of the banking sector may affect the stability of the banking sector. Therefore, there has been a heated discussion in the academic community. One view is that the monopoly rent of the banking industry will decrease as the banking sector enters the regulation of deregulation. The disruption of the order of the industry by the new entrants may lead to the increase of the risk assumption of the banks in the fierce competition, which will lead to the instability of the banking industry in China. The other view is that the entry regulation of the banking industry should be relaxed. We can improve the efficiency of banking effectively through competition, and guide the healthy development of banking through the invisible hand of the market, rather than the protection of the entry of the banking sector through the regulatory authorities. So that the banking industry does not have a good incentive mechanism to improve efficiency and enjoy the monopoly rent brought by the government protection. In this paper, the theoretical model is constructed based on the research of Martinez-Miera and Repullol MMR-2010. This paper explains the reason that the degree of competition and the risk bearing of banks are U-shaped. Specifically, the competition of banks in the loan market will lower the interest rate of loans and thus reduce the default rate of loans. As a result, banks take lower risks. And as competition continues to increase, banks have lower interest rates on loans, and banks earn more interest income from normal loans than they lose as a result of the decline in non-performing loans. At the same time, this paper thinks that it is not strict to study the degree of concentration and competition as the same measure in the past, combined with the actual situation of domestic banking. Compared with the developed regions of financial market, the concentration of banking in our country is not low, but the homogenization competition of banking in our country is very high. The relationship between banking concentration and competition is not completely negative correlation. This paper makes a distinction between the degree of banking concentration and the degree of competition. The Panzar-Rosse model is used to calculate the degree of competition of the banking industry in China. This paper uses the non-equilibrium panel data of 116 banks from 2001 to 2012. This paper constructs a model of bank concentration and risk-taking and carries out an empirical test, taking into account the limitations of most previous empirical studies using linear models. In this paper, an empirical model of the quadratic and linear relationship between the concentration degree measured by the Her#internal_person0# index and the risk assumption measured by z value is constructed, and it is found that although the concentration degree of the bank is related to the risk bearing of the bank, Inverted U type was correlated and significant. However, the sample interval of this paper is on the left side of the "inverted U-shaped" relationship, that is, the combination of the actual data and the actual constraints in China. There is a significant positive correlation between the degree of concentration and risk taking in China's banking industry. And in the linear model, there is also a significant positive correlation between the degree of banking competition and the risk taking, while the study of the degree of bank competition and risk bearing shows that there is a significant positive correlation between them. However, the quadratic relationship is not significant. It is also found that the degree of bank competition is not the intermediary variable that leads to the positive correlation between banking concentration and bank risk. Finally, the policy recommendations are given according to the conclusion and the actual situation of our country.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

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