【作者】 王寅；

【导师】 陈守东；

【作者基本信息】 吉林大学 ， 数量经济学， 2014， 博士

【摘要】 在现代经济体系中，金融业已经成为了发展的核心，对经济的增长起着巨大的推动作用，但与此同时，金融体系的动荡也会给经济运行带来负面影响，金融危机的爆发甚至会给实体经济带来毁灭性的冲击。银行业作为金融业的基础，在维护金融稳定方面具有至关重要的作用。大量的理论和实证研究已经充分证明，银行危机先于金融危机产生，并且银行业的危机程度决定了金融危机爆发的深度与广度，因此，维护银行稳健性是维护金融稳定的关键之一。现阶段，我国银行业正面临来自外部和内部的双重压力，一方面我国已全面允许外资银行进入中国市场，由于外资银行实力雄厚，服务、管理和风险控制水平较高，给我国本土银行业发展带来较大的外部压力；另一方面，我国当前宏观经济形式放缓，同时政府不断深化对银行业的改革，银行数量不断上升，本土竞争日趋激烈，给银行业带来了较大的内部压力。在此背景下，研究我国宏观经济运行与货币政策对银行稳健性的影响及银行间风险溢出效应的度量，均具有非常重要的理论和现实意义。本文以金融稳定的理论和国内外学者对银行领域的相关研究成果为基础，运用计量经济学的分析方法，对我国不同类型银行的稳健性、不同类型银行稳健性与宏观经济运行之间的关联、货币政策对银行稳健性影响的差异以及银行系统性风险溢出效应四个方面进行了系统深入的研究，具体内容如下：首先，本文在IMF（2006）颁布的《金融稳健指标》的基础上，结合我国央行提出的宏观审慎监管指标，从资本充足性，资产质量，银行盈利能力和流动性四个方面分别选取了银行的代表性指标，构建了我国银行稳健性指标体系，并利用该指标体系中的核心指标合成了我国银行稳健性指数BSI，以综合评价我国银行的稳健性水平。通过对我国三类商业银行稳健性指数的分析，指出我国银行业稳健性明显上升，并且均受到全球性金融危机的冲击影响。然而，这种冲击对三类银行的影响略有不同，城市商业银行受到影响的时期相对滞后于其他两类银行。此外，与大型商业银行相比，股份制商业银行稳健性更易受到宏观经济形式的影响。其次，本文通过构建PVAR模型对宏观经济运行与我国不同类型商业银行稳健性之间的冲击响应路径进行了分析。脉冲响应分析结果显示：信贷增长率在短期内有利于银行稳健性，并且对城市商业银行稳健性的影响最大，股份制商业银行次之，对大型商业银行的影响最小；股票市场指数的增长对银行稳健性有正向影响，对城市商业银行的稳健性影响更持久；经济τ增长在短期内对银行稳健性有正向影响，在长期对其影响为负；大型商业银行稳健性对信贷规模几乎没有影响，股份制商业银行稳健性对信贷规模增长具有正向影响，而城市商业银行稳健性的提高却不利于信贷规模增长。同时，方差分解结果显示：股票市场指数对股份制商业银行稳健性的影响小于其他两类银行，而信贷增长率和经济增长率对三类银行稳健性的贡献很小；从三类银行稳健性对宏观经济变量的影响来看，股份制商业银行稳健性对股票市场的影响比其他两类银行大；城市商业银行对信贷规模增长的影响明显超过其他两类银行；城市商业银行稳健性对经济增长的贡献度远不如其他两类银行。第三，本文利用面板分位数回归方法分析了货币政策对不同类型商业银行稳健性影响的差异，结果显示：三类银行稳健性与汇率均呈负相关关系，并且大型商业银行受汇率波动的影响明显高于其他两类银行，随着其自身稳健性的提高，影响程度逐渐变小；利率对三类银行稳健性的影响均为正，且对具有中等稳健性的城市商业银行作用更明显，随着银行稳健水平的提高，对银行稳健性的影响程度逐渐减弱。此外，利率对城市商业银行稳健性的影响小于其对股份制商业银行的影响。通过信贷增长率对三类银行稳健性的影响，可以看到信贷增长与大型商业银行稳健性呈负相关关系，但对城市商业银行的稳健性影响并不显著。而对于股份制商业银行来说，在其稳健性较差的情况下，信贷增长率不利于银行稳健性，在其稳健性较好的情况下，信贷增长率反而有助于提高稳健程度。第四，本文还通过建立CoVaR模型，利用分位数回归技术度量了我国三类十六家上市商业银行在极端分位数条件下（τ=0.05）的风险溢出效应。通过研究金融风险的各种状态变量对银行机构极端风险的影响，得出股票市场收益率与股票市场价格波动会增加银行的极端风险，并且股票市场波动率对城市商业银行极端风险的影响最大；流动性价差会减小银行的极端风险，且对股份制商业银行与城市商业银行效果更明显；期限利差也可以减小银行的极端风险，但对大多数商业银行影响效果不明显。在此基础上，通过计算单个银行在0.05分位点下的VaRit、CoVaRit以及C oVaRsystem|it值，发现CoVaR可以更好地度量银行的风险及其对系统的溢出效应，大型商业银行的C oVaR值明显大于另外两类商业银行。通过对C oVaRsystem|it进行排序，发现对系统性风险贡献最高的四个商业银行始终是大型商业银行，其他类型银行对系统性风险贡献的排序没有明显规律，但可以发现，城市商业银行对系统性风险的贡献受宏观因素的影响大于其他两类银行。更多还原

【Abstract】 In modern economic system, finance has already become the core of development and it isplaying a very important role in economic growth. But at the same time, the turbulence offinancial system can also bring damage to economic, the outbreak of financial crisis can evenbring devastate impact. As the basis of financial system, banking plays a vital role in themaintenance of financial soundness. A lot of theoretical and empirical studies have proved that thefinancial crisis comes after the banking crisis, and the depth and breadth of banking crisisdetermines the depth and breadth of financial crisis. Therefore, to maintain the soundness ofbanking is one of the keys to maintain the soundness of financial soundness. At the present, thebanking in China is facing the pressure from both outside and inside. On the one hand, China hasopen the financial market to foreign banks, the abundant capital and the higher service,management, risk control skills of foreign banks have bring more and more external pressure tothe development of banking in China. On the other hand, our macroeconomic slowdown currently,the government deepens the reform of banking constantly, the number of commercial banks isgrowing steadily, these aspects all has brought big internal pressure to banking system. Based onthis background, to study the effects of macroeconomic and monetary policy on bankingsoundness and to measure the risk spillover effect between banks has very important theoreticaland practical significance.This paper based on the financial soundness theory and the research of domestic and foreignscholars on banking, using the econometric methods give a systematic and deep research on thesoundness of different types of banks, the relationship between the soundness of different types ofbanks and macro economy, the differences of the effect of monetary policy on bank soundness andthe banking systemic risk spillover effect. The main contents are as follows:First of all, on the basis of the “Financial Soundness Indicators” promulgated by IMF2006and the macro-prudential regulation targets raised by China’s central bank, we have selectedseveral representative indicators on capital adequacy, assets quality, profitability and liquidity of different banks to build the system of China’s bank soundness index system. And using the coreindicators of this system we have composed BSI, which can describe the soundness of differentbanks. Through the analysis of three different types of our commercial banks, we have found thatthe soundness of China’s banks increased significantly, and they were all affected by the globalfinancial crisis. However, the impact on different types of banks was a little different. The affectedperiod of city commercial banks was lagged behind the other two kinds of banks. In addition,compared with the large commercial banks, the joint-stock commercial banks were influenced bythe macroeconomic more remarkable. The trends of the banking soundness shows that the effectof our banking reform since2004is significant, the soundness of banking system increasedsteadily, but was seriously affected by the global financial crisis2008. Although there was noobvious crisis in China, the influence spread to the entire social economy through various ways.The crisis has also brought a shock to the banking system, and caused the decrease of the bankingsoundness. Facing the financial crisis, in order to maintain the steady and rapid economic growth,the Chinese government has carried out series of monetary policy and fiscal policy to stimulate theinvestment and employment in private sector, the soundness of banking system was also recoveredgradually.Secondly, this paper analyses the impact path of shock between macroeconomic and differenttypes of banks by constructing a PVAR model. The results of the impulse response shows that: thecredit growth is advantageous to the soundness of banks, and the effect on city commercial banksis the biggest, on joint-stock commercial banks comes the second, on large commercial banks isthe smallest. The stock market index has a positive effect on the bank soundness, and the impacton city commercial banks is more durable. The economic growth has a positive effect on banksoundness in the short term, but it change to negative in the long term. The soundness of largecommercial banks hardly has any influence on credit scale, and the soundness of joint-stockcommercial banks has positive impact on credit scale, while the raise of the soundness of citycommercial banks will decrease the credit scale. At the same time, the result of the variancedecomposition shows that: the stock market index impact the soundness of joint-stock commercialless than the other two types of banks. The contribution of credit growth and the economic growthto the soundness of all three types of bank is very small. From the view of the effect of the banksoundness to macroeconomic we can find that the joint-stock commercial banks impact the stock market more significant than the other two types of banks, the city commercial banks impact thecredit scale more than the other two types of banks, and the soundness of large commercial banksand joint-stock commercial banks impact the economic growth more significant than citycommercial banks.Thirdly, we analyze the impact of monetary policy on the soundness of different types ofcommercial banks by using the panel quantile regression method, and from the result we can findthat the relationship between the soundness of three types of banks and exchange rate are allnegative. Large commercial banks affected by exchange rate more significantly, and the effectdecrease gradually as the soundness of large banks increase. The relationship between interest rateand the soundness of all three types of banks are all positive. The influence of interest rate on citycommercial banks are more significantly, and the effect decrease while the soundness increase. Inaddition, the effect of interest rate on the soundness of joint-stock commercial more than citycommercial banks. Through the effect of credit growth, we can come to the conclusion that thesoundness of large commercial banks decrease while credit increase, but the soundness of citycommercial banks hardly has response to credit growth. But for the joint-stock commercial banks,when its soundness is in the low section, credit growth will bring negative effect, but when itssoundness is high, credit growth will bring positive effect.Fourthly, we establish a CoVaR model, measure the risk spillover effect of the three types ofsixteen commercial banks in extreme quantile (=0.05) by using quantile regression technique.Though the effect that variety of financial risk made to the extreme risk of banking institutions, wecan find out that the fluctuation of stock market profit and stock market price can raise theextreme risk of banks, and this kind of effect plays most significantly on city commercial banks.The difference of interbank interest rate and yield rate to maturity can reduce the extreme risk, andthe effect is more significant on joint-stock commercial banks and city commercial banks. Termspread can also reduce the extreme risk, but the effect is not obvious on most of the banks. On thisbasis, we calculatedVaRti,CoVaRti, and CoVaRtsystem|iof each bank under quantile0.05, foundthat CoVaR can measure the risk of each bank and its spillover effect on the system better.CoVaR of large commercial banks are larger than those of joint-stock commercial banks and citycommercial banks. By sorting the CoVaRtsystem|iwe can find that the top four contributors to thesystemic risk are all from large commercial banks, other banks’ contribution didn’t show regular rules. But we can find that city commercial banks’ contribution to systemic risk is influenced bymacroeconomic more significantly than the other two types.更多还原