【作者】 靳瑾；

【导师】 褚保金；

【作者基本信息】 南京农业大学 ， 金融学， 2008， 硕士

【摘要】 世界经济的发展过程充分表明,金融发展对经济增长具有强大的推动作用,金融业已成为现代经济体系的核心。而商业银行在一国的金融体系中居于举足轻重的地位,具有极强的外部性。如何保障银行安全、稳健、高效的运行,一直都是世界各国金融监管当局无法回避的重大课题。20世纪70年代以来,随着管制的放松和科技的进步,金融监管工作的难度也日益加大。为了降低银行发生危机的可能性及其对经济的负面影响,市场约束在银行业监管中的地位又被提上了议事日程。国际清算银行在《有效银行监管核心原则》中指出“市场约束是进行有效官方监管的先决条件”,新巴塞尔资本协议更是将市场约束、最低资本金约束及官方监管一起确立为保证银行稳健经营的三大支柱。从理论上分析,次级债由于偿还上的次级性、无担保和存续期限较长等的特征,比其他银行资产具有更加强烈的市场约束作用。因此20世纪80年代后期起,许多学者和官员纷纷倡议采取政策强化和利用次级债的市场约束作用以辅助官方监管,并取得了一定的效果。从2003年底兴业银行发行国内第一只次级债,到2007年12月31日,我国共有22家商业银行发行了45笔次级债,总额达到2301.1亿元,整个次级债市场可以说已经初具规模。那么,目前我国商业银行发行的次级债市场约束效应究竟如何?影响我国次级债市场约束作用的因素有哪些?鉴于市场约束的重要意义,我们应当采取什么对策以促进其效应的发挥?这些问题的明确对于我们深化对我国次级债市场的认识、强化其对银行的市场约束作用、优化配置监管资源都具有重要的意义。本文首先对次级债的市场约束效应和作用机制进行理论分析,然后从次级债产品的特点入手多角度地探讨我国次级债市场的整体特征,并通过对影响次级债价格和发行决策的因素进行实证研究,为完善次级债发行、促进其市场约束作用发挥提供借鉴。全文分为5章,主要内容安排如下:第1章:导论。这部分主要介绍研究背景,问题的提出,文献回顾,研究内容、技术路线、可能的创新与不足等等。第2章:商业银行次级债的市场约束作用的提出。首先介绍次级债和市场约束的基本内涵及巴塞尔资本协议的相关规定,然后指出次级债市场约束作用的意义,最后分析次级债市场约束作用的发生机制并推出前提条件。第3章:我国商业银行发行次级债的实践。首先介绍我国商业银行发行次级债的背景和概况,然后从发行方式、发行对象、发行规模、付息方式和发行价格、期限和赎回权等方面探讨我国次级债的发行现状,并与国际先进银行的实践进行比较,分析我国次级债产品和市场的特点。第4章:我国次级债券市场约束效应实证研究。本章将采用利差模型和发行决策模型分别对影响次级债利差和银行发行决策的因素进行实证分析,特别考察银行的风险指标与利差和发债情况之间的关系,从而为我国银行业次级债的市场约束效应寻找经验证据。另外,还将通过样本的区分检验,研究我国国有商业银行在次级债市场上是否享有隐性的政府担保,进而制约了市场约束作用的发挥。第5章:我国银行业次级债发挥市场约束的障碍及对策分析。本章将结合我国的金融宏观条件和目前次级债发行的特点,揭示出影响我国次级债市场约束作用发挥的主要障碍,并在此基础上提出建议,以期完善我国商业银行次级债的发行、促进次级债市场约束作用的有效发挥。更多还原

【Abstract】 World economy history reflects that finance development can promote economy growth greatly. Nowadays financial industry has already been the core of modern economy system. Commercial banks play an important role in financial system and have significant externalities. How to insure safety, soundness and efficiency of banks is an unavoidable task for supervisory authorities all over the world. Deregulation and technological advances have further complicated bank supervision and regulation since 1970s. In order to decrease the possibility of financial crisis and ease the shock on economy, market discipline has been put on the agenda again. BIS pointed out that market discipline is prerequisite of effective official supervision in Core Principle on Effective Banking Regulation. Moreover, Basle Capital Accord II lines out market discipline, minimum capital constraint and official supervision as the three pillars of new capital framework to ensure banks safety and soundness. Theoretically, SND has more significant market discipline effect than other financial instruments due to its characteristics of unsecured position, juniority and longer maturity. Therefore, since the mid-1980s a growing number of observers, both within and outside the bank regulatory agencies, have proposed using SND to strengthen market discipline on banking organizations.From the end of 2003, when Industry Bank issued the first SND, to Dec 31, 2007, there were 22 Chinese commercial banks offering 45 SNDs, which amount 230.11 billion Yuan. up to date, the subordinated debt market has taken its shape. Then, how on earth is market discipline of our banks issuing SNDs? What are the influencing factors of market discipline on Chinese commercial banks? What measurements should we take to enhance its effect? Clarifying these problems is beneficial for us to deepen cognition of SND market, strengthen market discipline and optimize supervision resources.This thesis begins with the theoretical analysis of the mechanism of SND market discipline, then discusses Chinese SND market’s features from multi aspects with SND products. By means of empirical study on influencing factors of SND interest spread and issuance decision-making, we try to provide evidence for the SND market discipline on Chinese banking industry, based on which suggestion will be put forward finally. This paper will divide into 5 chapters and proceed as follows. Chapter 1: Introduction. This part presents background, problem-posing, literature review, study content, method and technique route, possible innovation and defects.Chapter 2: Market discipline of SND on commercial banks. At first connotations of SND and market discipline will be introduced respectively, then we will point out the meanings of Market discipline of SND, finally we will analyze its mechanism and prerequisites.Chapter 3: Practice of our commercial banks issuing SNDs. This part begins with the background and general situation of SND issuance in China, and then discusses the SND market status from SND issuing mode, investors, size, interest pattern, bid price, maturity and option, which we also compare with international advanced banks.Chapter 4: Empirical study on Chinese SND market discipline. In this part, we apply interest spread model and issuance decision-making model to explore the influencing factors of market discipline, especially investigate the relationship between risk indicators and interest spread, on that basis we provide evidence for SND market discipline on Chinese banking industry. In addition, by estimating respectively, we research whether Chinese state-owned commercial banks are protected by implicit government guarantee, which may restrict market discipline effect.Chapter 5: Obstacle and countermeasure of SND market discipline on Chinese banking industry. This part reveals the main obstacle of our SND market discipline in consideration of Chinese macro financial condition and features of SND issuance. Based on previous analysis, we will put forward some suggestion in order to improve Chinese commercial banks SND issuance and promote the effect of SND market discipline.更多还原