基于宏观审慎视角的银行系统性风险研究

发布时间：2018-03-06 16:38

本文选题：银行系统性风险　切入点：宏观审慎　出处：《安徽财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：由美国次贷危机引发的全球金融危机凸显了关注系统性风险,维护金融稳定的重要性,因此,国际社会对危机的爆发与蔓延进行深入剖析与反思以寻求防范系统性风险的有效方法。在诸多危机动因和引发根源的分析结论中,一个基本共识就是：金融监管体系严重滞后于金融发展是危机产生和蔓延的关键性因素。当前,各国监管者对金融机构进行的微观审慎监管关注的是单个机构的经营状况与风险,并不足以防范金融机构间的关联性和金融体系的顺周期性引发的系统性风险,因而,着眼于整个金融体系的宏观审慎监管成为改革的方向。近年来,我国金融体系整体运行比较稳健,在此次危机中受到的冲击也比较小,但也存在着不容忽视的系统性风险隐患。银行业在我国金融体系中占据核心地位,银行的稳定至关重要,因此,借鉴国际经验,从宏观审慎的角度研究银行系统性风险的生成机制与监管措施是具有前瞻性意义的。本文遵循提出问题、分析问题和解决问题的基本思路,采用理论分析与实证分析相结合的方法进行研究。文章首先综述了国内外关于系统性风险的研究现状,在此基础上分析了银行系统性风险的内涵、本质特征和理论成因。接着从宏观审慎监管的两个维度,即截面维度和时间维度研究了银行系统性风险的生成机制和评估方法：在截面维度,阐述了系统重要性机构尤其是关联性在银行系统性风险的生成与扩散中的关键作用,并研究了评估银行系统性风险的矩阵法和网络模型法及其应用；在时间维度,实证分析了我国银行信贷的顺周期性,研究了银行体系的内在顺周期性及其经营规则的顺周期性引发系统性风险的内在机制,并构建了一个评估银行系统性风险的指标体系。最后,结合宏观审慎监管的国际研究成果和我国银行业的现实,提出防范系统性风险的政策建议。
[Abstract]:The global financial crisis triggered by the subprime mortgage crisis in the United States highlights the importance of paying attention to systemic risks and maintaining financial stability. The international community deeply analyzes and reflects on the outbreak and spread of the crisis in order to seek effective methods to prevent systemic risk. A basic consensus is that the serious lag of the financial regulatory system behind the financial development is the key factor for the emergence and spread of the crisis. The microprudential supervision of financial institutions by national regulators is concerned with the operating conditions and risks of individual institutions and is not sufficient to guard against systemic risks arising from the interconnectedness of financial institutions and the pro-cyclical nature of the financial system. Macro prudential supervision focusing on the entire financial system has become the direction of reform. In recent years, the overall financial system of our country has been relatively stable, and the impact of this crisis has been relatively small. However, there are systemic risks which can not be ignored. The banking industry occupies a core position in our financial system, and the stability of the banks is very important. Therefore, to learn from international experience, It is prospective to study the generation mechanism and regulatory measures of systemic risk in banks from the perspective of macro-prudence. This paper follows the basic ideas of putting forward problems, analyzing problems and solving problems, and adopts the method of combining theoretical analysis with empirical analysis. Firstly, this paper summarizes the current research situation of systemic risk at home and abroad. On this basis, this paper analyzes the connotation, essential characteristics and theoretical causes of bank systemic risk, and then analyzes the two dimensions of macro-prudential supervision. That is, the section dimension and the time dimension study the generation mechanism and the evaluation method of the bank systemic risk. In the cross section dimension, it expounds the key role of systemically important institutions, especially the relevance, in the generation and diffusion of the bank systemic risk. This paper also studies the matrix method and network model method to evaluate the systemic risk of banks and their applications, and empirically analyzes the procyclicality of bank credit in China in the time dimension. This paper studies the inherent procyclicality of the banking system and the inherent mechanism of the procyclicality of the banking system, and constructs an index system to evaluate the systemic risk of the bank. Combined with the international research results of macro-prudential supervision and the reality of China's banking industry, this paper puts forward some policy suggestions to prevent systemic risk.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1;F831.1

【参考文献】