我国商业银行净利差决定因素研究 - 基于2005 - 2012年数据的实证分析

A study on the determinants of net interest margin of commercial banks in China -- An Empirical Analysis Based on the data of 2005 - 2012

摘要:(摘要内容经过系统自动伪原创处理以避免复制,下载原文正常,内容请直接查看目录。)

净利差(Net Interest Margins,简称NIM)是贸易银行发放存款的利率高于接收存款的利率而发生的支出,其界说为银行净利钱支出与均匀生息资产的比值。净利差是银行利润的重要起源,同时也是权衡银行作为金融中介机构施展中介效力的主要目标之一,是以,净利差不只反应银行本身的运营效力,还反应银行作为社会直接融资主体的中介生意业务本钱和中介效力。本文在Ho&Saunders的生意业务商模子和Maudos&G.uevara的扩大模子的基本上,基于银行本身身分、行业成长情形及微观身分来剖析中国在利率管束配景下的利差决议身分,拔取我国78家贸易银行2005-2012年的非均衡面板数据,涵盖年夜型贸易银行、股分制贸易、处所性城市贸易银行和乡村贸易银行,经由过程拔取相干性目标,采取随机效应回归模子对我国贸易银行净利差决议身分停止实证剖析,并拓展剖析分歧类型银行净利差决议身分的差别和金融危机冲击对净利差决议身分发生的分歧影响。本文研讨的重要内容以下:第1章为引言。该部门对论文的研讨配景、选题意义作了具体的解释,并引见了本文的研讨框架,最初提出了本文的立异点。第2章重要为文献综述。本部门具体引见今朝国外比拟风行的两类研讨模子及其成长立异,并归结国际研讨的两个方面,最初对文献停止了简略的述评。第3章剖析了我国贸易银行成长近况及利差决议身分的国际比拟。基于做市商模子,并联合我国现实情形,剖析了我国贸易银行净利差的决议身分及实际假定。第4章是本文的重要焦点部门,即应用银行数据实证研讨和磨练净利差的决议身分(即应用搜集的银行数据对我国贸易银行净利差的决议身分停止实证研讨)。经由过程对全样本停止回归,剖析出我国贸易银行净利差决议身分和影响水平;从回归成果来看,对净利差影响比拟年夜的身分有隐性利钱付出、利率风险、风险躲避水平、信誉风险、治理效力、生意业务范围、微观经济变量GDP增加率和通化收缩等。第5章进一步扩大剖析了我国分歧类型贸易银行和金融危机冲击对净利差决议身分的差别。关于分歧类型的银行来讲,净利差的决议身分着重点有所分歧,除风险躲避水平、治理效力都对四类银行净利差有影响外,年夜型银行还遭到信誉风险、隐性利钱付出、市场利率动摇、通货收缩率等身分的影响;股分制银行遭到隐性利钱付出、运营本钱、通货收缩率等身分的影响;城商行除遭到GDP增加率外,其他决议身分与股分制银行相分歧;农商行则还遭到预备金的机遇本钱的影响。金融危机对净利差决议身分有所影响,从回归成果可以看出,贸易银行净利差都遭到风险躲避水平、治理效力、隐性利钱付出和预备金机遇本钱的影响,但影响水平分歧,个中风险躲避水平和隐性利钱付出的影响水平变年夜,而治理效力和预备金机遇本钱影响水平有所下降。第6章,综合全文的研讨结论停止总结,随后提出一些政策建议。依据实证剖析成果,笔者以为我国贸易银行要赓续进步治理程度,增强本钱掌握;优化传统营业,成长中央营业,进步市场权势;强化存款机制,完美风险治理;各类银行应增强本身治理,针对分歧决议身分的差别,各自寻觅优势和优势停止成长和填补。本文的立异的地方重要表示在以下方面:(1)在实证办法上,与国际多半研讨采取固定效应模子分歧,本文彩用修改的随机效应模子来研讨我国贸易银行净利差的决议身分。从统计下去看,选择随机效应模子会防止自在度的丧失。从经济意义来看,本文以为每一个银行有其各自的特点(好比,文明差别等),即存在个别效应,而时光效应与利率动摇呈自相干。综合剖析和数据统计磨练,本文则采取随机效应模子来研讨净利差的决议身分。(2)研讨对象更加周全,数据起源更加丰硕。本文的研讨涵盖了国有银行、股分制银行、城商行和农商行四品种型,研讨对象的拔取更周全,且研讨了分歧类型银行净利差决议身分的差别。比拟之下,以往的研讨少有选择城商行和农商行,特殊是农商行。在数据起源上,以往国际学者多采取上市银行或许多数几家非上市银行数据,对数据缺掉部门采取汗青数据模仿或许直接剔除样本而到达均衡面板数据。而本文应用bankscope比拟完美的数据库,拔取了78家贸易银行2005-2012年的非处置的原始数据即非均衡面板数据,为研讨供给了更完美和更真实的样本数据,填补了国际在此方面的缺乏。(3)研讨2008年金融危机前后我国贸易银行净利差决议身分的变更,有助于将来采用有用的危机应对办法。以往的文献重要是剖析我国利率改造前后的差别,却少有2008年全球金融危机对银行利差影响的深度研讨。鉴于此,本文以2008年金融危机为分界点,侧重剖析危机前后我国贸易银行净利差决议身分的变更,相干研讨结论将有益于我国贸易银行在将来碰到突如其来的微观经济年夜动摇时,能更好地采用办法,有用应对体系性风险。

Abstract:

Net interest margin (net interest Margins (NIM) is the trade bank loans deposit interest rates higher than receiving the deposit interest rates and spending the definition for the ratio of Bank net interest expenditure and average interest earning assets. Net interest margin is bank profit important origin, is also a measure of a bank as a financial intermediary cast intermediary effect is one of the main goals, is the net profit difference not only response to the bank operation efficiency and also response to the bank as a social direct financing of the main intermediary business Wu Benqian and the intermediary potency. Based on the model Ho&Saunders business and Maudos&G.uevara business expansion model basically, based on the bank itself, industry growth and micro identity identity to analyze Chinese in interest control under the background of China's adoption of resolution spreads as the 78 trading banks in 2005-2012 non balanced panel data covering large banks, stock trading for trade, local city commercial banks and rural commercial bank, through the process of using the coherence of target, adopt random effects regression model on the net interest margin of China's commercial banks as resolution of the empirical analysis, and expand the analysis of net interest margin of different types of bank resolution identity differences and the impact of the financial crisis impact on the occurrence of net interest margin resolution identity differences. The important content of study is as follows: the first chapter is the introduction. The Department of the research background, the significance of the topic made specific explanation, and introduces the research framework of this thesis, is initially put forward the innovation points of this thesis. The second chapter is the literature review. The department specific introductions to the current foreign relatively popular two kind of research model and the growth of innovation, and summed up the research of two aspects, initially on the literature stopped briefly review. The third chapter analyzes the international comparison of commercial banks in China growth situation and spreads the identity resolution. The market maker model based on combined with the reality of our country, analyzes the status of China's commercial banks net interest margin resolution and practical assumptions. Chapter 4 is the important focus of the Department, that is, the application of bank data study and hone net interest margin on the resolution of the identity (i.e., application of collecting bank data of our country Commercial Bank net interest margin resolution identity stop empirical research. Through the process of the whole sample stop regression, analysis of the our country commercial bank's net interest margin resolution status and influence; from the regression results of impact on net interest margins compared to Nianye identity hidden accrual of pay, interest rate risk, risk avoid level, credit risk, management effectiveness, business scope, microeconomic variables GDP increased rate and Tonghua contraction etc.. The fifth chapter further expand our analysis of different types of commercial banks and the impact of financial crisis on the net interest margin of identity difference resolution. In terms of different types of banks, net interest margin of the resolutions of the identity of the key differences, in addition to the risk aversion level, governance effectiveness have influences on the net interest margin of four categories of banks outside, large banks was credit risk, implicit interest pay, shake the market interest rate, inflation rate and other factors influence; share-holding system bank was recessive accrual of pay, operating costs, inflation rate and other factors influence; city commercial banks except by GDP increase rate, other resolutions of the identity and the joint-stock banks is consistent; commercial bank also was the opportunity cost of reserves. The financial crisis that have an impact on net interest margin resolution identity, from the regression results can be seen, commercial bank's net interest margin was risk aversion level, management effectiveness, the influence of implicit interest payments and reserve opportunity cost, but the impact of different level, medium risk avoid pay levels and hidden cost affects the level of change Nianye, and governance effectiveness and reserve opportunity costs affect the level of decline. The sixth chapter summarizes this research conclusion summary, then put forward some policy suggestions. According to the empirical results of the analysis, the author think that China's commercial banks to continuously improve the level of management, strengthen cost control; optimization of the traditional business, the central business growth and progress of market power; strengthen deposit mechanism, perfect risk management. Banks should be strengthened governance, according to the identity of the different resolution difference and their search of the strengths and advantages of ceases to grow and fill. The innovation of the important expression in the following aspects: (1) in the empirical approach, and the mostly used in the research fixed effects model differences, the color with modification of the random effect model to research our country Commercial Bank net interest margin on the resolution of the identity. From a statistical perspective using random effects model will prevent the loss of freedom. From the economic point of view, this paper think that every bank has its own characteristics (for example, cultural differences, etc.) is the existence of individual effects and time effects, and the interest rate is coherent shake. Comprehensive analysis and statistics practice, this paper will take the identity resolution random effect model to study the net interest margin. (2) the research object is more comprehensive, more fruitful data origin. This research covers the state-owned banks, joint-stock banks, city commercial banks and rural commercial four varieties, more comprehensive choice of the object of study and discussion of the differences in the type of the bank's net interest margin resolution identity difference. In contrast, previous studies have little choice of city commercial and agricultural firms, agricultural firms are special. On the origin of data, previous international scholars take listed banks maybe a few a few unlisted bank data, the data missing department take historical data imitation may direct the sample excluded and reach the balanced panel data. And the application of BANKSCOPE compared to perfect the database, select the raw data of 78 commercial banks from 2005 to 2012 the non disposing non balanced panel data, provides a more perfect and more real sample data for research, to fill the lack of in the international. (3) the change of net interest margin of China's trade status on 2008 bank resolution before and after the financial crisis, will help in the future with useful way to deal with the crisis. The previous literature is an important analysis before and after the transformation of China's interest rate difference, but there is little effect of depth discussion of the 2008 global financial crisis on bank spreads. In view of this, this paper in 2008 the financial crisis as the cut-off point, focusing analysis before and after the crisis in our country commercial bank's net interest margin resolution identity change, coherent conclusion of the study will be beneficial to the Commercial Bank of our country in future encounter sudden micro economic shake, can better mining methods, useful system to deal with risk.

目录:

摘要4-7
Abstract7-9
1. 引言13-20
    1.1 选题的背景和意义14-17
        1.1.1 选题的背景14-16
        1.1.2 选题的意义16-17
    1.2 论文研究方法17-18
    1.3 研究框架和主要创新点18-20
        1.3.1 研究框架18-19
        1.3.2 主要创新点19-20
2. 国内外相关文献综述20-30
    2.1 净利差的定义20-21
    2.2 国外研究综述21-25
        2.2.1 交易商模型及实证研究22-24
        2.2.2 银行企业微观模型及实证研究24-25
    2.3 国内研究综述25-28
        2.3.1 我国银行净利差决定因素的实证研究26-27
        2.3.2 跨国比较及利差合理水平研究27-28
    2.4 相关文献评述28-30
3. 我国商业银行净利差决定因素分析30-44
    3.1 我国商业银行发展现状及利差决定因素的国际比较30-35
        3.1.1 我国商业银行发展现状30-33
        3.1.2 银行利差决定因素的国际比较33-35
    3.2 银行利差理论模型35-38
    3.3 中国利率管制背景下的利差决定因素分析38-43
        3.3.1 银行内部制约因素38-41
        3.3.2 外部宏观环境因素41-43
    本章小结43-44
4. 商业银行净利差决定因素的实证研究44-57
    4.1 样本来源、变量选取及描述统计44-49
        4.1.1 样本数据来源44-45
        4.1.2 变量选取及计量45-47
        4.1.3 数据的描述性统计47-49
    4.2 实证回归模型49-53
        4.2.1 数据的相关检验及模型选择49-52
        4.2.2 计量模型建立52-53
    4.3 全样本静态回归结果53-56
    本章小结56-57
5. 银行类型、金融危机冲击与银行净利差决定因素57-65
    5.1 不同类型商业银行净利差决定因素实证研究57-61
        5.1.1 数据描述性统计58-59
        5.1.2 回归结果分析59-61
    5.2 金融危机前后净利差决定因素的差异分析61-63
    本章小结63-65
6. 结论与建议65-71
    6.1 主要结论65-66
    6.2 政策建议66-69
        6.2.1 提高管理水平,加强成本控制66-67
        6.2.2 优化传统业务,发展中间业务,提高市场势力67-68
        6.2.3 强化贷款机制,完善风险管理68
        6.2.4 各类银行应加强自身管理68-69
    6.3 研究的局限性和展望69-71
        6.3.1 研究的不足69-70
        6.3.2 后续研究展望70-71
参考文献71-76
附录76-85
致谢85-86
在读期间科研成果目录86