基于宏观审慎监管的银行业流动性压力测试研究

发布时间：2018-07-12 20:38

本文选题：宏观审慎监管 + 压力测试　；参考：《湖南大学》2013年博士论文

【摘要】：2008年爆发的国际金融危机揭示了流动性风险具有很强的传染效应，单家银行出现的流动性危机可能引发其他银行的连锁反应，特别是如果出现流动性危机的银行与其他金融机构具有较高关联性时，更易引发系统性金融风险。因此，稳健的流动性风险监管对于单家银行的持续经营和整个银行体系的安全稳定都是至关重要的。论文对危机后各国流动性风险监管新动向进行综述发现：各国监管当局开始探索宏观审慎监管框架下的银行流动性监管模式，重点关注宏观经济因子冲击下的银行流动性挤兑现象以及银行间流动性风险的传染与反馈效应，进而评估流动性风险对系统性风险和整个金融体系稳定性的影响。《巴塞尔协议Ⅲ》的颁布表明，各国监管部门未来对银行业流动性风险的监管将朝着可计量化和可操作化方向发展，在此过程中，流动性压力测试方法是其进行分析评估的关键工具，也是实施流动性监管的重要依据。流动性压力测试方法能够帮助银行评估在极端条件下的流动性供求情况，促使其适时做出应急方案，故危机后逐渐受到关注。但就目前我国的实施现状来看，国内商业银行的流动性压力测试更近于敏感性分析而非情景测试，一是情景设计过于简单随意，，二是没有与宏观经济和金融市场环境相挂钩，这使得压力测试往往流于形式。对此，论文构建了银行流动性挤兑的压力测试模型，着重探讨宏观经济因子冲击导致的银行业流动性挤兑问题，通过运用KMV模型计算压力情景下商业银行违约率的变化，进而量化商业银行违约率与活期存款流失之间的关系。相对于目前流动性压力测试任意设置参数的做法，采用风险模型量化违约率以及存款流失率等参数将显得较为合理。论文以我国上市银行为样本进行了流动性压力测试实证分析，结果表明我国银行体系存在较为明显的流动性期限错配现象，部分商业银行短期内流动性压力较大。由于宏观审慎监管重点关注银行间流动性风险的传染效应，故本文采用压力测试方法对此进行了研究。近年来，我国同业拆借市场迅速发展，已成为银行间流动性头寸调剂的主要场所，同时也成为流动性风险传染的重要渠道。本文通过对我国银行同业拆借市场上流动性风险传染的实证研究发现：当银行体系出现大规模流动性冲击时，会导致拆借市场交易量的迅速萎缩，且很难恢复到冲击前的水平，并可能造成部分银行倒闭；而在小规模流动性冲击下，流动性风险具有收敛性，市场交易量会逐步恢复到平稳状态。这说明：我国银行间同业市场本身具有一定的稳定性和风险分散性，但由于我国国有商业银行的规模效应，其一旦发生流动性挤兑问题，则会对整个同业拆借市场造成巨大的流动性冲击，导致流动性风险和恐慌情绪的蔓延。因此，对系统重要性银行实施更为审慎的流动性监管是必要的。宏观审慎监管的内容不仅涵盖对流动性风险的量化评估，也涵盖流动性风险爆发后的危机救助和处理机制。关于流动性救助，学术界历来存在很大的争议。论文对此次金融危机后各国救助实践的研究发现，系统性风险防范是政府考虑决定是否提供流动性救助的主要因素，其被关注程度超过道德风险。由于中央银行担负维护金融稳定、货币政策实施者和最后贷款人的多重职能，故其在银行业流动性救助中应居于实施主体地位。在此基础上，本文探讨了流动性救助机制的构建，包括流动性救助对象的甄别、救助方式的选择，建设性模糊的运用以及救助措施的退出机制等。要通过压力测试完善对流动性风险的审慎监管，需要从宏观和微观两个层面对相应的环境和制度建设进行推进。从宏观层面，监管当局应明确流动性风险管理策略、构建宏观压力测试体系、完善货币政策对银行体系流动性的调控机制并健全流动性救助和危机处理机制；从微观层面，单家银行应完善其流动性风险管理架构、优化存贷款期限结构和流动性资产储备、在技术上提高流动性压力测试的精确性并做出必要的应急预案。
[Abstract]:The international financial crisis broke out in 2008 revealed that liquidity risk has a strong contagion effect . The liquidity crisis in a single bank may trigger a chain reaction of other banks , especially if a bank with liquidity crisis has a high relevance with other financial institutions , it is more likely to trigger systemic financial risks . Therefore , a sound liquidity risk regulation is essential to the continuous operation of a single bank and the security and stability of the entire banking system .

This paper reviews the new trends of liquidity risk supervision in post - crisis countries : the supervision authorities of various countries begin to explore the bank liquidity supervision model under the macro - prudential supervision framework , pay attention to the influence of liquidity risk on the systemic risk and the stability of the whole financial system , and then evaluate the impact of liquidity risk on the systemic risk and the stability of the whole financial system .

The test method of liquidity pressure can help banks to assess the liquidity supply and demand under extreme conditions and prompt them to make contingency plans in due course . However , in view of the current situation of our country , the liquidity pressure test of domestic commercial banks is more close to sensitivity analysis than situational testing .

In this paper , the paper constructed a pressure test model of bank liquidity squeeze , focused on the bank liquidity squeeze caused by the impact of macro - economic factors , and then quantified the relationship between the default rate of commercial banks and the loss of demand deposits by using the KMV model to calculate the change of the default rate of commercial banks .

Since the macro - prudential regulation focuses on the contagion effect of inter - bank liquidity risk , this paper makes a study on the pressure test method . In recent years , China ' s interbank borrowing market has been developed rapidly , and has become the main venue for liquidity risk infection .
Under the impact of small - scale liquidity , the liquidity risk has convergence , and the market volume will gradually return to the steady state . This indicates that the market itself has certain stability and risk dispersion . However , the liquidity risk and the spread of panic emotion can be caused by the scale effect of the state - owned commercial banks in China . Therefore , it is necessary to implement more prudent liquidity supervision to the systemically important banks .

The macro - prudential regulation not only covers the quantitative assessment of liquidity risk , but also covers the crisis rescue and treatment mechanism after liquidity risk .

At the macro level , the supervisory authority should make clear the management strategy of liquidity risk , build the macro - pressure test system , perfect the regulation mechanism of monetary policy on the liquidity of the banking system and perfect the liquidity assistance and crisis management mechanism .
From the micro level , the single bank should perfect its liquidity risk management structure , optimize the loan term structure and liquidity asset reserve , improve the accuracy of the liquidity stress test and make the necessary emergency plan technically .
【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.33

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