中国宏观审慎监管框架研究

发布时间：2018-06-03 03:38

本文选题：宏观审慎监管 + 系统性风险测度　；参考：《南开大学》2013年博士论文

【摘要】：二十一世纪以来的全球性金融危机和最近爆发的发达国家主权债务危机都和监管失灵有关,其本质原因在于危机前各个国家均秉承单个金融机构稳健则整个金融体系稳健的微观审慎监管理念。而实际上,金融机构的运营往往具有较强的负外部性,尤其在该金融机构与外界过度关联且参与较多复杂衍生品交易而导致杠杆率过高时,更是如此。鉴于金融监管的重大缺陷,新的监管理念便应运而生,这集中体现在Basel Ⅲ的推出及各个国家监管当局对自身监管格局的改革。因此,可以说宏观审慎监管无疑是当前金融实践领域最引人入胜的话题。中国金融体系虽然在国际金融危机中没有遭受直接的冲击,但其金融体系仍然存在较大的系统性风险隐患,具体表现在中国的高房价、影子银行体系和地方政府融资平台等。向前5-10年,中国的利率市场化改革、汇率市场化改革、经济增长方式转变及新型城镇化、金融开放、金融控股公司主导下的混业经营等新的制度变革和市场改革必将给金融稳定带来较大的冲击。因此,研究中国的宏观审慎监管框架有着很重要的现实意义,这正是本文的研究主题所在。本文首先对国内外关于宏观审慎监管框架的相关文献进行述评,主要涵盖系统性风险测度的分类、影子银行体系、宏观审慎工具实践和宏观审慎政策的协调等方面。紧接着,本文介绍了Basel Ⅰ至Basel Ⅲ的监管理念转变并以此引入宏观审慎监管框架。宏观审慎监管框架包含五个要素：宏观审慎监管的目标、系统性风险监测、影子银行体系、宏观审慎工具、制度安排和政策协调。其中,宏观审慎监管的目标是框架的前提,系统性风险监测和影子银行体系则为框架的主体,前者是对传统金融体系的风险监测,后者则为更广义金融体系的风险监测。最后两个要素则是框架的目的,其属于对系统风险进行防范和监管的范畴。本文在宏观审慎监管框架中还着重介绍了宏观压力测试方法(针对系统性风险时间维度)和基于CCA调整的三部门资产负债表关联法(针对系统性风险横截面维度)。对于宏观审慎监管框架的主体之一,本文主要是提出了三种系统性风险测度方法对我国金融体系系统性风险进行测算。首先,第四章介绍了简式法,主要实现过程如下：通过构建包含银行和政府监管当局的两期微观模型得出金融机构的系统性期望损失是度量其系统性风险贡献的指标；鉴于系统性危机发生的低频性和监测需要前瞻性等,本文通过常规时期的金融机构边际期望损失和杠杆率对其进行预测。实证过程中,本文通过变换危机定义区间、边际期望损失指标及预测样本对预测效果进行稳健性检验。其次,第五章提出了综合法,主要实现过程如下：在简式法的基础上,通过DCC-GARCH和蒙特卡洛模拟方法对我国金融机构的系统性期望损失进行单期和多期预测,并以此给出我国金融体系的系统性风险两个维度的测算。其中时间维度的测算指标为金融体系预测60期发生系统性危机的概率,由于其波动性较大、不稳定,不适宜作为监测指标；而横截面维度测算指标是以系统性期望损失为基础构建的SRISK%指标,其测算结果较为有效,并得出我国部分大型商业银行系统性风险水平最高,大部分股份制商业银行都表现出较强的系统重要性,城市商业银行的系统性风险水平最低。文中还得出系统重要性水平与边际期望损失、杠杆率和资产规模等因素相关,且杠杆率是最重要的因素。最后,第六章提出了结构法,主要实现过程如下：利用Merton期权定价公式得到的系统性违约距离和平均违约距离给出系统性风险的时间维度测算结果；利用各银行的违约距离结合有向无环图技术得到的基于DAG的资产加权风险外溢性指标和基于方程分解的资产加权风险外溢性指标给出系统性风险横截面维度测算结果。结论发现：从时间维度看,我国银行体系系统性风险在2007年9月以后显著增加,且在2008年10月达到最大值,之后逐渐下降,但危机后仍然高于危机前；从横截面维度看,大型国有商业银行的系统重要性最高、股份制商业银行次之、城市商业银行的系统重要性相对较低。本文从方法分类、测算结果、指标设计及测算复杂度等方面对以上三种测算方法进行了详细地对比。对于宏观审慎监管框架的主体之二,本文沿着先分析发达国家影子银行体系,再探讨我国影子银行体系的思路进行研究。在分析发达国家影子银行体系时,本文主要研究了影子银行信用中介过程、基于此中介过程的影子银行监管原因分析、影子银行的监测和监管。影子银行中介过程通过为贷款发起、贷款仓储、ABS发行、ABS仓储、ABS CDO发行、ABS中介和批发融资等七个环节行使类似于传统银行的信用、期限、流动性转换功能,且本质上将风险资产转移成风险不敏感的高流动性负债(类货币)。本文基于影子银行发行的类货币负债(主要原因在于私人部门的流动性和信用担保,且存在信息不对称及信息摩擦)基础之上构建了包含效率水平的金融机构、传统银行和影子银行的三个金融机构风险决策模型来解释需要对影子银行进行监管的理由。模型发现,由于影子银行发行的负债为风险非敏感性,其承担了超过了发行风险敏感负债的有效率金融机构水平的资产风险、杠杆率及流动性风险。另外,相对于传统银行来说影子银行不受资本金监管,这导致了在正常时期影子银行承担了比传统银行更高的资产风险、杠杆率及流动性风险。因此,需要对影子银行进行监管。监管的前提是对影子银行的系统性风险进行监测,为此可以通过逐步深入的方法：对整个影子银行体系的运行特征进行宏观认识和把握：识别影子银行体系的系统性风险因子和监管套利；对影子银行体系的系统性风险和(或)监管套利详细评估。在对影子银行体系的监测之后,需要从以下五个领域对影子银行进行监管：常规银行体系和影子银行体系的相互作用；货币市场基金；除货币市场基金以外的其它影子银行实体；证券化；证券借贷和回购。发达国家的影子银行体系在表现形式、融资模式、运行机制、规模、投资标的及杠杆率等方面和我国有较大的不同,因此需要针对性地研究我国的影子银行体系。研究发现,我国影子银行体系的最重要组成部分是银行表外理财业务,且由于以下三个原因导致其最近几年迅速扩张：投资者财富的增加、收入差距的拉大以及有限的保值增值投资渠道等因素促使了对银行理财产品的需求快速增加；实体经济尤其是中小企业对资金需求已经远远超过有限的银行信贷；银行监管套利动机驱使银行理财产品的迅速发展。银行表外理财业务飞速发展是我国利率市场化的外在表现。银行理财产品业务的风险包括期限错配导致的流动性风险、影子银行中介机构的通道风险、资产池对应的信用风险、银行理财产品缺乏托管的操作风险、以及银行对其理财产品的隐形担保所承担的声誉风险和市场风险。因此,应对我国影子银行的以上风险进行相应的监管,宜疏不宜堵。对于宏观审慎监管框架的目的研究,本文主要侧重于研究宏观审慎工具及其协调机制。本文利用IMF对各个国家实施的宏观审慎工具的调查数据分析了宏观审慎工具的类型、使用方法及有效性,并基于此探讨了我国的宏观审慎监管实践。宏观审慎工具主要包括信贷相关、流动性相关和资本金相关等三类,使用方法一般是多种工具联合使用方式、不针对具体目标的使用方式以及相机抉择的使用方式。经济发展程度低、金融部门规模小、固定汇率制度及资本流动冲击大的国家使用宏观审慎工具的频率更高。对宏观审慎工具有效性的研究发现大部分宏观审慎工具是有效的。基于以上结论,本文探讨了我国宏观审慎工具针对房地产价格风险的有效性,并提出了相应的政策建议。在研究宏观审慎工具的协调机制时,本文先研究了宏观审慎工具的传导机制及宏观审慎政策与货币政策的相互作用。与货币政策的传导机制不同的是,宏观审慎政策的传导机制与宏观审慎工具以及金融周期相关。三种紧缩的宏观审慎政策工具都能有效地进行传导,且市场参与者的预期因素在其中起着非常重要的作用。宽松的宏观审慎政策传导机制,应区分危机时期和非危机时期：非危机时期紧缩的宏观审慎政策是有效的,且传导机制和紧缩的宏观审慎政策完全相反；危机时期的宽松宏观审慎政策依赖于“棘轮效应”存在的程度。当“棘轮效应”存在时,宽松的宏观审慎政策是有效的；当“棘轮效应”不存在时,宽松的宏观审慎政策的实施效果类似于衰退时期的货币政政策,效果并不理想。另外,预期因素使得宽松的货币政策具有一定的有效性。宏观审慎政策和货币政策是相互作用的：宏观审慎政策的执行有利于危机时期的货币政策的传导,且避免其陷入0下界风险；货币政策通过影响借款抵押限制、银行风险承担渠道、资产价格负外部性和汇率负外部性,从而影响金融稳定。本文利用中国银行业数据研究了银行的风险承担渠道,并基于此分析了货币政策与宏观审慎政策的协调问题。
[Abstract]:The global financial crisis since twenty-first Century and the recent outbreak of the sovereign debt crisis in developed countries are all related to regulatory failure. The essential reason is that every country before the crisis has adhered to the prudent and prudent micro prudential supervision concept of the whole financial system by the sound of a single financial institution. In fact, the operation of financial institutions is often more than that. The strong negative externality is especially true when the financial institution is overly associated with the outside world and participates in more complex derivatives trading, which is especially true. In view of the major defects in financial regulation, the new regulatory concept emerges as the times require, which is reflected in the introduction of Basel III and the change in the regulatory framework of various national regulatory authorities. Therefore, it can be said that macro prudential supervision is undoubtedly the most fascinating topic in the current field of financial practice. Although China's financial system has not suffered a direct impact in the international financial crisis, its financial system still has a large systematic risk of risk, specifically in China's high house prices, the shadow banking system and the local government. In the past 5-10 years, China's interest rate marketization reform, exchange rate marketization reform, the transformation of economic growth mode and new urbanization, financial opening, and market reform led by financial holding companies are bound to bring a greater impact on the financial stability. Therefore, the macro prudence of China is studied. The regulatory framework has a very important practical significance, which is the theme of this study.
This article reviews the relevant literatures about the macro prudential regulatory framework at home and abroad, mainly covering the classification of systematic risk measurement, the shadow banking system, the macro Prudential tool practice and the coordination of macro Prudential policy. The paper then introduces the transformation of the regulatory concept of Basel I to Basel III and introduces the macro trial to the macro trial. Prudential framework. The macro prudential regulatory framework consists of five elements: macro Prudential objectives, systematic risk monitoring, shadow banking system, macro Prudential tools, institutional arrangements and policy coordination. The latter is the risk monitoring of the traditional financial system, and the latter is the risk monitoring of the broader financial system. The last two elements are the purpose of the framework, which belongs to the category of prevention and supervision of the system risk. In this paper, the macro pressure testing method is also introduced in the macro Prudential framework (for the systematic risk time dimension). And CCA based adjustment of the three sector balance sheet correlation method (for systemic risk cross-sectional dimensions).
For one of the main bodies of the macro prudential regulatory framework, this paper mainly proposes three systematic risk measurement methods to measure the systemic risk of our financial system. First, the fourth chapter introduces the simplified method. The main realization process is as follows: through the construction of two micro models including the bank and the government regulatory authorities, the financial institutions are obtained. Systematic expectation loss is an index to measure the contribution of systemic risk. In view of the low frequency of systemic crisis and the prospect of monitoring, this paper forecasts the marginal expectation loss and leverage ratio of the regular period financial institutions. In the empirical process, the definition interval of transformation crisis is passed, marginal expectation loss refers to Secondly, the fifth chapter puts forward the comprehensive method, and the main realization process is as follows: on the basis of the simplified method, the systematic expectation loss of our financial institutions is predicted by DCC-GARCH and Monte Carlo simulation method, and the system of our financial system is given. The measurement index of the time dimension is the probability of predicting the systemic crisis in the 60 phase of the financial system, because of its large volatility, instability and unsuitable as the monitoring index, and the measurement index of the cross section dimension is the SRISK% index based on the systematic expected loss as the basis, and its calculation results are more effective. The system risk level of some large commercial banks in China is the highest, and most of the joint-stock commercial banks show strong systematic importance. The systematic risk level of urban commercial banks is the lowest. The paper also concludes that the system importance is related to the marginal expectation loss, the leverage ratio and the asset scale, and the leverage ratio. It is the most important factor. Finally, the sixth chapter puts forward the structure method. The main implementation process is as follows: the systematic default distance and the average default distance obtained by the Merton option pricing formula give the calculation results of the time dimension of systematic risk, and use the default distance of each bank to get the capital based on the DAG based on the acyclic graph technology. The results of systematic risk cross section are given by weighted risk spillover index and asset weighted risk spillover index based on equation decomposition. Conclusion: from the time dimension, the systemic risk of China's banking system increased significantly after September 2007, and reached the maximum in October 2008, and then gradually declined, but the crisis was declining. It is still higher than before the crisis; from the cross section dimension, the system importance of the large state-owned commercial banks is the highest, the joint stock commercial banks are second, and the systematic importance of the urban commercial banks is relatively low. The above three methods are discussed in detail from the classification of the methods, the calculation results, the index design and the calculation complexity. Ratio.
Two of the main body of the macro prudential regulatory framework, this paper studies the shadow banking system in the developed countries. In the analysis of the shadow banking system in developed countries, this paper mainly studies the process of the shadow banking credit intermediary, and the reasons for the shadow banking supervision based on this intermediary process. Analysis, shadow banking monitoring and supervision. The shadow banking intermediary process has seven links, such as loans, loan warehousing, ABS distribution, ABS storage, ABS CDO distribution, ABS intermediary and wholesale financing, which are similar to the traditional banks' credit, time limit, liquidity conversion function, and essentially transfer risk assets into risk insensitive high liquidity. Liability (class money). Based on the type of currency debt issued by the shadow Bank (mainly due to the liquidity of the private sector and credit guarantee, and the existence of information asymmetry and information friction), a financial institution including the efficiency level is constructed, and the three financial institutions of the traditional banks and the shadow banks are used to explain the needs of the financial institutions. The reason for the regulation of shadow banks is that, as the debt issued by the shadow bank is unsensitive to risk, it undertakes asset risk, leverage and liquidity risk beyond the level of efficient financial institutions that issue risk sensitive liabilities. In addition, shadow banks are not subject to capital regulation, compared with the traditional banks. It leads to the higher risk, leverage and liquidity risk of the shadow banks in the normal period. Therefore, the shadow banking needs to be supervised. The premise of the supervision is to monitor the systematic risks of the shadow banks, so that the running characteristics of the shadow banking system can be carried out through a gradual and in-depth method. To recognize the systemic risk factors and regulatory arbitrage of the shadow banking system; the systematic risk and / or regulatory arbitrage of the shadow banking system. After monitoring the shadow banking system, the shadow banking system needs to be monitored from the following five areas: the conventional banking system and the shadow banking system The interaction of the system; money market funds; other shadow banking entities other than the money market fund; securitization; securities lending and repurchase. The shadow banking system of developed countries is quite different from that of our country in the form, financing mode, operating mechanism, scale, investment standard and leverage ratio. The research shows that the most important part of the shadow banking system in China is that the bank's financial management is the most important part of the banking system, and the following three reasons lead to the rapid expansion of its recent years: the increase of investor wealth, the widening of the income gap and the limited value and value added investment channels. The demand for banking financial products has increased rapidly; the real economy, especially the small and medium-sized enterprises, has far exceeded the limited bank credit, and the bank supervision arbitrage motivates the rapid development of the bank's financial products. The rapid development of the bank's external financial services is the external manifestation of the interest rate marketization in China. Risk includes liquidity risk caused by mismatch of time limit, channel risk of shadow banking agency, credit risk of asset pool, lack of managed operational risk of bank financial products, reputation risk and market risk of bank's stealth guarantee for its financial products. Therefore, deal with the above risks of China's shadow banking. The appropriate supervision should not be blocked.
For the purpose of macro prudential regulatory framework, this paper mainly focuses on the study of macro Prudential tools and their coordination mechanisms. This paper analyses the types, methods and effectiveness of macro Prudential tools, using the survey data of macro Prudential tools implemented by IMF in various countries, and discusses the practice of macro prudential supervision in China based on this. The macro Prudential tools mainly include three types of credit related, liquidity related and capital related. The use method is generally used by various tools, not the use of specific targets and the use of discretion. The economic development is low, the financial sector is a small model, the fixed exchange rate system and capital flows have a large impact. The use of macro Prudential tools is higher in the country. A study of the effectiveness of macro Prudential tools has found that most macro Prudential tools are effective. Based on the above conclusions, this paper discusses the effectiveness of China's macro Prudential tools on real estate price risks and puts forward corresponding policy recommendations.
In the study of the coordination mechanism of macro Prudential tools, this paper first studies the transmission mechanism of macro Prudential tools and the interaction between macro Prudential policy and monetary policy. Different from the transmission mechanism of monetary policy, the transmission mechanism of macro Prudential policy is related to the macro Prudential tool and the financial cycle. Three kinds of austerity macro prudence. Policy tools can be carried out effectively, and the expected factors of market participants play a very important role. Loose macro Prudential policy transmission mechanism should distinguish between crisis period and non crisis period: the macro Prudential policy in non crisis period is effective, and the transmission mechanism and tight macro Prudential policy are complete. On the contrary, the loose macro Prudential policy in the crisis period depends on the extent of the "ratchet effect". When the ratcheting effect exists, the loose macro Prudential policy is effective; when the ratcheting effect does not exist, the effect of the loose macro Prudential policy is similar to the monetary policy of the recession period, and the effect is not satisfactory. In addition, the expected factors make the loose monetary policy effective. Macro Prudential policy and monetary policy interact: the implementation of macro Prudential policy is conducive to the transmission of monetary policy in the crisis period and avoids the risk of falling into the 0 lower boundary; monetary policy affects the risk of bank risk by affecting the loan mortgage restrictions. The negative externality of the asset price and the negative externality of the exchange rate affect the financial stability. This paper uses the data of China's banking industry to study the banks' risk bearing channels, and analyzes the coordination between monetary policy and macro Prudential policy based on this.
【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】：F832.1

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