利率市场化与商业银行危机的关系研究

【作者】 张玲；

【导师】 唐朱昌；

【作者基本信息】 复旦大学 ， 世界经济， 2013， 硕士

【副题名】基于信贷价格和规模因素视角的分析

【摘要】 2012年6月,央行扩大存贷款利率的浮动区间引发了国内对于利率市场化的讨论,理论界预计这项政策会缩小银行业息差14-18个基点,造成银行业收入下降。国外经验表明利率市场化过程中往往会伴随着银行危机的发生,因此研究利率市场化与商业银行危机的关系对中国未来利率改革具有重要的借鉴意义。本文首先在文献综述里归纳了影响商业银行危机的四大因素：宏观经济环境、银行业因素、金融行业因素和制度建设,然后确定本文的研究视角为基于信贷价格和规模因素,探讨利率市场化对引发银行危机的影响。正文通过理论研究、实证分析、案例归纳三个部分进一步说明利率市场化对引发银行危机的影响。第一部分介绍利率市场化对信贷价格和规模理论的影响机制,及这种影响与银行危机的联系。指出信贷价格和规模的变动会导致利率风险、流动性风险、信用风险,从而影响银行危机发生的概率。第二部分主要是利率市场化、信贷价格、信贷规模等因素对银行危机的实证部分,也是本文的核心部分.首先将利率市场化对信贷价格和信贷规模两种因素的影响进行实证分析。其次,综合利率市场化、信贷价格、信贷规模及其他影响银行危机的因素,对银行危机的虚拟变量进行回归,并讨论制度因素与银行危机的关系。本文的实证结论如下：1.利率市场化只在过渡期内会导致银行危机概率的上升,在长期并无影响。2.信贷价格和规模因素影响银行危机的机制中,利率通过拉动存贷款价格水平进而影响银行危机的效应不明显,但是其影响信贷规模和比例从而增大危机发生的概率效果比较显著。3.法律制度和政府透明度的加强,可以有效的降低银行系统的负面冲击,但是存款保险制度作用并不显著。第三部分为对发达国家、新兴市场化国家和拉美国家利率改革过程及结果的梳理,本文发现只有适应各自经济发展阶段和本国国情的利率市场化改革,才能有效促进金融部门及国家经济的发展。之后,笔者从微观的银行和宏观政府两方面,对中国未来的利率市场化改革需要注意的事项提出相关建议。更多还原

【Abstract】 In June2012, People’s Bank of China expanded the floating range of deposit and loan’s rates, and subsequently triggered a fierce discussion of interest rate liberalization. It is expected that this policy will narrow net interest margin of Chinese commercial bank by14-18basis points, resulting in a decline in revenue of banking system. As is demonstrated by international experiences, the processes of interest rate deregulation are often accompanied by occurrence of banking crisis. So investigating the relationship between interest rate liberalization and banking crisis does construct to Chinese future interest rate reform.First, in the literature review, this paper summarizes the four major factors affecting the commercial banking crisis:macroeconomic environment, banking industry factors, financial industry factors and supervision factors. And then the perspective of this study is determine, that is based on the credit price and credit scale to explore the impact of interest rate liberalization to the banking crisis.This paper is through theoretical research, empirical analysis and case study three parts to illustrate influence of interest rate liberalization on banking crisis. The first part describes mechanism of the impact of the interest rate liberalization to credit price and scale, and the relationship between these impacts with the banking crisis. It is pointed that changes of credit price and scale will lead to interest rate risk, liquidity risk and credit risk, thus affecting the probability of occurrence of banking crisis.The second part is the empirical research of the banking crisis on interest rate liberalization, credit price and credit scale, also the core part of this paper. First, we regress credit price and credit scale on interest rate liberalization. Secondly, the empirical impact of interest rate market, credit price, credit size and other factors on banking crisis is considered. Then we discuss the relationship between supervision factors and the banking crisis. The empirical results are as follows:1. Only in the transition period that interest rate liberalization will increase the probability of banking crisis. And it had no impact on banking system in the long term.2The influence that interest rate liberalization pulls up price level of deposits and loans thereby triggering banking crisis is not obvious. But the impact of the credit scale to the probability of banking crisis is significant.3. The strengthening of the legal system and government transparency can effectively reduce the negative impact of the banking system, but the role of deposit insurance system is not significant.The third part sorted out developed countries, emerging market countries and Latin American countries’reform processes and results of interest rate liberalization. This paper found that only interest rate deregulation that suitable to each country’s economic development stage and their fundamental conditions that can effectively promote the development of financial sectors and economy. At last, this paper makes some suggestion in the perspective of both micro commercial banks and macro government about how China conducts future interest rate liberalization with less social cost.更多还原