我國(guó)系統(tǒng)重要性銀行的風(fēng)險(xiǎn)溢出效應(yīng)研究.pdf

1、學(xué)位論文獨(dú)創(chuàng)性聲明本人鄭重聲明：所提交的學(xué)位是本人在導(dǎo)師指導(dǎo)下進(jìn)行的研究工作和取得的研究成果。本論文中除引文外，所有實(shí)驗(yàn)、數(shù)據(jù)和有關(guān)材料均是真實(shí)的。本論文中除引文和致謝的內(nèi)容外，不包含其他人或其它機(jī)構(gòu)已經(jīng)發(fā)表或撰寫(xiě)過(guò)的研究成果。其他同志對(duì)本研究所做的貢獻(xiàn)均已在論文中作了聲明并表示了謝意。學(xué)位論文儲(chǔ)虢兩專(zhuān)11丕日期：川妒、∽矽，學(xué)位論文使用授權(quán)聲明研究生在校攻讀學(xué)位期間論文工作的知識(shí)產(chǎn)權(quán)單位屬南京師范大學(xué)。學(xué)校有權(quán)保存本學(xué)位論文的電子和紙

2、質(zhì)文檔，可以借閱或上網(wǎng)公布本學(xué)位論文的部分或全部?jī)?nèi)容，可以采用影印、復(fù)印等手段保存、匯編本學(xué)位論文。學(xué)?？梢韵驀?guó)家有關(guān)機(jī)關(guān)或機(jī)構(gòu)送交論文的電子和紙質(zhì)文檔，允許論文被查閱和借閱。(保密論文在解密后遵守此規(guī)定)保密論文注釋?zhuān)罕緦W(xué)位論文屬于保密論文，密級(jí)：——保黧萎磊麓卯讞：學(xué)位論文作者簽名：廳。久夠’I絲指導(dǎo)教師簽名：日期：勿／艫r、泌。日期：AbstractAbstractTheRiskSpilloverEffectofindividua

3、lfinancialinstitutionsintOacrisisduringtheglobalfinancialcrisisin2008broughtagreatnegativeeffecttothewholefinancialsystemTheeffectsofthenegativeexternalitiesaresystemicriskstothefinancialsystemThesystemicriskstOthefinanc

4、ialsystemgotattennonofinternationalorganizations，regulatoryagenciesandacademiabecauseofitswidespread，destructiveWhilebanksasthecoreofthefinancialsystem，theriskspilloverefleetsofthebankruptcyintheriskshouldbemorewoahyofaR

5、entionIn2007，BaselCommitteedefinedthiskindofbankas”systemicallyimportantbanks”forthefirsttimeBaselIlIandthereforeputforwardthesupervisionoffinancialsystemicriskand”svstemicallvimportantbank“Therefore，theresearchontherisk

6、spillovereffectsofChinasbanksunderthisbackground，especiallytheriskspillovereffectsofsystemicallyimportantbanks，hascertainpracticalsignificanceItcanprovidesomepolicysuggestionsfortheregulationsofChina’sfinancialsupervisio

7、ninstitutionsandforChinatScommercialbankstopreventsystemicriskInthispaperwesetaseriesofevaluationindexsystemofChina’Ssystemicallyimportantbanks，accordingtotheactualsituationofChina’SbankingindustryThenweevaluateandanalys

8、ethesvstemicallyimportanceofthe14listedcommercialbanksofChinaEventually，BankofChinaIndustrialandCommercialBank，ConstructionBank，BankofCommunicationsChinaCITICBankandChinaMerchantsBankareidentifiedassystemicallyimportantb

9、anksThepapertakesthecurrentacademiccommonmodelS_一CoVaRmodelandcombinedwiththetechnologyofquantileregressionmethodstoputupanempiricalresearchontheriskspillovereffectsof6systemicallyimportantbanksinChinaTheresultsturnoutth

10、at：6systemicallyimportantbanksinourcountrvinatimeofcrisisoftheentirebankingsystemhavegreatriskspillovereffectsThisisconsistentwiththespecialstatusof6systemicallyimportantbanksTheriskspilloverdegreeisalsorelevantwiththesc

11、aleandthebusinessmodelsofbanksduringtheriskperiodThereforethesupervisioninstitutionsshoulddynamicallyadjustthelistofsvstemicallvimportantbanksshouldbeontimeduringthesupervisionofthesebanksBesides，regulatethesystemicallyi