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MBA毕业论文_行理财产品收益率曲线构建及宏观影响因素研究PDF

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近年来,我国银行理财业务发展迅速。截止2018年末,银行理财产品 余额超过30万亿元,银行理财产品成为传统的金融产品之外满足投资者需 求的主要产品。在金融供给侧结构性改革的背景下,利率市场化改革不断深 化,银行理财产品收益率曲线的形态表现既与产品内部有关,更与外部宏观 经济变化、政策调整有者密切的关系。目前,国内商业银行、金融监管部门、 理财投资者等相关方对银行理财产品收益率曲线的认知尚处于初始阶段。 随着银行理财业务的不断发展,投资的范围不断扩大,对实体经济发展的支 持会更多,与市场经济的联系也更加紧密。因此,对银行理财产品收益率曲 线的研究越发显得重要和迫切。 本文的主要研究内容如下:首先,本文介绍我国银行理财业务的发展概 况,并基于收集的2015年1月至2018年12月19家上市银行理财产品数 据,通过三次平滑样条法构建银行理财产品收益率曲线。其次,理论分析银 行理财产品收益率曲线的外部和内部影响因素;最后,以理论分析为基础, 将选取的影响因素作为自变量,以主成分分析法提取收益率曲线变化的水 平因子、斜率因子等作为因变量,构建多元回归模型,实证分析经济增长、 通过膨胀、存款准备金率和货币供给量对银行理财产品收益率曲线在水平、 斜率等方面的影响。本文的结论是:银行理财产品收益率曲线通过三次平滑 II 样条法构建的效果较好;收益率曲线的水平、斜率等变化受到经济增长、存 款准备金率、货币供给量等宏观经济变量影响。 关键词:银行理财产品;收益率曲线;主成分分析; 宏观影响因素 III RESEARCH ON CONSTRUCTION AND MACRO INFLUENCING FACTORS OF YIELD CURVE OF BANK FINANCIAL PRODUCTS ABSTRACT In recent years, China's banking financial services have developed rapidly. By the end of 2018, the balance of bank financial products has exceeded 30 trillion yuan, and the bank financial products have become the main products to meet the needs of investors in addition to the traditional financial products. Under the background of financial supply side structural reform, the reform of interest rate marketization is deepening, the shape of the yield curve of bank financial products is not only related to the inside of the products, but also closely related to the external macroeconomic changes and policy adjustments. At present, domestic commercial banks, financial regulatory authorities, financial investors and other relevant parties are still in the initial stage of understanding the yield curve of financial products. With the continuous development of banking financial services, the scope of investment is expanding,the support for the development of the real economy will be more and more closely linked with the market economy. Therefore, it is more and more important and urgent to study the yield curve of bank financial products. The main contents of this paper are as follows:firstly, this paper introduces the development of financial services of banks in China, and based on the IV collected data of financial products of 19 listed Banks from January 2015 to December 2018, constructing the yield curve of financial products of banks through cubic smooth spline method. Secondly, this paper theoretically analyzes the external and internal influencing factors of the yield curve of bank financial products. Finally, on the basis of theoretical analysis, taking the selected influencing factors as independent variables and the level factor and slope factor that reflect the change of yield curve extracted from principal component analysis as dependent variables, a multiple regression model is constructed to empirically analyze the influence of economic growth, inflation, deposit reserve ratio and money supply on the level and slope of the yield curve of bank financial products. The conclusions of this paper are as follows: the yield curve of bank financial products is well constructed by cubic smooth spline method, and the level and slope of the yield curve are affected by macroeconomic variables such as economic growth, deposit reserve ratio and money supply. KEY WORDS: Bank financial products; Yield curve; Principal component analysis; Macro influencing factors V 目 录 摘要 .................................................................. I ABSTRACT .............................................................. III 第一章 绪 论 1.1研究背景及意义 ........................................................ 1 1.1.1研究背景 ............................................................ 1 1.1.2研究意义 ............................................................ 2 1.2研究方法、内容与论文框架 .............................................. 2 1.2.1研究主要方法 ........................................................ 2 1.2.2研究内容 ............................................................ 3 1.2.3论文框架 ............................................................ 4 1.3论文的创新点 .......................................................... 5 第二章 相关理论、方法与文献回顾 2.1相关理论回顾 .......................................................... 6 2.1.1预期理论 ............................................................ 6 2.1.2流动性偏好理论 ...................................................... 6 2.1.3投资组合理论 ........................................................ 7 2.1.4生命周期理论 ........................................................ 7 2.2 收益率曲线构建的主要方法 .............................................. 8 2.3文献综述 .............................................................. 9 2.3.1国内外文献综述 ...................................................... 9 2.3.2文献评述 ........................................................... 15 第三章 我国银行理财业务总体概述 3.1银行理财业务发展历程 ................................................. 16 3.1.1 2002-2005的初始尝试阶段 ........................................... 16 3.1.2 2005-2008的探索发展阶段 ........................................... 16 3.1.3 2009-2012的扩大规模迅速发展阶段 ................................... 17 3.1.4 2013-至今的规范化转型阶段 .......................................... 17 VI 3.2银行理财业务发展现状与趋势 ........................................... 19 3.2.1理财产品的存续与运作 ............................................... 19 3.2.2理财产品的发行与分布 ............................................... 21 3.2.3理财产品的投资者与投资范围 ......................................... 23 3.2.4理财子公司的成立 ................................................... 24 3.3银行理财业务主要挑战 ................................................. 26 3.3.1产品与客户投资理念的同期转型 ....................................... 26 3.3.2投研能力与风险管理能力同期提升 ..................................... 26 3.4银行理财业务监管环境 ................................................. 27 第四章 银行理财产品收益率曲线的构建 4.1银行理财产品收益率曲线的构建 ......................................... 28 4.1.1样本来源与数据选取 ................................................. 28 4.1.2相关推断与说明 ..................................................... 29 4.1.3收益率曲线构建 ..................................................... 30 4.2银行理财产品收益率曲线的构建结果评价 ................................. 32 4.2.1理财产品收益率曲线的评价 ........................................... 32 4.2.2理财产品收益率曲线与其他收益率曲线的比较评价 ....................... 33 4.3本章小结 ............................................................. 34 第五章 银行理财产品收益率曲线的影响因素分析 5.1银行理财产品收益率曲线的外部影响因素分析 ............................. 35 5.1.1经济增长对银行理财产品收益率曲线的影响 ............................. 35 5.1.2通货膨胀对银行理财产品收益率曲线的影响 ............................. 37 5.1.3利率对银行理财产品收益率曲线的影响 ................................. 39 5.1.4存款准备金率对银行理财产品收益率曲线的影响 ......................... 42 5.1.5货币供应量对银行理财产品收益率曲线的影响 ........................... 43 5.2银行理财产品收益率曲线的内部影响因素分析 ............................. 44 5.2.1产品构成要素对银行理财产品收益率曲线的影响 ......................... 44 5.2.2投资标的风险对银行理财产品收益率曲线的影响 ......................... 45 5.2.3综合理财能力对银行理财产品收益率曲线的影响 ......................... 46 5.2.4银行预期变化对银行理财产品收益率曲线的影响 ......................... 47 5.3本章小结 ............................................................. 48 VII 第六章 银行理财产品收益率曲线的宏观影响因素实证分析 6.1银行理财产品收益率曲线的主成分分析 ................................... 49 6.1.1数据来源与样本选择 ................................................. 49 6.1.2变量选取 ........................................................... 49 6.1.3主成分分析法介绍 ................................................... 50 6.1.4实证分析 ........................................................... 51 6.2银行理财产品收益率曲线宏观影响因素的多元回归分析与检验 ............... 54 6.2.1数据来源与变量选取 ................................................. 55 6.2.2研究的主要方法 ..................................................... 55 6.2.3单位根检验 ......................................................... 56 6.2.4水平因子影响因素的多元回归分析 ..................................... 56 6.2.5斜率因子影响因素的多元回归分析 ..................................... 57 6.2.6协整关系检验 ....................................................... 59 第七章 研究结论与建议 7.1研究结论 ............................................................. 61 7.2银行金融机构的建议 ................................................... 62 7.2.1关注财经时政,掌握宏观信息 ......................................... 62 7.2.2创新产品设计,提高科学定价能力 ..................................... 62 7.2.3整合资源优势,提升风险管理能力 ..................................... 62 7.2.4重视服务品质,增强综合竞争软实力 ................................... 63 7.3金融监管机构的建议 ................................................... 63 7.3.1健全监管体系,完善业务数据来源 ..................................... 63 7.3.2灵活政策工具,引流实体经济 ......................................... 64 7.4理财投资者的建议 ..................................................... 64 7.4.1关注理财投向,增强风险意识 ......................................... 64 7.4.2主动管理为主,把握收益动态 ......................................... 65 7.5研究展望 ............................................................. 65。。。。。。以下内容略