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监管压力对商业银行风险承担行为的影响研究

Research on Impacts of the Pressure of Supervision on Risk-taking Behaviors of Commercial Banks

作者: 专业:金融学 导师:梁艳 年度:2010 学位:硕士  院校: 大连理工大学

Keywords

Capital Regulation, Market Discipline, Market Power, Risk-taking Behaviors

        在《巴塞尔协议》在全球广泛实施后,2007年由次贷危机引发的全球性金融危机的爆发,国内外众多银行的倒闭使得理论界和实务界再一次聚焦到商业银行的风险承担行为,政府监管的实施能否有效抑制银行的风险承担也成为关注的重点。且随着《巴塞尔新资本协议》将市场约束列为银行监管的第三大支柱,显示出市场约束在未来银行监管中的重要地位,市场约束能否抑制银行过度风险承担行为也是本文研究目标之一。本文采用理论分析和实证分析,定性分析和定量分析相结合的研究方法,分析了银行所受到的包括资本监管和市场约束的监管压力对银行风险承担的影响。论文分为五章。第一章,介绍论文的选题背景及意义,对现有研究成果进行归纳和总结,概述了本文的研究思路和创新点。第二章,理论基础,界定相关概念,分析了监管压力的来源,重点分析监管压力对银行风险承担行为的直接影响和通过作用银行市场势力进而对风险承担作用的间接影响。第三章,理论分析,运用博弈和理论推导的方法分析单个银行和考虑银行业竞争时的银行风险承担行为的形成,分析了银行风险承担行为的影响因素,选择勒纳指数来度量银行市场势力,构建信息披露指数定量银行市场约束压力,选用不良贷款率、Z值和偿付保证金三个指标度量银行风险承担行为。第四章,实证分析,构建实证回归模型,运用多元回归分析监管压力对银行风险承担的影响,结果表明资本监管压力对股份制银行的风险承担行为影响较大,而对国有大银行的影响甚微,而市场约束压力对银行的风险承担行为影响不大,监管压力能通过影响股份制银行的市场势力间接作用其信用风险承担,但不能间接作用于银行的整体风险承担,协整检验结果表明银行资本水平调整和风险承担调整之间存在长期均衡关系。第五章,本文的主要研究结论,并提出了相关政策建议。本文的创新性工作主要表现在三个方面:其一,分析了监管压力对银行风险承担行为的作用机理。包括监管压力对风险承担的直接作用,以及通过影响银行市场势力的间接作用。其二,构建了商业银行的信息披露指数。信息披露指数量化了银行的信息披露情况,是定量分析市场约束压力对商业银行风险承担行为影响的前提。其三,用理论分析和实证检验两种方法剖析了监管压力对银行风险承担的影响,并在实证检验中以国有大银行和股份制银行为对比研究对象,分析资本监管压力和市场约束压力对银行信用风险承担和整体风险承担的影响。
    With the wide implementation of the Basel Capital Accord around the world, the global financial crisis erupted in 2007 because of the sub-prime lending crisis, the failure of many great banks made both policy makers and administrators of commercial banks again focus on risk-taking behaviors of commercial banks. Whether the implementation of government regulation can affect risk-taking become the focus of attention. The Basel II Capital Accord takes market discipline as the third extent of regulation, which means the market discipline is very important for banking regulation in the future, so whether market discipline can be effectively given full scope to risk-taking behaviors is also the object of this study.In this paper, research methods include theoretical and empirical analysis, qualitative and quantitative analysis. We analyze how the pressure of supervision, including government regulation and market discipline, effects on the risk-taking of commercial banks. The paper is divided into five chapters. The first chapter is introduction, which introduces the research background and significance of the paper, academic achievements of domestic and foreign scholars are summarized and concluded, and we also describe research ideas and innovations of this paper. The second chapter is the theoretical basis of the supervision pressure on banks’ risk-taking behaviors, we introduce the sources, definitions and relationship of the external regulatory pressures (including government regulatory pressure and market discipline pressure), focusing on the analysis of regulatory pressure on risk-taking behavior of banks directly and through banking market power indirectly effects on the risk-taking. The third chapter, we use game theory to analyze the formation of, risk-taking behavior which only one bank included, and we construct the theoretical model to research the risk-taking behaviors which some banks included, further analysis factors of risk-taking behaviors of commercial banks. We select the Lerner index to measure the banking market power, information disclosure index is constructed to quantify the pressure of market discipline of banks, and non-performing loan ratio, Z-score and solvency margin are selected as the indicators to measure banks’ credit exposures and overall risk-taking behavior. Chapter IV is empirical testing, we firstly construct the empirical model, use multiple regression to analyze the regulatory pressure on risk-taking of commercial banks, the results show that the pressure of capital adequacy effect on risk-taking behavior of joint-equity banks, while the effect of state-owned banks has little, but the pressure of market discipline has little effect on risk-taking behaviors of banks, the pressure of capital adequacy can indirectly effect credit risk-taking behavior of joint-equity banks through the market power, but can’t effect the banks overall risk-taking behavior, and we know the variation of capital regulatory pressure and variation of risk-taking are in balance between the long-term relationship by co-integration test. Chapter V is the paper’s conclusions, and we put forward policy recommendations.The innovations in this paper can be described in three aspects as follows:Firstly, we analyze the mechanism of the pressure of supervision on risk-taking behaviors of commercial banks, which include the direct effect and the indirect effect through market power of banks.Secondly, we construct a disclosure index of commercial bank. The disclosure index quantifies the bank’s status of information disclosure, which is the premise to quantify the impact of market discipline pressure on risk-taking behaviors.Thirdly, we use the theoretical and empirical analysis method to monitor the pressure effect on banks’ exposure, and by the comparison between large state-owned banks and joint-equity banks, we analyze the government regulatory pressure and the pressure of market discipline on banks’credit exposure and the overall exposure.
        

监管压力对商业银行风险承担行为的影响研究

摘要4-5
Abstract5-6
1 绪论9-19
    1.1 研究背景及意义9-10
    1.2 国内外相关文献综述10-16
        1.2.1 商业银行风险承担行为方面10-13
        1.2.2 监管压力对银行风险承担行为影响方面13-14
        1.2.3 银行监管、行业竞争和风险承担行为方面14-16
    1.3 论文的研究内容及创新16-19
        1.3.1 论文的研究思路及方法16-17
        1.3.2 论文的内容和技术路线17
        1.3.3 论文的创新点17-19
2 监管压力对银行风险承担行为影响的理论基础19-28
    2.1 相关概念界定19-21
        2.1.1 监管压力与银行市场势力的内涵19
        2.1.2 银行风险承担行为的内涵19-21
    2.2 银行监管压力的来源分析21-23
        2.2.1 资本监管压力21-22
        2.2.2 市场约束压力22-23
    2.3 监管压力对银行风险承担行为的作用分析23-28
        2.3.1 监管压力对银行风险承担行为的直接作用23-26
        2.3.2 监管压力通过影响银行市场势力的间接作用26-28
3 监管压力对银行风险承担行为影响的理论分析28-46
    3.1 构建监管压力对银行风险承担行为影响的理论模型28-35
        3.1.1 单个银行风险承担行为影响的博弈分析28-31
        3.1.2 竞争市场中的银行风险承担行为的形成分析31-35
    3.2 商业银行风险承担行为的影响因素分析35-39
        3.2.1 银行风险承担行为的外在激励因素35-37
        3.2.2 银行风险承担行为的影响因素37-39
    3.3 相关指标的度量方法选择39-46
        3.3.1 银行市场势力的度量39-42
        3.3.2 信息披露指数的构建42-43
        3.3.3 银行风险承担行为的度量43-46
4 监管压力对银行风险承担行为影响的实证分析46-61
    4.1 监管压力对银行风险承担行为影响的模型构建46-47
    4.2 样本的选取和原始数据的说明与处理47-52
        4.2.1 银行市场势力的度量47-49
        4.2.2 银行风险承担行为的度量49-52
    4.3 监管压力对银行风险承担行为影响的实证检验52-59
        4.3.1 多元回归分析53-58
        4.3.2 面板数据的协整检验58-59
    4.4 实证小结59-61
5 结论与相关政策建议61-64
    5.1 论文的主要结论61-62
    5.2 相关政策建议62-64
参考文献64-67
攻读硕士学位期间发表学术论文情况67-68
致谢68-70
        
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