本文選題：利率市場(chǎng)化　切入點(diǎn)：商業(yè)銀行風(fēng)險(xiǎn)　出處：《湘潭大學(xué)》2017年碩士論文

【摘要】：我國(guó)的利率市場(chǎng)化改革進(jìn)程隨著近年來政府對(duì)金融機(jī)構(gòu)貸款、存款利率管制的放開已基本完成,商業(yè)銀行如何在我國(guó)的基本經(jīng)濟(jì)環(huán)境中借鑒國(guó)際經(jīng)驗(yàn),選擇合理的策略應(yīng)對(duì)利率市場(chǎng)化所帶來的挑戰(zhàn),并及時(shí)把握住隨之而來的機(jī)遇,使自身在改革中所受的風(fēng)險(xiǎn)沖擊最小化是立足于市場(chǎng)的關(guān)鍵。同時(shí)由于我國(guó)商業(yè)銀行在資產(chǎn)規(guī)模、股權(quán)結(jié)構(gòu)、利潤(rùn)結(jié)構(gòu)、經(jīng)營(yíng)模式及客戶群體等方面都存在一定的差異性,那么利率市場(chǎng)化改革帶來的一系列金融市場(chǎng)的波動(dòng)可能對(duì)不同類型商業(yè)銀行風(fēng)險(xiǎn)水平的影響各有不同。所以,各類商業(yè)銀行應(yīng)對(duì)利率市場(chǎng)化帶來的種種問題時(shí),如何找準(zhǔn)自己的特色,以確保自身的發(fā)展健康平穩(wěn)可持續(xù)是商業(yè)銀行面臨的主要難題。為了更好的理解利率市場(chǎng)化對(duì)我國(guó)不同類型商業(yè)銀行風(fēng)險(xiǎn)之間的關(guān)系,以可貸資金理論、金融抑制與金融深化理論以及金融脆弱性理論為基礎(chǔ),通過對(duì)利率市場(chǎng)化與商業(yè)銀行風(fēng)險(xiǎn)差異性影響機(jī)制的分析,為實(shí)證研究的進(jìn)行提供了可行性。在實(shí)證研究部分,采用存貸利差與Z-Score分別作為利率市場(chǎng)化與商業(yè)銀行風(fēng)險(xiǎn)的代理變量,選取我國(guó)45家商業(yè)銀行2008-2015年的數(shù)據(jù),將其分為國(guó)有銀行、股份制商業(yè)銀行以及城市商業(yè)銀行三類,采用固定效應(yīng)與隨機(jī)效應(yīng)相結(jié)合的方法對(duì)利率市場(chǎng)化與不同類型商業(yè)銀行風(fēng)險(xiǎn)間的關(guān)系進(jìn)行實(shí)證研究,得出以下結(jié)論:第一,利率市場(chǎng)化緩解了國(guó)有銀行和股份制商業(yè)銀行風(fēng)險(xiǎn),但是加劇了城市商業(yè)銀行的風(fēng)險(xiǎn);第二,資產(chǎn)規(guī)模的上漲以及營(yíng)業(yè)成本收入比的下降均會(huì)使國(guó)有銀行的風(fēng)險(xiǎn)有所緩解:第三,貸存比以及貸款增長(zhǎng)率的上升緩解了股份制商業(yè)銀行的風(fēng)險(xiǎn),但是加劇了城市商業(yè)銀行的風(fēng)險(xiǎn)。并依據(jù)結(jié)論提出相關(guān)政策建議,在利率市場(chǎng)化改革進(jìn)程中,首先我國(guó)政府應(yīng)當(dāng)保證基準(zhǔn)利率的有效性,其次我國(guó)商業(yè)銀行應(yīng)當(dāng)注重對(duì)利率定價(jià)機(jī)制的完善以及對(duì)風(fēng)險(xiǎn)管理能力的加強(qiáng),并且在保證自身穩(wěn)定性的情況下積極發(fā)展中間業(yè)務(wù)以實(shí)現(xiàn)利潤(rùn)來源的多樣化,同時(shí)還應(yīng)該對(duì)客戶群體進(jìn)行篩選和定位,從而促進(jìn)其向特色化經(jīng)營(yíng)模式的轉(zhuǎn)型。
[Abstract]:With the government lending to financial institutions in recent years, the liberalization of deposit interest rate control has been basically completed. How can commercial banks learn from international experience in our country's basic economic environment?It is the key to base on the market to choose a reasonable strategy to deal with the challenge of interest rate marketization and grasp the opportunity in time so as to minimize the risk impact in the reform.At the same time, commercial banks in China have some differences in asset size, equity structure, profit structure, business model and customer group, etc.A series of financial market fluctuations brought about by the interest rate marketization reform may have different effects on the risk level of different types of commercial banks.Therefore, when all kinds of commercial banks deal with all kinds of problems brought by the marketization of interest rate, how to find their own characteristics to ensure their own healthy and sustainable development is the main problem that commercial banks face.In order to better understand the relationship between interest rate marketization and the risks of different types of commercial banks in China, it is based on the theory of loanable funds, the theory of financial repression and financial deepening, and the theory of financial fragility.Through the analysis of the influence mechanism of interest rate marketization and commercial bank risk difference, this paper provides the feasibility for the empirical research.In the part of empirical research, using deposit and loan interest margin and Z-Score as agent variables of interest rate marketization and commercial bank risk, 45 commercial banks in China are selected from 2008 to 2015 to divide them into state-owned banks.Three types of joint-stock commercial banks and city commercial banks are used to study the relationship between interest rate marketization and the risk of different types of commercial banks by means of the combination of fixed effect and random effect. The conclusions are as follows: first,The marketization of interest rates alleviates the risks of state-owned banks and joint-stock commercial banks, but exacerbates the risks of urban commercial banks; second,The increase of asset size and the decrease of operating cost / income ratio will alleviate the risk of state-owned banks. Thirdly, the increase of loan-deposit ratio and loan growth rate will alleviate the risk of joint-stock commercial banks.But it exacerbates the risk of urban commercial banks.In the process of interest rate marketization reform, first of all, our government should ensure the effectiveness of the benchmark interest rate.Secondly, China's commercial banks should pay attention to the improvement of interest rate pricing mechanism and the strengthening of risk management ability, and actively develop intermediate business in order to realize the diversification of profit sources under the condition of ensuring their own stability.At the same time, we should also screen and position the customer groups to promote their transformation to the characteristic business model.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33;F832.5

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