【作者】 王晓东；

【导师】 梁艳；

【作者基本信息】 大连理工大学 ， 金融学， 2016， 硕士

【摘要】 2000年初,中国超额存款准备金平均余额达到10%,虽然2012年数值已经降至3.3%,但相较于美国与欧盟等其他金融发展程度高的国家,仍然数值较高。中国银行系统里过高的超额存款准备金增加,说明存在过剩的流动性,增加银行承担额外风险的可能性,使银行的尾部风险更容易被隐藏。在现有国内超额存款准备金影响货币政策的有效性研究中,如何将货币政策的传导与超额存款准备金对银行风险承担的影响联系起来,无疑具有十分重要的研究意义价值。论文引入非自愿性超额存款准备金这一特殊的研究视角,细化研究超额存款准备金对银行风险承担的影响,验证不同的货币政策作用下超额存款准备金的影响是否会有不同,具有十分重要的理论和现实意义。论文共分为五个部分：首先,绪论。综述相关文献,提出论文的研究思路和技术路线。其次,分析超额存款准备金对银行风险承担影响的理论基础。在界定相关概念基础上,剖析银行持有超额存款准备金动机及中国商业银行持有高额超额存款准备金的现状和对银行风险承担的影响。然后,借鉴和修正Ariccia(2010)提出的DLM模型,论证超额存款准备金作用对银行风险承担的作用机理。同时,通过选取2005-2015年间的银行半年度数据,建立动态面板模型,分别进行超额存款准备金和非自愿性超额存款准备金对商业银行风险承担影响的实证分析,验证货币政策的风险承担渠道存在；超额存款准备金与非自愿性超额存款准备金均对银行风险承担具有显著的激励作用；非自愿性超额存款准备金与货币政策的联合作用会放大并加剧货币政策的影响。最后,提出论文的研究结论和相关政策建议。论文的创新性主要体现在两个方面：第一,引入非自愿性超额存款准备金,突破以往对超额存款准备金的研究过于笼统且只定性不定量的不足。并选取时间间隔更短的样本,解决现有研究样本间隔过长的问题。第二,运用数理模型,采用定性与定量相结合方式,论证分析通过贷款利率产生的资产配置效应和通过存款利率作用产生的风险转嫁效应,表明超额存款准备金通过影响商业银行的盈利能力和负债成本进而影响商业银行风险承担的作用机理。更多还原

【Abstract】 In early 2000s, excess reserves of Chinese banks have reached 10% on average. Although this figure have fallen to 3.3% in 2012, it is still significantly higher compared to financially developed areas such as the United States and the European Union. The excess reserves in the Chinese banking sector indicates surplus liquidity, which leads to banks taking excess risk and their tail risk becoming less obvious. Compared to extant studies on that focused on how excess reserves impact the effectiveness of monetary policies, this paper further connects the monetary policy transmission mechanism with effect of excess reserves have on bank risk-taking. This paper introduces a specialized perspective of involuntary excess reserves and explores the effect of excess reserves on bank risk-taking behavior and if this effect varies under different monetary policies.The paper divides into five main sections. First, the paper summarizes related research and introduces the research proposal and technical roadmaps. Second, the paper analyzes the theoretical basis of the effects of excess reserve on bank risk-taking behavior. Based on related concepts, the paper analyzes Chinese banks’excess reserves and elaborates on the effects of excess reserves on bank risk-taking behavior. Furthermore, based the DLM model suggest by Ariccia (2010), the paper improves and demonstrates the mechanism through which excess reserves effect bank risk-taking behaviors. Selecting bi-annual data from 2005 to 2015, the paper establishes a dynamic panel model and empirically analyzes the effects of excess reserves and involuntary reserves on bank risk-taking behavior to verify the existence of the monetary policy bank risk-taking channel. The results have verified the existence of the bank risk-taking channel of monetary policies, and excess reserves and involuntary reserves have a significant stimulating effect on banks’ risk-taking behavior. At last, the paper provides concluding remarks and provides related policy suggestions.The innovation of this paper is reflected in two aspects. First, the paper introduces involuntary excess reserves and overcomes over generalization and lack of quantitative analysis. The paper selects a data sample with bi-annual interval and solves the problem of an overly extensive interval of past researches. Second, the paper employs mathematical models, using both quantitative and qualitative approaches to analyze the effect of excess reserves on banks’profitability and debt costs, which further impacts banks’risk-taking behavior.更多还原