影子银行产品对金融稳定性的影响研究

发布时间：2018-04-05 00:18

本文选题：影子银行系统　切入点：资产证券化　出处：《南开大学》2013年博士论文

【摘要】：2007年发生的美国金融危机造成了对新型金融产品及其中介结构的沉重冲击。自危机发生以来,对本次危机的起因、结果和影响机制的研究逐渐成为金融学研究的重点。而新型金融产品及其中介结构在研究中则以“影子银行系统”这样一个整体性概念出现。作为新兴的流动性和信用创造体系,影子银行系统与传统银行部门紧密相连且功能近似,但是其也有不直接吸收存款、杠杆率高、几乎不受国家金融安全监管、资产期限错配、交易链复杂等自身特性。本次美国金融危机的爆发对世界经济格局和金融体系都产生了深远的影响,金融创新活动对金融中介部门功能和安全设置的影响大幅提升。影子银行系统作为一系列市场流动性和银行流动性相互转化的金融创新产品和市场机制,对其展开多角度研究是反思金融危机爆发原因,研究金融传导机制,更新金融监管方法和手段的重要途径。本文的结构重点在于从创新性金融产品入手,建立短期产品维度为主,长期产品维度为辅的研究安排。对于影子银行系统的已有研究中,关注金融产品影响的研究占有相当数量。但其中对短期金融产品的研究最能体现影子银行系统期限错配、累积金融风险的特性。在本文的研究框架中,重点关注的是ABCP(资产支持商业票据)、repo(回购证券)、MMMF(货币市场共同基金)这三种短期金融产品。 ABCP在传统意义上被认为是“明确的商业银行流动性期权”。对实际数据的观察可以发现：虽然危机期间银行借贷是收缩的,但债券融资却是呈增长趋势的。本文以ABCP为观察对象,建立了贷款与债券之间的替代性关联模型。通过对非金融部门资金流向关系的观察,建立了以美国家庭部门、美国借款人部门、欧洲银行部门为主体的全球资金流动体系,完成了金融危机期间银行借贷和债券融资之间的替代性分析。对危机时期的市场表现进行了较好的拟合与解释说明。 repo在场外交易市场中是借方和贷方之间、证券与现金之间快速转换的重要媒介。回购证券以其期限短、高流动性的特征成为影子银行系统中“现金”的表现形式。通过对repo市场建立溃逃机制分析,既能观测影子银行系统内部产品传染的作用方式,也能体现影子银行系统期限错配的特性。本文基于证券化过程中基础资产的不同组成形式,及其危机时期的不同重组方式选择,对影子银行系统内部长期基础资产崩溃引发短期衍生产品溃逃的连锁反应进行了系统分析。从博弈的观点将影子银行系统溃逃机制归结为危机时期不同的重组方式选择,其中基础资产的不同组成则是重组是否有效的关键因素。通过对美国repo市场建立溃逃机制和杠杆影响分析,并结合欧洲repo市场的变动事实,对全球repo市场交易特性予以说明。在本文中,采取观察MMMF市场表现的方式研究影子银行系统与系统性风险的关联,比较MMMF的不同发行形式对其风险分担机制的影响。将MMMF共分为在美国国内发行和离岸发行两种不同的发行方式,从其流动特征、组织形式、持有者支持和持有者类型等几个方面对风险选择的影响进行讨论。分析结果认为,美国国内发行的MMMF产品不论自身的保险机制设置情况如何,风险性高收益性高的资产是其较为偏好的资产类型。而对于离岸发行的MMMF(以欧洲为代表进行分析),其自身因无保障性支持而风险水平较高,但是欧洲MMMF市场的整体风险水平较高,所以离岸产品的风险性并不显著。所以从整体情况来看,MMMF基础资产包含的风险水平是偏高的,应该在未来的市场操作情况中进一步加以规范。在影子银行系统中,MMMF将传统银行零散的资金进行了整合；证券化(ABCP为其中重要参与者)将传统银行的资产转移到表外,增进了市场流动性；repo将金融交易中的债券变成了新的形式的“货币”。再结合影子银行的定义,可以看出：影子银行系统的基底是ABS、MBS等资产证券化的债务融资,通过ABCP、repo、MMMF等金融产品实现了其流动性和期限的转化。而影子银行信用中介流程中也包含了CDO、CDS等其他类型的金融产品,通过影子银行系统的交易链,将上述产品整合成为信用创造的过程。通过上述对国外影子银行系统的研究,本文已经对影子银行系统发展的经验和教训有了一定的掌握。那么在此基础上,将之与中国的金融中介创新活动进行对照,提出建议和可行的方法也是理论研究的重要实践应用。本次美国金融危机是金融创新活动安全性重建和监管方法改革的契机。中国金融业应借此机会一方面理清已存在的市场风险,提升中国金融产业的市场安全度；另一方面开展与国内市场需求相匹配的金融产品创新活动,抓住这次中国金融系统发展的重要机遇。
[Abstract]:The financial crisis of 2007 caused a heavy impact on the new financial products and intermediaries. Since the crisis, the cause of the crisis, the research results and influence mechanism has gradually become the focus of financial research, and new financial products and intermediaries in the study by the "shadow banking system" this one the whole concept of liquidity and credit system. As a new creation, the shadow banking system and the traditional banking sector are closely linked and function approximation, but it also has no direct deposits, high leverage, is almost not affected by the national financial safety supervision, asset maturity mismatch, the transaction chain complex characteristics.
The US financial crisis has had a far-reaching impact on the world economy and financial system, the impact of the financial innovative activities of the financial intermediary sector function and security settings increased dramatically. As a series of transformation between market liquidity and the liquidity of financial innovation products and the market mechanism of the shadow banking system, multi angle research the reflection of financial crisis, the research on the transmission mechanism of finance, an important way to update financial supervision methods and means.
This paper focuses on the structure starting from the innovation of financial products, the establishment of short-term product dimensions, arranged by studying the long-term product dimensions. For the existing of the shadow banking system, the research pay attention to the influence of financial products account for a considerable proportion. But the studies of short-term financial products can best embody the shadow banking system maturity mismatch, characteristics the accumulated financial risks. In the framework of this study, the focus is ABCP (ABCP), repo (repo), MMMF (money market mutual funds) these three kinds of short-term financial products.
ABCP in the traditional sense is considered to be the "liquidity option" clear commercial banks. To observe the actual data can be found: Although bank lending during the crisis is shrinking, but the bond financing is a growing trend. This paper takes ABCP as the object of observation, the establishment of alternative models for the association between loans and bonds. Through the observation of the non financial sector capital flows to the United States to establish relationships, family department, United States Department of global capital flows the borrower, the European bank department as the main body of the system, completed the analysis of alternative funds between bank lending and financial crisis during the crisis period. The bond market performance fit and well explain that.
Repo in the OTC market is between debit and credit, is an important medium for rapid conversion between securities and cash to repurchase securities. Its short duration, high mobility characteristics of the shadow banking system in the form of "cash". Through the establishment of collapse mechanism of repo market analysis, which can observe the internal effect of shadow banking products the system can also reflect the characteristics of the epidemic, the shadow banking system maturity mismatch. In this paper, different forms of foundation in the process of Asset Securitization Based on choice and crisis different ways of restructuring, the shadow banking system internal long-term asset base triggered the collapse of short-term derivatives flight chain reaction were analyzed. From the view of game the flight mechanism of the shadow banking system is attributed to choose the way of restructuring crisis is different, the different composition of basic assets is whether the restructuring The key factors of efficiency. Through the establishment of flight mechanism and lever effect on American repo market analysis, combined with changes in the European repo market, explains the transaction characteristics of the global repo market.
In this paper, take the related observation of MMMF market performance of the shadow banking system and systemic risk, the risk sharing mechanism of influence of different forms of distribution compared to the MMMF. The MMMF is divided into domestic and offshore issuance in the United States issued two different distribution methods, characteristics, flow from the organization form of Discussion on the influence of the choice of risk holders and holders of several support types. The analysis result indicates that the United States issued MMMF products regardless of insurance mechanism self set to high income high risk assets is the preferred type for offshore assets. The release of the MMMF (European representative analysis) because of its own, no security support and a high level of risk, but the overall risk level is higher in the European MMMF market, so the risk of offshore products is not significant. So from the whole As a matter of fact, the risk level of the MMMF basic assets is high and should be further standardized in the future market operation.
In the shadow banking system, the MMMF will fund the traditional banks scattered were integrated; Securitization (ABCP is one of the important participants) will be the traditional bank transfer of assets to the balance sheet, improve market liquidity; repo financial transactions of bonds into a new form of "money". Combined with the definition of the shadow the bank can be seen: the basement of the shadow banking system is ABS, MBS and other asset securitization debt financing through ABCP, repo, MMMF and other financial products to achieve the transformation of its liquidity and duration. And the credit intermediary process of shadow banking also contains CDO, CDS and other types of financial products through the shadow banking the transaction chain, these products will be integrated into the process of credit creation.
The study of foreign shadow banking system, this paper has experience and lessons for the development of the shadow banking system has a certain grasp. Then on this basis, the financial intermediary and Chinese innovation activities were important, practice suggestions and feasible method and theory research. This is the financial crisis in the United States safety supervision method of reconstruction and reform of financial innovation opportunity. China financial industry should take the opportunity to hand out the existing market risk, improve China financial industry market security; on the other hand to carry out financial product innovation activities to match the demand of domestic market, seize the important opportunity of the China financial system development.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F831.2

【参考文献】