【作者】 唐敏；

【导师】 许世琴；

【作者基本信息】 重庆工商大学 ， 金融学， 2017， 硕士

【摘要】 流动性是商业银行经营的基础,对其生存发展至关重要,并且相比信用风险、市场风险、操作风险,流动性风险有传染性和系统性的特点,处理不好甚至会引发整个金融系统的崩溃。但因为银行业长久以来作为国家保护行业,一直以来受到国家信用资金支持和信誉保障,这就造成我国商业银行的风险管理水平较低。随着资本市场的完善,互联网金融的发展,投资渠道的丰富使商业银行储蓄存款来源大量减少,直接融资渠道的多样促使大量资金绕开银行中介机构进行直接融资。商业银行垄断地位日渐降低,其媒介功能逐渐被弱化,金融脱媒正在呈现出复杂化、多层次化的趋势,商业银行的经营外部环境发生重大改变,流动性也面临着更加大的压力。所以在这样的环境下,研究金融脱媒对商业银行流动性风险的影响具有重要理论和现实意义:一方面,相关文献没有系统地研究两者之间的关系,本文的研究能够弥补相关研究的空白,有重要的理论意义;另一方面,本文利用最新的数据建立计量模型,从实证上验证理论分析的正确性,为以后研究者提供参考。本文以全新的视角,采用文献研究法、数据图表分析法、定量与定性、理论与实证等方法,结合金融脱媒与流动性风险的相关理论,首先立足于我国国情,对金融脱媒进行了重新定义,分别从我国金融脱媒的现状发展、原因,对商业银行流动性风险的影响路径这三个方面定性分析了对流动性风险的影响。然后选取金融脱媒的资产方、负债方、技术方脱媒三个指标,和流动性比率、中长期存贷比两个代表流动性风险的指标,运用向量自回归方法(vector autoregressive model)分别建立模型,利用脉冲响应、方差分解函数实证研究金融脱媒对我国商业银行流动性风险的动态冲击。最后通过研究发现,金融脱媒程度越强,商业银行面临流动性风险危机越大,并且直接融资占比上升造成的银行资产端脱媒对流动性风险的影响强于负债端脱媒。在实证分析的基础上,针对商业银行的资产、负债、技术、风险意识等方面,针对性提出了应对金融脱媒带来影响的对策建议,促使商业银行从容面对金融脱媒带来的挑战,为更好的促进我国金融市场的稳定发展垫下夯实的基础。更多还原

【Abstract】 Liquidity,as the basis of the commercial bank operation,is of great significance to its survival and development.Compared with credit risk,market risk and operational risk,liquidity risk is more infectious and systemic,its inadequate management could even cause the collapse of the entire financial system.The banking industry,as specially protected by nation,has been supported by the national credit and credit guarantee for a very long time,which leads to the low level of risk management of C hina’s commercial banks.With the improvement of capital market,development of Internet Banking,the abundance of investment channels has greatly reduced the amount of savings deposits of commercial banks,and the variety of direct financing channels promoted a large number of funds to bypass bank intermediary institutions for direct financing.Due to the decreasing monopoly position of commercial banks and gradually weaken media function,financial disintermediation is showing a complicated and multi-layered trend,the external environment of commercial banks has changed greatly,and the liquidity is faced greater pressure.So in such an environment,the research of financial disintermediation has great theoretical and practical significance on the impact of the liquidity of commercial bank.On the one hand,there’s no systematic study of the association between the two,the research of this paper can make up the blank of relevant research,it has important theoretical significance.On the other hand,in this paper,we use the latest data to establish economic model to verify the correctness of the theoretical analysis,and provide a reference for future researchers.Based on a brand new perspective,the author use the method of literature research,data analysis chart,quantitative and qualitative,theoretical and empirical methods,combine the theory of financial disintermediation and liquidity risk,from three aspects to analyze it.First,based on the national conditions of China,redefines the financial disintermediation,and from the three aspects of China’s financial disintermediation development status,reasons and the effect of path on the liquidity risk of commercial bank,analyzes the influence in qualitative of liquidity risk.Second,select the fina ncial disintermediation of the asset side,liabilities,technical disintermediation this three indicators and liquidity ratio,long-term loans,the two indexes which represent the liquidity risk,using the vector auto-regression model respectively,using the impulse response function,variance decomposition dynamic impact empirical research on liquidity risk of financial disintermediation of our country’s commercial banks.Finally,the main conclusions of this paper included: the stronger degree of financia l disintermediation,the greater liquidity risk the commercial bank will face;and the influence of the commercial banks assets disintermediation to the liquidity risk caused by the rising of direct financing’s percentage is stronger than the liability side.O n the basis of empirical analysis,according to the commercial bank assets,liabilities,technology and risk awareness hand,we specially put forward countermeasures and suggestions to deal with the impact of financial disintermediation,which will pro mote commercial banks face the challenges of financial disintermediation,and to lay a strong foundation for our sustainable development of the financial markets.更多还原