【作者】 李爽；

【导师】 梁艳；

【作者基本信息】 大连理工大学 ， 金融学， 2011， 硕士

【摘要】 随着金融全球化和经济一体化趋势的不断加深,中国存贷款市场的竞争状态也在不断发生变化。不断变化的市场竞争环境会对银行的风险承担产生影响。因此中国存贷款市场究竟处于何种竞争状态,这种竞争状态又如何影响银行的风险承担具有重要的研究意义。论文应用理论分析和实证分析相结合的方法,首先,绪论部分。介绍文章的选题背景与研究意义,并综述国内外相关研究,提出研究方法和技术路线；其次,理论解释。界定银行风险承担和特许权价值的内涵与度量方法,阐述影响银行风险承担的内部因素和外部因素,并分析不同竞争程度下特许权价值和资本约束对银行风险承担的作用机理,为实证分析奠定基础；然后,构建理论模型。在基本的存款市场竞争模型基础上进行修正,分析存款市场竞争对银行风险承担的影响机理。同时,构建贷款市场竞争模型,探讨不同的贷款市场竞争程度对银行风险承担的影响机制；再次,实证分析。先应用推测变分法对中国银行业2002年—2010年的竞争程度进行测算,并应用中国11家银行数据进行多元回归分析和协整检验,验证理论推导部分得到的理论假说；最后,论文的研究结论与相关政策建议。文章的创新工作主要体现在三个方面：第一,在理论解释部分引入银行资本变量,分析资本约束下银行业竞争对银行风险承担所产生的影响,为实证检验奠定理论基础。第二,对基本的存款市场竞争模型进行修正,分别构建存款市场竞争和贷款市场竞争模型,论证两种市场的竞争程度对银行风险承担所产生的影响,得到相应的理论假说。再次,应用中国银行业数据进行实证检验,对中国银行业存款市场和贷款市场的竞争程度进行测算,并加以实证分析,验证理论假说。更多还原

【Abstract】 With the deepening trend of financial globalization and economic integration, the competition situation of deposit and loan market in China has been changing all the time. And the changing competition situation of banking market is influential on bank risk-taking. So the study on the competition situation of China deposit market and loan market and their impacts on bank risk-taking has important significance.This paper combines theoretical analysis and empirical analysis. The first chapter is introduction, including research background and significance of the paper. In this chapter, we also review the relevant domestic and foreign researches and introduce the analysis method of this paper. The second chapter is the theoretical analysis. This part defines the content and methods of measurement of bank risk-taking and franchise value, describes the internal and external factors that affect bank risk-taking and analyzes the mechanism of the franchise value and capital constraint to the bank risk-taking under different level of competition, which lays the foundation for the empirical analysis. And then,it is the construction of theoretical model. We modify the competition model of deposit market and analyze the mechanism of the competition of deposit market to bank risk-taking. And then we build the competition model of loan market and discuss the mechanism of different competition extent of loan market to bank risk-taking. The forth chapter is empirical analysis. We firstly use conjectural variation model to calculate the competition extent of China’s banking industry from 2002 to 2010 and then use the data of China’s 11 banks to do the multiple regression analysis and co-integration test to verify the theoretical hypothesis in the theoretical derivation part. The last part of the paper is the conclusion and suggestion according to the theoretical and empirical analysis.The creative jobs of this paper are as follows,First of all, this paper introduces the variation of bank capital in the theoretical part and analyzes the effect ofbank competition to its risk-taking under the capital constraint, which lays the theoretical foundation for the empirical test.Secondly, this paper modifies the basic competition model of deposit market and then sets the competition modal of deposit market and loan market and analyzes the effect of the competitive extent of deposit market and loan market to the bank risk-taking, and gets the relative theoretical hypothesis. Furthermore, this paper uses the data of bank industry to do the empirical test and calculate the competitive extent of the deposit and loan market of China’s banking industry, which could test the theoretical hypothesis.更多还原