【作者】 章静；

【导师】 欧阳志刚；

【作者基本信息】 中南财经政法大学 ， 金融（专业学位）， 2022， 硕士

【摘要】 随着经济发展,监管部门考虑的不应该仅仅是金融机构个体风险,还有系统性风险。我国现有的分业监管的金融监管体制导致表外业务规模较小。在金融危机后,国家实施多项经济刺激政策,表外业务爆发式成长,甚至超过表内资产规模。中国银行业竞争态势加剧,商业银行在金融市场上竞相争夺的时候,也与信托企业、券商、基金等非银金融机构加强了同业协作,这样一来,中国传统表外业务的运营管理模式创新也层出无穷。2018年,央行发布了资管新规,在融资端、投资端都给出了较高要求。在此背景下,研究资管新规对表外业务竞争的影响以及表外业务竞争对系统性风险的影响也变得尤为重要。本文基于理论以及实证两个角度,剖析了资管新规对表外业务竞争的影响以及表外业务竞争对商业银行系统性风险的影响作用。首先在理论方面,通过对相关文献的整理,对表外业务进行分类,分为承诺担保类、代理投融资类、中介服务类以及其他类,从理论上归纳了资管新规对不同类型表外业务竞争的影响机制以及不同种类的表外业务竞争对系统性风险的影响机制,得到初步结论。接着,本文选取十六家上市商业银行数据,用CoVaR模型度量其条件风险价值水平,接着计量各银行表外业务竞争性。采用双重差分法实证分析资管新规政策对表外业务竞争的影响效应,从表外业务的分类角度进行实验组和对照组的划分,划分三组实验组和对照组,进行回归分析。接着将系统性风险贡献值作为因变量,将表外业务竞争性作为自变量,引入六个控制变量的基础上建立面板数据模型。通过计算十六家上市商业银行的条件风险价值以及表外业务竞争性,将表外业务竞争性作为被解释变量,引入时间虚拟解释变量和政策虚拟变量以及交互项作为解释变量,基于表外业务的种类进行实验组与对照组的划分,建立DID模型,以此来研究资管新规对表外业务竞争的影响。通过实证发现,资管新规的出台会对银行表外业务的竞争产生抑制作用。将表外业务竞争性作为解释变量,各银行条件风险值的绝对值作为被解释变量,引入六个控制变量进行回归可以发现,表外业务竞争性与银行条件风险绝对值的系数为正,说明银行表外业务竞争性变高能够显著增大其对于系统性风险的贡献程度。通过阐述资管新规对表外业务竞争的影响机制以及表外业务竞争对系统性风险的影响机制,并综合实证结果,可以发现资管新规可以通过抑制表外业务的竞争从而达到控制系统性风险的目的。更多还原

【Abstract】 With the development of economy,the regulatory authorities should consider not only individual risks of financial institutions,but also systemic risks.The existing financial supervision system of China’s separate supervision leads to the small scale of off-balance-sheet business.After the financial crisis,China implemented a number of economic stimulus policies,and off-balance-sheet business exploded and exceeded the scale of on-balance-sheet assets.Competition in China’s banking industry is intensifying.When commercial banks compete in the financial market,they also strengthen their cooperation with trust companies,securities firms,funds and other non-bank financial institutions.As a result,the innovation of the operation and management mode of China’s traditional off-balance-sheet business is endless.In 2018,the central bank issued new regulations on asset management,which gave higher requirements on both the financing side and the investment side.Under this background,it is particularly important to study the influence of new asset management regulations on off-balance-sheet business competition and the influence of off-balance-sheet business competition on systemic risk.Based on the theoretical and empirical perspectives,this thesis analyzes the influence of new asset management regulations on off-balance sheet business competition and the influence of off-balance sheet business competition on the systemic risk of commercial banks.Firstly,in theory,through sorting out relevant literatures,the off-balance-sheet business is classified into commitment guarantee,agency investment and financing,intermediary service and other categories.Theoretically,the influence mechanism of new asset management regulations on different types of off-balance-sheet business competition and the influence mechanism of different types of off-balance-sheet business competition on systemic risk are summarized,and preliminary conclusions are drawn.Then,this thesis selects the data of 16 listed commercial banks in China,uses CoVaR model to measure their conditional value at risk,and then measures the off-balance sheet business competitiveness of each bank.Double difference method is used to empirically analyze the impact of new asset management policies on off-balance-sheet business competition.From the perspective of off-balance-sheet business classification,experimental group and control group are divided into three groups,and regression analysis is conducted.Then,taking the systematic risk contribution value as the dependent variable and the off-balance sheet business competitiveness as the independent variable,the panel data model is established on the basis of introducing six control variables.By calculating the conditional value at risk and off-balance-sheet business competitiveness of 16 listed commercial banks,taking off-balance-sheet business competitiveness as the explained variable,introducing time virtual explanatory variable,policy virtual variable and interactive item as explanatory variables,dividing the experimental group and control group based on the types of off-balance-sheet business,and establishing DID model,so as to study the influence of new asset management regulations on off-balance-sheet business competition.Through empirical research,this thesis founds that the introduction of new asset management regulations will inhibit the competition of off-balance sheet business of banks.Taking off-balance-sheet business competitiveness as the explanatory variable,the absolute value of conditional risk value of each bank as the explanatory variable,and introducing six control variables for regression,we can find that the coefficient between off-balance-sheet business competitiveness and the absolute value of bank conditional risk is positive,which indicates that the higher off-balance-sheet business competitiveness of banks can significantly increase its contribution to systemic risk.By expounding the influence mechanism of the new asset management regulations on off-balance-sheet business competition and the influence mechanism of off-balance-sheet business competition on systemic risk,and combining the empirical results,we can find that the new asset management regulations can control systemic risk by suppressing off-balance-sheet business competition.更多还原