影子银行监管的博弈模型分析

发布时间：2018-01-01 22:39

本文关键词：影子银行监管的博弈模型分析　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：“影子银行”是指正规银行体系之外的机构和业务构成的信用中介，这些中介不受传统监管体系的监管，可能引发系统性风险和监管套利等问题。影子银行的发展加快了金融创新，提高了资源配置效率。但是如同金融危机中显示的那样，当影子银行进行类似银行的信用转换和杠杆操作等活动时，它就可能成为系统性风险的来源。金融危机爆发以来，，影子银行的风险和监管问题越来越受到关注，不少学者认为影子银行是引发危机的重要原因。本文首先对影子银行的概念和特点进行了阐述，讨论了影子银行对金融系统的影响。其次分别介绍了美国、英国和金融稳定委员会针对影子银行提出的监管措施，以及中国的影子银行现状和监管对策。然后本文结合影子银行的实际情况，重点考虑不受管制的私人货币创造易使系统受到金融风险的冲击，建立了一个关于消费者、银行、耐心投资者和政府的多阶段动态博弈模型，对各参与者的博弈过程和行为选择进行分析。模型结果显示，对于项目出现不利信号时消费者提前收回投资可得到的支付率r，不受政府监管的银行会选择一个偏低的r，并导致一个高水平的货币创造数量M。该货币创造水平对社会来说并不是最优的，会影响货币政策的效果，而且给整个系统带来风险。如果政府进行干预和监管，以社会效用最大化为目标，规定银行对提前收回投资消费者的支付率不得低于r*，则可以实现银行创造的货币数量M的减少，达到宏观调控的目标。
[Abstract]:"Shadow banking" refers to the credit intermediation of institutions and businesses outside the formal banking system, which are not regulated by the traditional regulatory system. The development of shadow banking has accelerated financial innovation and improved resource allocation efficiency. But as the financial crisis has shown. Shadow banking is likely to be a source of systemic risk when it carries out activities such as credit conversion and leverage operation. Since the financial crisis, the risk and supervision of shadow banking has been paid more and more attention. Many scholars believe that shadow banking is an important cause of the crisis. This paper first expounds the concept and characteristics of shadow banking, discusses the impact of shadow banking on the financial system, and then introduces the United States. The regulatory measures proposed by the UK and the Financial Stability Board for shadow banking, as well as the status quo and regulatory measures of shadow banking in China. Then this paper combines the actual situation of shadow banking. Focusing on unregulated private money creation, which makes the system vulnerable to financial risks, a multi-stage dynamic game model for consumers, banks, patient investors and governments has been established. The game process and behavior choice of each participant are analyzed. The results of the model show that the banks that are not regulated by the government will choose a lower r for the rate of payment that the consumer can get when there is a bad signal in the project. It also leads to a high level of money creation, which is not optimal for society and will affect the effectiveness of monetary policy. If the government intervenes and supervises, with the aim of maximizing social utility, banks should not pay less than r* for consumers who withdraw their investments in advance. The amount of money created by banks can be reduced, and the goal of macro-control can be achieved.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.39;F224.32

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