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1、题 目 利率市场化过程中存贷差缩窄对商业银行利润和风险影响的实证分析摘要为了促进金融市场的发展以及资源的最佳分配，我国于1996年开始实行利率市场改革，2013年完成贷款利率市场化，2015年完成存款利率市场化，改革对中国金融市场和商业银行产生了深远的影响。在改革过程中，存贷差的变化对银行的影响极其显著，主要是对利润以及风险的影响。银行作为我国金融市场的重要组成部分，存贷差缩窄对其影响值得我们进行探讨和研究。本文基于存贷差缩窄的角度，研究存贷差缩窄对15家上市银行利润以及风险的产生的影响，对我国银行提高利润和加强风险管理提出政策建议。本文第一、二章主要介绍选题的意义和背景、文章基本框架，以及对
2、国内外学者的研究进行了分析和综述。接着介绍利率市场化的相关概念和中国利率市场化的发展过程，分析了利率市场化对我国金融市场的正负面影响。第三章主要简述了存贷差的概况，包括存贷差的含义以及我国2010-2017年我国15家上市银行存贷差变化趋势和影响存贷差的因素有哪些。在这一基础上，对存贷差和银行的相关指标进行了统计性的描述，包括对存贷差变化和全国银行间拆借利率以及上海银行间拆借利率间的关系进行分析，以及对存贷差变化和全国银行间利率波动率和上海银行间利率波动率之间的关系进行分析，发现存贷差走势和全国银行间拆借利率的走势且关系更大。本文第四章主要介绍了存贷差缩窄对我国商业银行利润以及风险的理论分析。
3、本文第五章，选取2007-2015年间15家上市商业银行的数据，利用了多元线性回归模型实证分析了存贷缩窄对银行利润以及风险的影响。通过研究发现，得出存贷差缩窄会减少商业银行的利润，银行利润会因为利率波动，贷款规模能够提高银行的利润，以及存贷差缩窄会降低银行经营风险、银行自身规模扩大也会降低风险的结论。第六章，主要对商业银行的利润以及风险管理提出了政策和建议。关键词：利率市场化；存贷利差；银行利润；风险管理AbstractIn order to promote the development of financial market and the optimal allocation of re
4、sources, China began to reform the interest rate market in 1996, completed the marketization of loan interest rate in 2013, and completed the marketization of deposit interest rate in 2015. The reform has had a far-reaching impact on Chinas financial market and commercial banks. In the process of re
5、form, the change of deposit-loan gap has a significant impact on banks, mainly on profits and risks. As an important part of Chinas financial market, the impact of narrowing the deposit-loan gap on banks deserves our discussion and research. Based on the narrowing of the deposit-loan gap, this paper
6、 studies the impact of the narrowing of the deposit-loan gap on the profits and risks of 15 listed banks, and puts forward policy recommendations for improving profits and strengthening risk management of Chinese banks.The first and second chapters of this paper mainly introduce the significance and
7、 background of the topic, the basic framework of the article, and analyze and summarize the research of scholars at home and abroad. Then it introduces the related concepts of interest rate liberalization and the development process of interest rate liberalization in China, and analyses the positive
8、 and negative effects of interest rate liberalization on Chinas financial market. Chapter three mainly outlines the general situation of the deposit-loan gap, including the meaning of the deposit-loan gap, the changing trend of the deposit-loan gap of 15 listed banks in China from 2010 to 2017, and
9、the factors affecting the deposit-loan gap. On this basis, the paper makes a statistical description of the deposit-loan spreads and related indicators of banks, including the analysis of the relationship between the changes of deposit-loan spreads and the national inter-bank lending rate and Shangh
10、ai inter-bank lending rate, and the analysis of the relationship between the changes of deposit-loan spreads and the fluctuations of national inter-bank interest rate and Shanghai inter-bank interest rate. The trend of inter-bank lending rate is more closely related. Chapter IV of this paper mainly
11、introduces the theoretical analysis of the profit and risk of commercial banks in China caused by the narrowing of the deposit-loan gap. In the fifth chapter of this paper, the data of 15 listed commercial banks from 2007 to 2015 are selected, and the impact of deposit and loan contraction on bank p
12、rofit and risk is empirically analyzed by using multiple linear regression model. Through the research, we find that narrowing the deposit-loan gap will reduce the profits of commercial banks, because of the fluctuation of interest rates, the size of loans can improve the profits of banks, and narro
13、wing the deposit-loan gap will reduce the operational risks of banks, and the expansion of the banks own size will also reduce the risks. Chapter Six mainly puts forward policies and suggestions on the profit and risk management of commercial banks.Keyword：interest rate marketization；deposit-loan sp
14、reads；bank profits；risk management目录摘 要IAbstractII第1章 引言11.1 选题的背景和意义11.1.1 选题的背景11.1.2 选题的意义11.2 国内外研究综述21.2.1 国外研究综述21.2.2 国内研究综述31.3 本文研究方法51.4 本文的研究框架6第2章 利率市场化的历程及作用72.1 利率市场化的含义与发展历程72.1.1 利率市场化的含义72.1.2 我国利率市场化的发展历程72.2 利率市场化的作用82.2.1 积极作用82.2.2 消极作用8第3章 存贷利差概况和银行相关指标的研究93.1 存贷利差的概念93.2 存贷差的现
15、状以及趋势93.3 影响存贷差变化的相关因素103.3.1 宏观经济状况103.3.2 风险偏好103.4 存贷差变化和银行间利率变化的研究103.5 存贷差变化和银行间拆借利率波动率变化的分析133.5.1 存贷差变化和上海银行间拆借利率波动率变化的分析 133.5.2 存贷差变化和全国银行间拆借利率波动率变化的分析 133.6 小结14第4章 存贷利差缩窄与银行利润及风险的理论分析154.1 存贷差缩窄和银行利润的理论分析154.1.1 商业银行利润状况154.1.2 利差缩窄对银行利润的影响154.2 存贷利差缩窄与银行风险的理论分析164.2.1 我国商业银行风险现状分析164.2.2 利差缩窄对利率风险的影响164.3 小结16第5章 存贷差缩窄对商业银行利润和风险影响的实证分析185.1 对于利润的影响185.1.1 模型设定185.1.2 数据来源、变量选取185.1.3 存贷差缩窄对银行利润影响的实证分析195.2对于风险的影响215.2.1 模型设定215.2.2 数据来源、变量选取215.2.3 描述性的统计和回归分析225.3 小结23第6章 对策建议256.1 商业银行提高利润的对策建议256.2 商业银行加强风险管理的对策建议26参考文献29附 录31致 谢32CONTENTSAbstract in ChineseIAb
