中国证券行业宏观审慎监管研究

发布时间：2018-01-10 17:34

本文关键词：中国证券行业宏观审慎监管研究　出处：《湖南大学》2012年博士论文　论文类型：学位论文

【摘要】：美国金融危机爆发并席卷全球后,世界各国纷纷推出大规模的救市方案、经济刺激计划,制订并实施新的金融监管改革法案,以拯救陷于崩溃边缘的金融体系,处置并防范系统性金融风险。全球金融监管机构也加强了国际金融监管改革的合作与协调,新巴塞尔资本协议(“巴塞尔Ⅲ”)应运而生。针对此次金融危机暴露出来的金融体系顺周期性、金融机构风险传染性等特征,“巴塞尔Ⅲ”着力通过构建宏观审慎金融监管框架以防范系统性金融风险,增强金融体系的稳健性。“巴塞尔Ⅲ”提出的宏观审慎金融监管框架立足于商业银行监管,但是在西方国家混业经营、功能性监管的金融体系里,宏观审慎监管的对象涉及整个金融体系。对于实行金融分业经营、机构监管的我国来说,在全球金融监管改革纵深推进、国内金融机构综合经营步伐加快的背景下,构建涵盖银行、证券和保险等金融体系的宏观审慎监管框架将是我国金融监管改革的重要内容。作为资本市场的主要中介机构和重要的机构投资者,证券公司在追求利润最大化的过程中,其经营管理行为无疑也存在和商业银行类似的顺周期性特征。净资本比率是证券公司风险业务的集中反映,以我国45家证券公司为样本建立的面板数据模型进行的回归分析表明,我国证券公司净资本比率存在明显的顺周期性。证券公司的自营、经纪、资产管理等业务也存在顺周期性特征,而公允价值会计计量方法以及外部信用评级则加剧了证券公司的顺周期性。同时,运用Copula函数对我国8家主要上市证券公司股价收益率进行的相关性分析发现,我国证券公司股价收益率之间存在明显的上尾相依性与下尾相依性,这表明我国证券公司之间存在明显的风险传染性。虽然从相关研究文献以及本文的实证研究结果来看,目前我国资本市场的“托宾Q”效应以及财富效应并不明显,但是其对于拓宽企业融资渠道、提高资本配置效率以及产业结构优化等方面的功能不可替代。因此加强宏观审慎监管,缓解证券公司的顺周期性、防止证券行业风险传染与扩散对于增强证券行业稳健性,维护资本市场稳定、健康发展进而促进宏观经济稳定运行具有非常重要的现实必要性。借鉴“巴塞尔Ⅲ”提出的宏观审慎监管有关措施,我国应抓紧构建并完善证券行业宏观审慎监管框架。首先,要构建宏观审慎监管框架,即构建统一的宏观审慎金融监管机构；通过实施逆周期净资本监管机制、动态调整风险资本准备、实行动态杠杆率、建立证券市场稳定基金、改革公允价值会计准则、加强对信用评级机构的监管等措施缓解证券行业的顺周期性；通过加强对重点机构的监管、加强证券行业危机预警与压力测试、健全投资者保护机制、加强表外业务监管、加快金融市场建设等措施防范证券行业风险传染与扩散。此外,还应加强证券行业的自律管理,完善证券公司合作机制、建立明确的惩罚机制以及加强监管信息披露,降低宏观审慎监管过程中的交易成本。总体而言,目前对证券行业实施宏观审慎监管的相关工具与机制的研究尚处于探索与完善阶段。本文立足于后金融危机时期全球金融监管改革的大背景,借鉴“巴塞尔Ⅲ”有关宏观审慎监管措施,力图为构建我国证券行业宏观审慎监管的基本框架、完善证券公司监管制度提供政策建议。
[Abstract]:The United States and the outbreak of the financial crisis swept the world, all the countries in the world have launched a massive bailout plan, economic stimulus plan, formulate and implement the new financial regulatory reform bill, to save a financial system on the verge of collapse, and disposal to prevent systemic financial risks. The global financial regulatory agencies to strengthen cooperation and coordination of international financial regulatory reform and the new Basel Capital Accord ("Basel III") came into being. The procyclicality of the financial crisis exposed in the financial system, financial institutions, the risk of infectious and other features, "Basel III" efforts by building to prevent systemic financial risks of macro Prudential financial regulatory framework, strengthening the soundness of the financial system. "Basel III" proposed macro Prudential Financial Regulatory Framework Based on the supervision of commercial banks in western countries, but mixed operation, functional supervision of the financial system In the system, the object of macro prudential regulation relates to the entire financial system. For the implementation of financial management, China's institutions, in the global financial regulatory reform, comprehensive management of domestic financial institutions to speed up the pace of the construction background, covering banking, securities and insurance and other financial macro prudential regulatory framework will be an important content China's financial regulatory reform.
As the main capital market intermediaries and important institutional investors, securities companies in the pursuit of profit maximization process, its management behavior is also commercial banks and similar Pro cyclical features. Net capital ratio is the business of securities companies risk concentration reflected in 45 securities companies in China for regression panel data sample model analysis shows that China's securities companies net capital ratios are significantly procyclical. Securities companies proprietary trading, brokerage, asset management and other business procyclical, and fair value accounting method and external credit rating will exacerbate procyclicality of securities companies at the same time. Using Copula function, analysis of China's 8 major listed securities company stock return rate correlation, China's securities companies between stock returns are obvious on the tail Dependency and tail dependence, which indicates the presence of significant risk of infectious among securities companies in China. Although the relevant literature and the results of empirical research, at present, China's capital market "Tobin Q" effect and the wealth effect is not obvious, but to broaden the financing channels for enterprises to improve the allocation of capital the efficiency and optimization of industrial structure and the irreplaceable function. Therefore strengthen macro prudential supervision, securities companies alleviate the procyclicality of the securities industry, to prevent the risk of infection and spread of the securities industry to enhance the robustness, maintain the stability of the capital market, and promote the healthy development of economic stability has very important realistic necessity.
From the "Basel III" put forward relevant measures of macro prudential regulation, China should pay close attention to the construction and perfection of the securities industry macro prudential regulatory framework. Firstly, to construct the macro prudential regulatory framework, namely the construction of unified macro Prudential Financial supervision institutions; through the implementation of countercyclical net capital regulation mechanism, dynamic adjustment of venture capital to implement dynamic leverage to establish a stable funds rate, stock market reform, fair value accounting, strengthen the supervision of credit rating agencies and other measures to alleviate the securities industry procyclicality; by strengthening the focus on supervision, strengthen the securities industry crisis warning and pressure test, improve investor protection mechanism, strengthen the supervision of OBSA, speeding up the construction of financial markets. Measures to prevent the risk of infection and spread of the securities industry. In addition, we should strengthen the self-discipline management of the securities industry, improve the securities company cooperation mechanism, Establish a clear mechanism of punishment and strengthen the disclosure of regulatory information to reduce transaction costs in the process of macro prudential supervision.
Overall, the present research on the securities industry related to the implementation of macro Prudential tools and the mechanism is still in the exploration and improvement stage. This paper is based on the background of the global financial regulatory reform after the financial crisis, from the "Basel III" macro prudential measures, so as to construct the basic framework of China's securities industry macro prudential supervision and provide policy suggestions to improve the supervision system of the securities company.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】