【作者】 张晶；

【导师】 张宏彦；

【作者基本信息】 山西财经大学 ， 金融学， 2018， 硕士

【摘要】 利率市场化改革是当前经济运行中的热点话题,即是适应经济发展的产物,又是金融体制改革的必然要求。随着对存贷款利率限制的放开,利率市场化对传统商业银行体系产生冲击。十二五以来,我国利率市场化进程明显加快,将对商业银行产生重要的影响。根据西方发达国家的实践经验,存贷利率差的受益模式改变,是利率市场化改革的结果。且随着竞争的加剧,利润空间进一步受到挤压。为了增加利润,提高存款利率来吸引存款客户,增加了商业银行的资金成本,为了使这部分成本得到弥补,在资产选择方面也更加偏好风险较高的资产。因此,如何在利率市场化的大背景下有效的防范商业银行的信贷风险成为当前需要认真研究的课题。本文立足于这一现实,先从相关理论机制方面对二者影响机制进行梳理。首先,本文对利率市场化、商业银行信贷风险等概念进行了阐述。通过信息不对称、内部控制薄弱和社会信用体系不健全以及地方政府过度干预四个方面对商业银行信贷风险的成因进行了分析。其次,结合利改的进程,创造性地提出了利率市场化对商业银行信贷风险的影响路径,从而对两者之间的联系有了更加清晰的认识,充实了当前的研究成果。并选取了最新的数据,对研究利率市场化与商业银行信贷风险的关系及其未来的发展趋势具有较大的现实意义。本文选择以贷款拨备率和不良贷款率衡量信贷风险,并把GDP增长率、实际利率、存贷利差、资产规模、非利息收入占比、利率市场化指数作为解释变量,建立面板数据模型,并在随机模型、混合回归模型以及固定回归模型中选择用固定效应进行实证研究。研究结果表明,利率市场化对商业银行的信贷风险有显著的影响。最后,根据固定效应回归模型结果,利率化市场指数和实际利率与商业银行信贷风险成正比,存贷利差越小,商业银行信贷风险越大。对此提出,将利率管控纳入管理进程,引进人才,促进产学研一体化;调整资产负债结构,提升产品定价能力;完善金融监管体系,对不良行为加强约束。更多还原

【Abstract】 The market-oriented interest rate reform is a hot topic in the current economic operation,that is,it is a product that adapts to economic development,and it is also an inevitable requirement for financial system reform.With the liberalization of interest rates on deposits and loans,interest rate liberalization has had an impact on the traditional commercial banking system.Since the 12 th Five-Year Plan period,the process of marketization of interest rates in China has been significantly accelerated and will have an important impact on commercial banks.According to the practical experience of developed countries in the West,the change in the beneficiary model of interest rates on deposits and loans is a result of market-oriented interest rate reforms.With the intensification of competition,profit margins have been further squeezed.In order to increase profits and raise deposit interest rates to attract deposit customers,the cost of commercial banks has increased.In order to make up for this part of the cost,assets with higher risks are also more preferred.Therefore,how to effectively prevent credit risk of commercial banks under the background of interest rate liberalization has become a topic that needs serious research.Based on this reality,this article first sorts out the mechanisms that affect the two mechanisms.First,this article elaborates concepts such as interest rate liberalization and commercial bank credit risk.The causes of credit risk of commercial banks were analyzed through four aspects: asymmetric information,weak internal control,incomplete credit system,and excessive local government intervention.Secondly,in conjunction with the process of reform,creatively put forward the path of interest rate marketization on the credit risk of commercial banks,so as to have a clearer understanding of the relationship between the two,and enrich the current research results.And selecting the latest data has great practical significance for studying the relationship between interest rate liberalization and commercial bank credit risk and its future development trend.This paper chooses to measure the credit risk with loan provision ratio and non-performing loan ratio,and uses the GDP growth rate interest rate,real interest rate,deposit and loan spread,asset size,non-interest income share,and marketization index as explanatory variables to establish a panel data model.,And choose random effects for empirical research in stochastic models,mixed regression models,and fixedregression models.The results of the study show that interest rate liberalization has a significant impact on the credit risk of commercial banks.Finally,according to the results of the fixed-effect regression model,the interest rate market index and real interest rate are inversely proportional to the credit risk of commercial banks.The smaller the deposit-loan difference,the greater the credit risk of commercial banks.This proposed that interest rate management be incorporated into the management process,talents should be introduced,the integration of production,study and research should be promoted,the structure of assets and liabilities should be adjusted,and the pricing capability of products should be improved;the financial supervision system should be improved and the bad behaviors should be strengthened.更多还原