本文選題：商業(yè)銀行　切入點：流動性缺口　出處：《山西財經(jīng)大學(xué)》2016年碩士論文

【摘要】：流動性風(fēng)險會引發(fā)商業(yè)銀行的其他風(fēng)險,并通過“傳染效應(yīng)”危及金融體系和經(jīng)濟(jì)體系運行的安全。我國商業(yè)銀行對流動性的管理,從1994年至今,基本依賴靜態(tài)的比率管理,流動性風(fēng)險的量化管理及測算統(tǒng)計工作也始終處于經(jīng)驗性的傳統(tǒng)管理。對比國外我國一直處于被動階段。改進(jìn)流動性管理方法科學(xué)化、制度化、戰(zhàn)略化,仍然是現(xiàn)階段努力的方向。缺口管理下的我國商業(yè)銀行流動性管理研究是基于流動性缺口模型,對商業(yè)銀行資產(chǎn)負(fù)債的實際流量和潛在流量進(jìn)行管理。管理實際流量是對現(xiàn)有流動性資產(chǎn)和穩(wěn)定存款的測算,而潛在流量管理是對未來一定時間內(nèi)將增加的資產(chǎn)和負(fù)債的預(yù)測。本文運用商業(yè)銀行經(jīng)營管理基本理論,結(jié)合計量經(jīng)濟(jì)學(xué)相關(guān)知識,在收集相關(guān)數(shù)據(jù)的前提下,探索了我國的商業(yè)銀行流動性管理實踐,分析了現(xiàn)狀及存在的問題,重點完成了如下工作:使用計量經(jīng)濟(jì)學(xué)軟件測算了穩(wěn)定存款,同時基于分析結(jié)果,分析了穩(wěn)定存款與流動性缺口之間的關(guān)系,探索了穩(wěn)定存款與貸款總額、活期存款、定期存款之間的關(guān)系,測算了工商銀行一定時期的流動性缺口,預(yù)測了商業(yè)銀行在接下來一段時間的潛在流動性需求,最后在分析我國資產(chǎn)負(fù)債結(jié)構(gòu)和借鑒國外經(jīng)驗的基礎(chǔ)之上,提出了政策建議。研究結(jié)果如下:穩(wěn)定存款與流動性缺口之間存在正相關(guān)的關(guān)系,商業(yè)銀行的貸款總額受前一年穩(wěn)定存款的影響,驗證了我國商業(yè)銀行量入為出的流動性管理現(xiàn)狀;穩(wěn)定存款總額不受同期活期存款或者是定期存款的影響,三者之間不存在協(xié)整的關(guān)系;而基于穩(wěn)定存款的流動性缺口計算方法結(jié)果與商業(yè)銀行同期的中央銀行借款在一定程度上是對應(yīng)的,說明了此方法的有效性;將潛在流動性需求的預(yù)測結(jié)果與實際量對比,誤差較小,預(yù)測方法可行,可以用于實踐中對潛在流動性的預(yù)測;通過分析我國資產(chǎn)負(fù)債結(jié)構(gòu)及借鑒國外經(jīng)驗,提出如下觀點:我國現(xiàn)階段的流動性缺口管理須采用綜合管理法,綜合法就是先將大金額、期限長的現(xiàn)金流進(jìn)行匹配,在保證大額資金缺口現(xiàn)象不發(fā)生的前提下,按資產(chǎn)組合法對剩余資產(chǎn)和負(fù)債進(jìn)行匹配。在資產(chǎn)方面采用資金匯集法和貸款出售,在負(fù)債方面實施多元化負(fù)債,在流動性需求的預(yù)測中加入概率調(diào)整,并且從多個角度發(fā)展穩(wěn)定存款。本文的創(chuàng)新點是:從實際流量和潛在流量兩方面進(jìn)行研究,將穩(wěn)定存款與流動性缺口的關(guān)系研究從理論拓展到實證,使用Granger因果檢驗及協(xié)整檢驗對穩(wěn)定存款進(jìn)行分析,將流動性缺口模型中的潛在流動性管理進(jìn)行拓展,使用ARIMA模型對未來一定時期增加的存貸款進(jìn)行預(yù)測,并在此基礎(chǔ)上結(jié)合國外流動性缺口管理經(jīng)驗提出政策建議。
[Abstract]:Liquidity risk can lead to other risks of commercial banks and endanger the safety of financial system and economic system by "contagion effect".From 1994 to now, the management of liquidity in Chinese commercial banks has basically depended on static ratio management, and the quantitative management of liquidity risk and the statistical work of measuring and calculating liquidity risk have always been in the traditional management of experience.Compared with foreign countries, China has been in a passive stage.Scientific, institutionalized and strategic improvement of liquidity management methods is still the direction of current efforts.The research on liquidity management of Chinese commercial banks under gap management is based on the liquidity gap model to manage the actual and potential flow of assets and liabilities of commercial banks.The actual flow management is the measurement of the existing liquid assets and stable deposits, while the potential flow management is the forecast of the assets and liabilities that will increase in a certain period of time in the future.Based on the basic theory of commercial bank management and related knowledge of econometrics, this paper explores the practice of liquidity management of commercial banks in China, and analyzes the present situation and existing problems under the premise of collecting relevant data.The main work is as follows: using econometrics software to calculate the stable deposit, at the same time, based on the analysis results, the relationship between the stable deposit and the liquidity gap is analyzed, and the relationship between the stable deposit and the total loan amount, the demand deposit is explored.The relationship between time deposits estimates the liquidity gap of ICBC for a certain period of time and predicts the potential liquidity demand of commercial banks for some time to come.Finally, on the basis of analyzing the structure of assets and liabilities of our country and drawing on the experience of foreign countries, some policy suggestions are put forward.The results are as follows: there is a positive correlation between stable deposit and liquidity gap. The total loan amount of commercial bank is affected by the stable deposit in the previous year, which verifies the current situation of liquidity management of commercial bank in our country.The total amount of stable deposits is not affected by demand deposits or time deposits in the same period, and there is no cointegration relationship among them.The result of liquidity gap calculation based on stable deposit is corresponding to the central bank loan in the same period to some extent, which shows the validity of this method, and compares the forecast result of potential liquidity demand with the actual amount.The error is small, the forecasting method is feasible, it can be used to predict the potential liquidity in practice, by analyzing the structure of assets and liabilities in our country and drawing lessons from foreign experience,This paper puts forward the following points: at present, the liquidity gap management in our country must adopt the comprehensive management method, which is to match the cash flow of large amount and long term first, and to ensure that the phenomenon of large fund gap does not occur.The remaining assets and liabilities are matched according to the portfolio method.In terms of assets, capital collection and loan sales, diversified liabilities are implemented in debt, probability adjustment is added to the forecast of liquidity demand, and stable deposits are developed from many angles.The innovation of this paper is: from the actual flow and potential flow, the relationship between stable deposit and liquidity gap is extended from theory to empirical, and the Granger causality test and cointegration test are used to analyze stable deposit.The potential liquidity management in the liquidity gap model is extended and the ARIMA model is used to predict the increase of deposits and loans in a certain period in the future. Based on this, some policy suggestions are put forward based on the experience of foreign liquidity gap management.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.33

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