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基于银行资产组合理论的银行盈利能力研究

Research on Profitability of Commerical Banks Based on Bank Portfolio Theory

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

commercial banks, profitability, bank portfolio theory

        随着中国银行业全面开放人民币业务的推进,国内外银行都将在银监会的监管下的同一舞台竞技。尽管中国银行业实施了强化资本约束、金融监管等措施,中国银行业仍然面临着资本不足、不良贷款包袱较重的问题,并且银行资本、偿付能力和盈利水平仍在国际标准水平以下,因此,如何合理评价与提高中国商业银行盈利能力成为了一个亟需解决的问题。论文从五个部分加以论述:第一章,介绍论文的选题背景及意义,对国内外学者的相关研究结论进行了归纳和总结,概述了论文的研究思路及创新之处。第二章,基于银行资产组合理论的影响银行盈利能力因素分析。界定了相关概念,分析了影响银行盈利能力的一般因素,包括银行内在因素、市场因素和宏观因素;同时,基于银行资产组合理论,推导论证了影响银行盈利能力的内在因素。第三章,构建银行盈利能力影响因素模型。从两个角度选取银行盈利能力的指标,建立银行盈利能力影响因素的指标体系并且对有关影响因素进行假设和度量。第四章,中国商业银行盈利能力的实证。利用因子分析法提取成长性一致的股份制银行,运用SFA模型测算银行效率,进行多元回归分析,认为效率越高、中间业务收入越多的银行盈利能力越强;宏观因素和金融结构对国有商业银行具有显著作用,说明国有商业银行受到的政府干预影响较明显,资产质量对股份制银行具有显著的正向作用,资产规模对股份制银行具有显著的负向作用;通过协整检验方法证明对银行盈利能力具有显著作用的内在因素、市场因素和宏观因素与银行盈利存在长期协整关系。最后,论文的结论。提出研究结论和相关政策建议。论文的创新性工作主要表现在三个方面:第一,引入银行资产组合理论分析了银行盈利能力的内在影响因素。第二,构建了银行盈利能力影响因素综合指标体系。综合考虑了内在因素、市场结构因素和宏观因素对银行盈利能力的影响,并引入金融结构因素。同时,运用SFA模型测量银行效率,完善了原有银行盈利能力指标体系。第三,对中国商业银行盈利能力影响因素加以实证分析。在样本选取上采用因子分析法提取成长性一致的银行作为样本,并且先从整体上对10家商业银行进行回归分析,并分别对国有和股份制商业银行进行比较分析。
    With the full open of RMB business of china banking sector, foreign banks and domestic banks will be competitive at the same stage under the supervision of the CBRC.Although China commercial banks have strengthen capital controls and reinforce financial regulationand and other measures,china commercial bank sector is facing capital shortage, heavy burden of bad loans problems and bank capital, solvency and profitability levels below the level of international standards, so how to improve the profitability of commercial banks of china become an urgent problem.This paper is discussed in five parts.The chapterⅠwe introduces the research background of this paper,conclude the research of domestic and foreign scholars conclusions,and summarize the outlines and innovations of the paper.The chapterⅡ, based on the bank portfolio theory, we analyze the factors which impact the profitability of banks. We also defined the relevant concepts and analyze the impacting bank profitability factors,these factors include internal factors,market factors and macro factors.At the same time, based on the bank portfolio theory,we derived internal factors which are ability to influence profitability of bank. The chapterⅢ, construct model of influence bank profitability First,select indicators from two perspectives of the bank profitability. Second establish the index system and make assumptions and measure the factors. The chapterⅣ, china commerical banks profitability empirical test,.First we use factor analysis to extracte the same joint-stock banks and then measure bank efficiency by SFA model, final we use the multiple regression analyze which we find the higher of the efficiency of intermediary business the more stronger of bank profitability, we also find that macroeconomic factors and financial structures of state-owned commercial banks are the significant factor, the quality of the joint-stock banks assets has significant positive effect, and through the co-integration test we prove that internal factors have significant effect,market factors and macro factors have long-term relationship with bank profitability.The finally, put forward the paper’s conclusions and policy recommendations.The innovations in this paper can be described in three aspects as follows. Firstly, we introducte the bank portfolio theory to analyze the internal factors which impact the profitability of banks.Secondly, we construct comprehensive index system of bank profitabilty factors.The comprehensive index system integrates the internal factors, market structure factors and macroeconomic factors and also introducte financial structural factors. At the same time this paper uses SFA model to accurately measure efficiency of banks,this can improve the existing system of bank profitability indicators. Thirdly, we analyze the profitability of China commercial banks factors in empirical method. We extracted the same joint-stock banks as the study sample through factor analysis,regression analysis 10 commercial banks then comparative analysis state-owned and joint-stock commercial banks
        

基于银行资产组合理论的银行盈利能力研究

摘要4-5
Abstract5-6
1 绪论9-17
    1.1 研究背景和意义9-10
    1.2 国内外相关文献综述10-14
        1.2.1 国外研究现状10-11
        1.2.2 国内研究现状11-14
    1.3 研究内容与创新14-17
        1.3.1 研究思路及内容14-16
        1.3.2 主要创新点16-17
2 基于银行资产组合理论的银行盈利能力影响因素分析17-24
    2.1 相关概念界定17-19
        2.1.1 商业银行盈利能力的内涵17-18
        2.1.2 银行效率的内涵18-19
    2.2 商业银行盈利能力的一般影响因素19-21
        2.2.1 银行内在因素19-20
        2.2.2 市场结构因素20-21
        2.2.3 宏观因素21
    2.3 资产组合模型对银行盈利能力的理论解释21-24
        2.3.1 银行资产组合理论的内涵21-22
        2.3.2 银行资产组合理论解释的银行盈利能力影响因素22-24
3 基于银行资产组合的银行盈利能力模型构建24-34
    3.1 中国商业银行的盈利特征分析24-28
        3.1.1 国有商业银行盈利特征分析24-26
        3.1.2 股份制商业银行盈利特征分析26-28
    3.2 银行盈利能力的指标选择28-30
        3.2.1 从资产角度选取指标28
        3.2.2 从贷款损失准备金角度选取指标28-30
    3.3 建立银行盈利能力影响因素的指标体系30-33
        3.3.1 指标体系的构建原则30
        3.3.2 银行盈利能力影响因素的指标选取与度量方法30-31
        3.3.3 银行盈利能力影响因素的理论假设31-33
    3.4 构建银行盈利能力影响因素模型33-34
4 中国商业银行盈利能力影响因素的实证分析34-51
    4.1 基于因子分析法的样本选择34-40
    4.2 数据来源及处理40
    4.3 基于SFA测算银行效率指标40-43
        4.3.1 SFA模型的基本思想40-42
        4.3.2 基于SFA的成本评价模型42-43
        4.3.3 测算中国银行业成本效率43
    4.4 中国商业银行盈利能力影响因素的实证分析43-50
        4.4.1 10家中国商业银行盈利能力的实证分析43-47
        4.4.2 国有和股份制商业银行盈利能力影响因素的比较47-50
    4.5 实证小结50-51
5 结论及相关政策建议51-55
    5.1 论文的研究结论51-52
    5.2 政策建议52-55
        5.2.1 加强商业银行信息的披露52
        5.2.2 积极开展商业银行的中间业务52-53
        5.2.3 提高银行管理效率53
        5.2.4 建立宏观经济周期的反应机制53-54
        5.2.5 提高银行资产质量54-55
参考文献55-57
攻读硕士学位期间发表学术论文情况57-58
致谢58-59
        下载全文需59


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