基于双重资本约束的商业银行系统危机研究

发布时间：2018-04-19 16:17

本文选题：商业银行 + 系统危机　；参考：《西南财经大学》2012年博士论文

【摘要】：2008年9月雷曼兄弟公司的突然破产,引发了一场全球性的金融危机,学术界对引起金融危机原因的研究众多,而本文认为对此次危机的研究不能离开银行这一主体,危机从根本上来说是一次银行系统危机。许多在危机爆发之前具有合格资本充足率的大银行,在危机中纷纷陷入困境,由此巴塞尔委员会推出了巴塞尔Ⅲ。那么,是否通过改革资本监管的相关规制,就能从根本上控制系统性风险,并且避免此类银行业危机?规制下自由竞争的银行体系能否规避银行系统危机?政府在银行的经营管理中又应该扮演怎样的角色?关于这些问题的研究具有重要的现实意义。本文认为,对微观银行来说合理的财务行为,并不一定带来合理的宏观结果,甚至有可能导致宏观性的银行系统危机,个体理性所带来的整体非理性,是研究此次银行系统危机无法回避的重要因素。因此,本文的总体研究思路是：从分析商业银行在双重资本约束下的微观财务行为模式入手,探讨银行个体理性造成整体非理性的原因,论证规制能否规避银行系统危机,并提出银行体系管理方面的政策建议。自由竞争的商业银行在经济资本和监管资本双重约束下追求期望收益最大化。经济资本约束是银行内部约束,具有高度的风险敏感性,在经济繁荣期和衰退期波动巨大。在繁荣期,经济资本约束很低,自由竞争的商业银行的个体理性选择是信贷扩张以获取较高的收益,但当所有的银行都这样选择时极易形成泡沫化的金融风险,导致整体非理性；在衰退期,银行的个体理性选择是去杠杆化以保障银行的安全性,但当所有的银行都这样选择时则极易形成集中抛售下的螺旋式紧缩,再次导致整体非理性。因此,商业银行自由竞争的特性和经济资本波动导致了个体理性无法带来整体理性,这是银行系统危机爆发的根本原因。以资本监管为核心的规制在解决整体非理性问题时存在极大的局限性。如果监管资本和经济资本趋同,则将和经济资本一起造成不同时期的整体非理性现象；如果两者存在风险敏感性的差异,则银行的个体理性选择将是监管资本套利,不仅降低监管效率,甚至有可能带来更高的风险,造成整体非理性；如果实施逆周期相机选择的监管资本要求,不仅在繁荣期存在较高成本以及可能出现新的类银行融资体系,在衰退期经济资本约束发生主要作用时,监管资本要求的降低也无法解决整体非理性的问题。监管资本无法解决整体非理性问题的根本原因在于：监管资本这种外部治理机制和内部治理机制产生了冲突。由于规制具有外部性,故同样无法解决银行系统危机问题。另外,规制的普遍性特征,导致了监管当局难以有效的利用历史数据来正确设置规制模型参数,规制的稳定性特征导致了规制改革过程过于漫长,缺乏灵活性。因此,以资本监管为核心的规制无法规避银行系统危机。规制下自由竞争的银行体系无法规避系统危机,因此必须有一个能够实现整体理性的机构对银行的行为实施控制,这个机构就是政府。本文认为一个合理的银行体系应该包含自由竞争、规制和政府直接控制三项要素,其中政府直接控制主要是针对个体理性选择下出现的整体非理性情况,而不是代替银行实施风险管理。本文共分六章,内容如下：第一章,绪论。提出本文的研究背景：个体理性带来的整体非理性导致了银行系统危机,进而对经济造成了严重破坏。目前,很少有文献通过分析微观银行财务行为来研究银行系统危机,而在双重资本约束框架下分析微观银行行为的文献更是几乎没有。因此,本文提出在双重资本约束下分析微观银行财务行为,进而探讨银行系统危机的研究思路。第二章,商业银行财务行为概述。商业银行的财务行为可以描述为：在一定的约束条件下,追求期望收益最大化。虽然银行经营的约束条件有很多,但是目前的主要约束是资本约束,包括经济资本约束和监管资本约束,前者是银行自身的内部要求,而后者则是外部要求。第三章,资本约束下的最优化理论模型。在第二章的基础上,建立双重资本约束条件下追求期望收益最大化的最优规划模型,来解释银行财务行为。这一理论模型对目前许多先进银行所使用的RAROC标准,以及监管资本套利行为,都可以进行较好的解释。第四章,经济资本波动及其对银行系统危机的影响。通过对美国银行业经济资本的实证研究,分析第三章双重资本约束下最优规划模型中的经济资本约束,提出经济资本约束的非稳定性造成了银行系统危机,而这种非稳定性则源于商业银行的自由竞争。实证研究发现：主要商业银行的经济资本随着时间变化发生较大波动；主要商业银行之间其波动呈现出共同变化的趋势；主要商业银行的经济资本和货币总量对资产价格产生显著的影响。第五章,资本监管和规制的局限性。结合第三章双重资本约束下最优规划模型,分析监管资本约束,提出包括巴塞尔协议在内的所有规制都无法规避银行系统危机。规制的一个重要特点是外部性,它是一种外部治理机制,极易和银行的内部治理机制产生冲突,这种冲突是规制无法从根本上规避系统危机的最主要原因。另外,规制的普遍性特征和规制的稳定性同样限制了规制作用的发挥。第六章,结论。第四章和第五章的研究表明：规制下自由竞争的银行体系无法解决银行系统危机问题。因此需要一种限制整体非理性的力量来规避银行系统危机,而政府是目前最有效的选择。自由竞争的市场机制是资源配置的根本性方法,规制也是银行系统不可或缺的组成部分,政府直接控制则是重要的补充,这种控制是针对具有个体理性而整体非理性特征的宏观性金融风险的监控,而不是单纯的代替银行实施风险管理。本文的创新点主要包括：一、提出银行系统危机具有个体理性而整体非理性特征,并从银行业的微观财务行为入手,研究整个银行业系统性危机；以双重资本约束为核心的最优规划模型来解释银行的微观财务行为,在此框架中解释RAROC指标和监管资本套利,并提出监管资本有效约束概念。二、通过实证方法验证经济资本的波动性,银行间经济资本变动的共同趋势,以及经济资本对资产价格的影响,并在此基础上论证了银行的自由竞争和经济资本的波动,导致了银行的个体理性无法带来整体非理性,进而产生银行系统危机。在验证银行间经济资本变动共同趋势的实证方法上,对传统的因子分析技术进行了适当调整,分离出趋势因子。三、在双重约束的分析框架下,着重分析了监管资本是一种外部治理机制,这种机制和以经济资本约束为代表的银行内部治理机制产生了冲突,这种冲突是资本监管无法规避银行系统危机最主要的原因；归纳总结了规制的外部性、普遍性、稳定性等特点,提出资本监管乃至所有的规制都无法从根本上规避银行系统危机；提出自由竞争、规制、政府直接控制三者相互结合的银行体系。
[Abstract]:The sudden bankruptcy of Lehman brothers in September 2008 led to a global financial crisis. There were many studies on the causes of the financial crisis in the academic world. This paper believed that the study of the crisis could not leave the bank. The crisis was fundamentally a banking system crisis. Many of them were qualified before the outbreak of the crisis. The large banks in the capital adequacy ratio have been in trouble during the crisis. Thus, the Basel committee introduced Basel III. Then, whether through the reform of the regulation of capital supervision, it is possible to control systemic risk fundamentally and avoid such a banking crisis, and can the banking system under the regulation of free competition avoid the banking system crisis? What role should the government play in the management of banks? It is of great practical significance to study these issues.
This paper holds that the reasonable financial behavior for micro banks does not necessarily bring about reasonable macro results, and may even lead to macro banking system crisis. The overall irrationality brought by individual rationality is an important factor which can not be avoided in the study of the banking system crisis. Therefore, the overall research idea of this paper is: from the analysis of the analysis The commercial bank, starting with the micro financial behavior mode under the constraint of double capital, discusses the reason that the individual rationality of the bank causes the whole irrational, proves whether the regulation can avoid the banking system crisis, and puts forward the policy suggestions on the management of the bank system.
Free competitive commercial banks pursue the maximization of expected returns under the dual constraints of economic capital and regulatory capital. Economic capital constraints are internal constraints of the banks, have high risk sensitivity, and have great volatility during the period of economic prosperity and recession. In the boom period, the economic capital constraints are very low, and the individual rationality of the free competitive commercial banks is selected. The choice is credit expansion to gain a higher profit, but when all banks choose such a choice, it is very easy to form a bubble financial risk, which leads to the overall irrational. In a recession, the individual rational choice of the bank is deleveraging to ensure the security of the bank, but when all the banks choose such a choice, it is very easy to form a centralized selling. The spiral contraction leads to the whole irrationality again. Therefore, the characteristics of the free competition and the fluctuation of the economic capital lead to the reason that the individual rationality can not bring the whole rationality, which is the fundamental reason for the crisis of the banking system.
The regulation with capital supervision as the core has great limitations in solving the whole irrational problem. If the regulatory capital and economic capital converge, it will cause the whole irrational phenomenon in different periods with the economic capital; if there is a difference in the risk sensitivity, the individual rational choice of the bank will be the regulatory capital set. It not only reduces the efficiency of supervision, and may even bring higher risks to the overall irrational. If the regulatory capital requirements of the counter cyclical camera are implemented, there is not only a high cost and a new type of bank financing system in the boom period, but also the regulatory capital requirements in the recession period of economic capital constraints. The fundamental reason that the regulatory capital can not solve the whole irrational problem lies in the conflict between the external governance mechanism and the internal governance mechanism, which can not solve the problem of the banking system crisis. It is difficult for the regulatory authorities to effectively use historical data to correctly set the parameters of the regulation model. The stability characteristics of the regulation lead to the long and unflexible process of regulation reform. Therefore, the regulation of capital supervision can not avoid the crisis of the banking system.
The banking system under the regulation of free competition can not avoid the system crisis, so there must be an organization that can realize the whole rationality to control the behavior of the bank. This institution is the government. This paper holds that a reasonable banking system should include three elements: free competition, regulation and government direct control, of which the government controls direct control. It is mainly aimed at the overall irrational situation that arises from individual rational choice, rather than replacing bank risk management.
This article is divided into six chapters, and the contents are as follows:
The first chapter, introduction, puts forward the research background of this article: the overall irrationality brought by the individual reason leads to the banking system crisis, and then causes serious damage to the economy. At present, few literature studies the banking system crisis through the analysis of the financial behavior of micro banks, and the analysis of the behavior of micro banks under the dual capital constraint framework. There is little to offer. Therefore, this paper proposes to analyze the financial behavior of micro banks under dual capital constraints, and further explore the research ideas of banking system crisis.
The second chapter, a summary of the financial behavior of commercial banks. The financial behavior of commercial banks can be described as: seeking the maximization of expected earnings under certain constraints. Although there are many constraints on bank management, the main constraints are capital constraints, including economic capital constraints and regulatory capital constraints, the former is the bank itself. Internal requirements, while the latter are external requirements.
The third chapter, the optimal theoretical model under the capital constraint. On the basis of the second chapter, the optimal planning model, which seeks to maximize the expected returns under double capital constraints, is set up to explain the financial behavior of the bank. This theoretical model can be used for the RAROC standards used by many advanced banks and the supervision of capital arbitrage. A good explanation.
The fourth chapter, economic capital fluctuation and its impact on the banking system crisis. Through the empirical study of the economic capital of the American banking industry, this paper analyzes the economic capital constraints in the third chapter of the optimal planning model under double capital constraints, and puts forward that the instability of the economic capital constraint causes the banking system crisis, and this instability derives from the business. The empirical study found that the economic capital of the main commercial banks fluctuated with time, and the fluctuation between the main commercial banks showed a trend of common change; the economic capital and the total amount of money of the main commercial banks had a significant influence on the asset price.
The fifth chapter, the limitations of capital regulation and regulation, combined with the optimal planning model of third chapters under double capital constraints, analyzes regulatory capital constraints, and proposes that all regulations, including the Basel agreement, can not avoid the banking system crisis. The important characteristic of the regulation is externality, it is an external governance mechanism, and is very easy to be in the bank. The conflict is the main reason that the regulation can not fundamentally avoid the system crisis. In addition, the universal characteristics of regulation and the stability of regulation also restrict the exertion of the regulation function.
The sixth chapter, conclusion. The study of the fourth and fifth chapters shows that the banking system of free competition under regulation can not solve the problem of banking system crisis. Therefore, it is necessary to limit the overall irrational force to avoid the crisis of the banking system, and the government is the most effective choice at present. The market mechanism of free competition is the fundamental part of the allocation of resources. Law, regulation is also an integral part of the banking system, and direct government control is an important supplement. This control is the monitoring of macro financial risks with individual rationality and the overall irrational characteristics, rather than simply replacing the bank with risk management.
The innovation of this article mainly includes:
First, it puts forward that the banking system crisis has the individual rationality and the overall irrational characteristics, and starts with the micro financial behavior of the banking industry to study the systemic crisis of the whole banking industry, and the optimal planning model with double capital constraints as the core to explain the bank's micro financial behavior, and to explain the RAROC index and the regulatory capital arbitrage in this framework. The concept of effective regulation of regulatory capital is proposed.
Two, we verify the volatility of economic capital, the common trend of economic capital change between banks and the impact of economic capital on asset prices through empirical methods, and on this basis demonstrate that the free competition of banks and the fluctuation of economic capital lead to the individual rationality of the bank to bring the overall irrationality, and then the banking system is dangerous. In the empirical method of verifying the common trend of inter bank economic capital changes, we adjusted the traditional factor analysis technology and separated the trend factors.
Three, under the framework of double constraints, it is emphatically analyzed that regulatory capital is an external governance mechanism. This mechanism conflicts with the internal governance mechanism of banks represented by economic capital constraints. This conflict is the main reason why capital supervision can not evade the banking system crisis; summarizes and summarizes the externality of regulation. The characteristics of nature, stability, and so on, the capital supervision and even all regulations can not fundamentally avoid the banking system crisis, and put forward free competition, regulation, and the government directly control the three combination of the bank system.

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F830.33

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