后危机时代的中国金融宏观审慎监管研究

发布时间：2018-03-14 14:46

本文选题：金融宏观审慎监管　切入点：系统性风险　出处：《南开大学》2012年博士论文　论文类型：学位论文

【摘要】：2007年美国次贷危机引发的国际金融危机，对现行金融监管体系是一次巨大冲击。目前距离危机爆发已四年有余，尽管一些国家出现了经济复苏迹象，但全球经济尚未从阴影中走出，何时能够完全摆脱危机阴影，还有待时日检验。国际金融危机使人们看到了长期以来被严重忽视的影子银行体系的巨大破坏力，影子银行自身具有的高风险和脆弱性，加上外部监管的缺失和不受存款保险及央行最后贷款人的保护，使得其在近三十年间极大地推动金融发展的同时，累积了巨大风险。与此同时，中央银行虽然承担了维护金融稳定的职责，但是一直以来对金融市场的有效性持乐观态度，以为只要保证价格水平的稳定，金融体系就可以通过自我调节实现稳定。其他监管当局更多的实施微观审慎监管，关注于金融机构的个体风险，却忽略了金融风险跨业、跨境、跨机构的传染及金融系统内生的顺周期性。因此，后危机时代，世界各主要经济体在对本次危机不断反思的过程中，得出一个普遍共识，即危机产生和蔓延的重要监管层面原因在于旨在防范系统性风险、维护金融稳定的金融宏观审慎监管的缺失。于是，作为完善金融监管体系的核心环节，构建金融宏观审慎监管政策框架就成为了一项迫在眉睫的重要任务。在巴塞尔银行监管委员会、国际货币基金组织、金融稳定理事会、国际清算银行等国际组织的带头下，，各国政府陆续启动了大规模的金融监管体系改革，特别是2010年以来，在构建金融宏观审慎监管政策框架方面取得了积极进展。监管理念的这一重大调整和改革，对于全球金融稳定和经济发展具有深远意义。中国金融系统虽然在本次危机中受到的冲击较小，但是不容忽视的是，目前中国金融体系内存在着大量影子银行业务，系统性风险不断积聚并在机构之间扩散蔓延，分业的微观审慎监管模式已不能适应混业经营的现实及满足金融创新的需要。构建金融宏观审慎监管框架，对中国金融监管体制改革同样具有重要意义，有助于提高金融系统的稳定性，减少宏观经济波动的风险。本文通过对国内外金融宏观审慎监管的相关文献进行回顾梳理，总结了目前最新的研究进展，分别从监管的必要性、监管目标、监管组织架构三个方面，对金融宏观审慎监管进行了深入的理论和实证分析。监管必要性上，探讨了影子银行的运作机制和自身的脆弱性，指出由于金融宏观审慎监管缺失而助长了影子银行体系的崩塌，是导致金融危机爆发的监管根源。监管目标上，分别从截面维度和时间维度实证检验了我国商业银行的系统性风险溢价和顺周期性，并对各自的影响因素进行度量。监管组织架构上，论述了中央银行在金融宏观审慎监管体系中的地位和作用，以及承担起维护金融稳定的职能可能面临的困难与挑战。此外，在实践层面，关注了我国影子银行体系的发展现状和风险隐患，及我国监管机构在金融宏观审慎监管改革中所做的探索和努力，同时充分借鉴国际组织和各主要经济体的实践经验，为我国的金融监管改革以启示。本文的主要结构、内容以及研究思路如下：第一章为导言部分，介绍了论文的研究背景意义、研究思路方法、创新和不足等，并回顾了金融宏观审慎监管的最新学术成果，为之后的研究做理论上的铺垫。第二章对金融宏观审慎监管进行全面介绍，从概念界定、理念演进、监管的必要性、目标框架等方面详细勾画了金融宏观审慎监管框架的主要内容。第三章指出金融危机爆发的监管层面原因，着重探讨了影子银行的作用机制和风险脆弱性，并关注了我国影子银行的发展现状和风险隐患。第四章分别从金融宏观审慎监管的截面维度和时间维度对中国商业银行的风险状况进行了实证研究。测量了部分商业银行的系统性风险溢价，验证内在顺周期行为，并考察了银行主要指标变量对系统性风险的影响程度。第五章分析了中央银行在金融宏观审慎监管中的地位和作用。认为中央银行在行使金融宏观审慎监管权时具有诸多优势，应赋予其更大的系统性监管职能，确保其金融宏观审慎监管的主体地位。第六章充分借鉴国际社会在金融宏观审慎监管改革上取得的进展和成就，对比中国目前在该领域的探索与实践，为今后的改革总结经验、做出启示。
[Abstract]:In 2007 the U.S. subprime mortgage crisis triggered a global financial crisis, the current financial supervision system is a huge impact. At present from the outbreak of the crisis has been more than four years, although some countries show signs of economic recovery, but the global economy has not yet come out from the shadows, will be able to completely get rid of the shadow of the crisis, remains to be seen. The international financial crisis has made the inspection people see the enormous damage has long been serious neglect of the shadow banking system, the shadow banking has its own high risk and vulnerability, and lack of external supervision and is not protected by the deposit insurance and the lender of last resort, which greatly promote the financial development in recent thirty years and accumulated tremendous risk. At the same time, although the central bank assumes the responsibility to maintain financial stability, but has been on the effectiveness of the financial market is optimistic, as long as To ensure the stability of the price level, the financial system can be realized through self-regulation. Stable implementation of other regulatory authorities more micro prudential supervision, individual risk focus on financial institutions, but ignore the financial risk of cross industry, cross-border, pro cyclical financial system and infectious students across organizations. Therefore, the post crisis era. The world's major economies in the process of the crisis of continuous reflection, reach a consensus, an important reason is the supervision level and the spread of the crisis is to guard against systemic risk, lack of safeguarding financial stability of financial macro prudential regulation. Then, as the key link to improve the system of financial supervision, financial construction the macro Prudential policy framework has become an important task in imminent. The Basel Committee on banking supervision, the International Monetary Fund, the financial stability Council, the Qing Dynasty The bank and other international organizations to take the lead, governments have started the reform of financial supervision system in large scale, especially since 2010, has made positive progress in the construction of financial macro Prudential policy framework. The regulatory philosophy of the major adjustment and reform, is of far-reaching significance to global financial stability and economic development.
China despite the financial system in this crisis has little impact, but can not be ignored is that the current China financial system there are lots of shadow banking system, risk accumulation and spread between institutions, micro prudential supervision mode already can not adapt to separate mixed reality and meet the needs of financial innovation construction of financial macro prudential regulatory framework, it is important for Chinese reform of financial supervision, help to improve the stability of the financial system, reduce the risk of macroeconomic fluctuations.
This article through to the domestic and foreign financial macro prudential supervision of the relevant literature reviews, summarizes the latest research progress, respectively from the necessity of supervision, supervision, supervision of the three aspects of organizational structure, the financial macro prudential supervision of deeply theoretical and empirical analysis. The necessity of supervision, discusses the fragile the operation mechanism of shadow banking and the financial macro Prudential pointed out that due to lack of supervision and contributed to the collapse of shadow banking system, is the result of regulation of the root of the financial crisis. The regulatory target, respectively from the cross section and time dimension of empirical test of systemic risk premium and pro cyclicality of commercial banks in China, and the the impact of each factor to measure supervision structure, discusses the status and role of the central bank in the financial macro prudential supervision system, and undertake the maintenance of gold The difficulties and challenges of financial stability functions may face. In addition, in practice, pay attention to the current development situation and the risks of shadow banking system in China, and China's regulators in macro Prudential Financial Regulatory Reform in the exploration and efforts, and make full use of international organizations and major economies experience for our country, the reform of financial supervision with inspiration. The main structure of this paper, the following contents and research ideas:
The first chapter is introduction. It introduces the background, significance, research methods, innovations and shortcomings of the paper, and reviews the latest academic achievements of financial macro prudential supervision, laying a theoretical foundation for future research.
The second chapter gives a comprehensive introduction to macro prudential supervision in finance, and outlines the main contents of macro prudential supervision framework in terms of concept definition, evolution of ideas, necessity of regulation and target framework.
The third chapter points out the regulatory reasons for the outbreak of the financial crisis, focuses on the function mechanism and risk vulnerability of the shadow banking, and focuses on the development status and potential risks of the shadow banking in China.
The fourth chapter from the cross section and time dimension of financial macro prudential supervision of commercial banks China the risk situation of empirical research. The systematic risk premium of commercial banks to measure the internal validation cyclical behavior, and the influence degree of the main indicators of bank variables on systemic risk.
The fifth chapter analyzes the status and role of the central bank in the macro prudential supervision of the financial sector. It holds that the central bank has many advantages when exercising the macro prudential regulatory power of the financial sector. It should give more systematic regulatory functions to ensure its dominant position in macro prudential supervision.
The sixth chapter makes full use of the progress and achievements made by the international community in the financial macro prudential supervision reform, compares China's current exploration and practice in this field, and summarizes the experience and inspiration for the future reform.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.1

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