【摘要】：2007年美國(guó)次貸危機(jī)爆發(fā)以來(lái),全球銀行業(yè)遭遇了流動(dòng)性不足和盈利能力嚴(yán)重下滑的情況。認(rèn)真審視了商業(yè)銀行所遭受的嚴(yán)重的流動(dòng)性風(fēng)險(xiǎn)危機(jī)后,巴塞爾銀行業(yè)監(jiān)督委員會(huì)頒布了流動(dòng)性風(fēng)險(xiǎn)監(jiān)管要求和框架,將流動(dòng)性風(fēng)險(xiǎn)監(jiān)管提升到了新高度,期望各國(guó)商業(yè)銀行能夠減小流動(dòng)性風(fēng)險(xiǎn),維持長(zhǎng)期穩(wěn)健的經(jīng)營(yíng)水平。美國(guó)次貸危機(jī)帶來(lái)的銀行流動(dòng)性危機(jī)波及了整個(gè)世界,我國(guó)商業(yè)銀行也因此遭遇了利潤(rùn)增速急速下滑和流動(dòng)性不足的局面,2013年6月的“錢荒事件”及2015年多數(shù)銀行利潤(rùn)增速接近于零為我國(guó)銀行業(yè)敲響了警鐘。此后我國(guó)銀監(jiān)會(huì)完善了流動(dòng)性風(fēng)險(xiǎn)監(jiān)管框架,希望通過(guò)更加嚴(yán)格的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管來(lái)提升商業(yè)銀行的流動(dòng)性水平,并增強(qiáng)其經(jīng)營(yíng)能力,緩解利潤(rùn)增速下滑的不利局面。但是更加嚴(yán)格的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管是否能夠?yàn)樯虡I(yè)銀行盈利能力的提高帶來(lái)積極的影響還需進(jìn)一步研究。本文將系統(tǒng)的研究新的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)我國(guó)商業(yè)銀行盈利能力的影響,并通過(guò)總結(jié)基于流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的商業(yè)銀行盈利能力理論文獻(xiàn),分析流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)商業(yè)銀行盈利能力影響的理論基礎(chǔ)和影響機(jī)制,進(jìn)而基于流動(dòng)性風(fēng)險(xiǎn)監(jiān)管,采用比較研究法、歷史分析法和實(shí)證分析法研究流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)我國(guó)銀行業(yè)盈利能力的影響,并針對(duì)分析結(jié)果提出政策建議。本文的主要?jiǎng)?chuàng)新點(diǎn)是通過(guò)實(shí)證探究了流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)我國(guó)銀行業(yè)盈利能力的影響方和及影響力度,其中包括了凈穩(wěn)定資金比例的影響。盡管我國(guó)還未正式引入凈穩(wěn)定資金比例監(jiān)管指標(biāo),無(wú)法直接得到相關(guān)數(shù)據(jù),但本文參照前人的研究方法對(duì)我國(guó)上市商業(yè)銀行的凈穩(wěn)定資金比例進(jìn)行了測(cè)算,從而實(shí)現(xiàn)了基于該項(xiàng)監(jiān)管指標(biāo)的研究。本文研究的重要結(jié)論為:(1)流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)我國(guó)銀行業(yè)的盈利能力有著直接作用和間接作用,直接作用表現(xiàn)為對(duì)融資成本、風(fēng)險(xiǎn)資產(chǎn)凈額及貸款結(jié)構(gòu)等的作用,間接作用表現(xiàn)為通過(guò)金融市場(chǎng)和內(nèi)部治理結(jié)構(gòu)等對(duì)盈利能力產(chǎn)生作用,且直接作用與間接作用相互聯(lián)系;(2)我國(guó)嚴(yán)格的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)銀行業(yè)的流動(dòng)性充足狀況發(fā)揮了一定的作用,新的監(jiān)管指標(biāo)流動(dòng)性覆蓋率全部高于監(jiān)管水平線,且上市銀行的銀行流動(dòng)性比例也遠(yuǎn)高于30%,但從另一方面來(lái)看,這些指標(biāo)數(shù)值正在逐年下降,上市銀行的利潤(rùn)增長(zhǎng)率嚴(yán)重下滑:(3)通過(guò)對(duì)各銀行的凈穩(wěn)定資金比例測(cè)算后發(fā)現(xiàn)我國(guó)部分上市商業(yè)銀行并未達(dá)到監(jiān)管要求,未來(lái)有待于提高;(4)流動(dòng)性比例對(duì)商業(yè)銀行的盈利能力產(chǎn)生了負(fù)面的作用,并且是通過(guò)削弱銀行負(fù)債類資產(chǎn)的收益能力來(lái)削弱盈利水平,而凈穩(wěn)定資金比例能夠提高上市銀行單位權(quán)益資本的收益,對(duì)盈利能力有正面影響�？傊煌谋O(jiān)管指標(biāo)對(duì)商業(yè)銀行產(chǎn)生不同的作用;(5)針對(duì)全文的研究結(jié)果提出了一些對(duì)策,商業(yè)銀行要優(yōu)化資產(chǎn)結(jié)構(gòu)、提升資本充足水平和控制短期流動(dòng)性水平等,監(jiān)管部門要調(diào)整流動(dòng)性比例監(jiān)管要求,并盡早實(shí)現(xiàn)凈穩(wěn)定資金比例的監(jiān)管。
[Abstract]:Since the outbreak of the United States subprime crisis in 2007, the global banking industry has encountered a lack of liquidity and a serious decline in profitability. After careful examination of the serious liquidity risk crisis that the commercial banks have suffered, the Basel banking supervision committee has promulgated the requirements and framework of liquidity risk supervision and regulation to improve the liquidity risk regulation. New heights are expected to be expected to reduce liquidity risks and maintain a long-term and robust management level. The bank liquidity crisis in the United States subprime mortgage crisis has swept the world, and commercial banks in China have suffered a situation of rapid decline in profit growth and lack of liquidity in the June 2013, and the "money famine event" and 2015 in June 2013. Since most of the bank's profit growth is close to zero, China's banking industry has rounded the alarm clock. After that, China Banking Regulatory Commission has perfected the liquidity risk regulatory framework, hoping to improve the liquidity level of commercial banks through more stringent liquidity risk regulation, and enhance its operational capability to alleviate the adverse situation of the decline in profit growth. Whether the liquidity risk regulation can bring positive impact on the improvement of commercial banks' profitability needs further study. This paper will systematically study the influence of new liquidity risk regulation on the profitability of commercial banks in China, and analyze the theoretical literature of commercial banks' profitability based on liquidity risk supervision and analysis. The theoretical basis and influence mechanism of liquidity risk regulation on the profitability of commercial banks, and then based on the liquidity risk supervision, using comparative research method, historical analysis method and empirical analysis method to study the influence of liquidity risk supervision on the profitability of China's banking industry, and put forward policy suggestions on the results of the analysis. The new point is to explore the impact of liquidity risk regulation on the profitability of China's banking industry and its impact, including the impact of the proportion of net stable funds. Although China has not formally introduced the regulatory index of the proportion of net stable funds, we can not get the relevant data directly, but this article refer to our predecessors' research methods. The proportion of the net stable funds of the listed commercial banks has been calculated, and the research based on the regulatory index is realized. The important conclusions of this study are as follows: (1) liquidity risk regulation has direct and indirect effects on the profitability of China's banking industry, and the direct effect is now on the financing cost, the net risk assets and the loan structure. The indirect effect is that the indirect effect is through the financial market and the internal governance structure, and the direct and indirect effects are related to each other. (2) China's strict liquidity risk regulation has played a certain role in the liquidity condition of the banking industry, and the liquidity coverage of the new regulatory indicators is all higher than the supervision. The liquidity ratio of the listed banks is far higher than 30%, but on the other hand, these indexes are declining year by year, and the profit growth rate of listed banks is declining seriously: (3) it is found that some of the listed commercial banks in China have not reached the regulatory requirements through the calculation of the net stable capital ratio of each bank. To be improved; (4) the liquidity ratio has a negative effect on the profitability of commercial banks and weakens the profit level by weakening the profitability of the bank's debt assets, and the net stable capital ratio can improve the earnings of the equity capital of the listed banks and have a positive impact on the profitability. There are different functions for commercial banks. (5) some countermeasures are put forward in view of the research results of the full text. Commercial banks should optimize the structure of assets, improve the level of capital adequacy and control the level of short-term liquidity. The regulatory authorities should adjust the regulatory requirements of the liquidity ratio and realize the supervision of the proportion of net stable funds as soon as possible.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33

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