银行业顺周期性问题以及逆周期监管政策研究
发布时间：2018-08-20 17:41
【摘要】：2007-2009年由次贷危机引起的金融市场的混乱被看作是自从大萧条以来最严重的金融危机。与历次金融危机相同的是，这次金融危机之前同样经历了一段漫长的经济繁荣期，金融体系中同样存在流动性过剩、资产价格泡沫、杠杆率增大，信贷高速增长等，在这个过程中系统性风险不断累积，但是风险水平普遍被市场和监管部门低估。在对这次金融危机全面反思之后，普遍认为，在世界范围内由于通胀高企而发生经济金融危机的概率已经大幅度下降，但仅仅保持低通胀和稳定的宏观经济仍不足以保障金融稳定；而且，传统的微观审慎监管理念由于忽视了对宏观系统性风险的关注，不能够保证金融系统的稳定运行，必须加强以防范系统性风险为目标的宏观审慎监管。也就是说，传统的盯住通货膨胀为主的货币政策和以资本监管为核心的微观审慎监管不足以保证金融体统的健康稳定。正是基于以上的认识，国际社会纷纷认为应该建立一个有效的宏观审慎监管框架，这将成为各国金融监管改革的一个共同趋势。 我国也在“十二五”规划中正式提出“逆周期宏观审慎制度框架”。与前两次规划相比，“十二五”规划建议中“金融体制改革”文字虽未改动，所要努力的内容却已经发生很大变化。在建议中，金融体制改革的第一项内容为“构建逆周期的金融宏观审慎管理制度框架。宏观审慎管理是以防范系统性风险为根本目标，将金融业视做一个有机整体，既防范金融业内部相互关联可能导致的风险传递，又关注金融体系在跨经济周期中的稳健状况，从而有效管理整个金融体系的风险，最终实现维护金融稳定的目标。在2010年10月召开的“宏观审慎政策：亚洲视角高级研讨会”上，中国人民银行行长周小川表示：“国际金融危机重大教训之一，是不能只关注单个金融机构或单个行业的风险防范，还必须从系统性角度防范金融风险，而宏观审慎政策正是针对系统性风险的良药。” 宏观审慎监管有两个维度：一个是时间维度，主要关注随着时间的推移，金融体系与实体经济之间的相互影响，这个维度解决的主要问题就是如何缓解金融体系的顺周期性问题。另一个是跨业维度，主要关注的是在同一个时点上，各金融机构之间的相互联系以及持有共同的风险暴露。本博士论文从第一个维度展开研究，即分析金融系统的顺周期性问题以及可以采用的逆周期性政策工具。 银行业的顺周期性主要是三方面原因造成的，第一是由于金融市场尤其是信贷市场的不完美性、市场参与者的有限理性造成的，，这种金融系统的内生顺周期性是不能消除的；第二是由于金融机构的内在因素造成的，例如风险计量方法和模型采用过短的时间跨度、鼓励追求短期利益的激励机制和金融机构在发展战略、风险管理模型和风险暴露方面的趋同性等；第三是一些外部规则因素和政策造成的，比如，资本监管、贷款损失准备和公允价值等。另外，在逆周期监管政策方面，我们对主流的政策工具都做了简要的介绍，包括留存资本缓冲、逆周期资本缓冲、动态拨备制度、或有资本债券、救助保险基金、压力测试、杠杆率、完善新会计准则等。 紧接着，我们用一个理论模型分析了各个逆周期性监管工具对金融体系道德风险的影响。从道德风险的视角比较了各个资本类监管工具的优劣，指出逆周期性政策工具可以兼顾“太大而不能倒”的金融机构引发的道德风险问题，文章对这一问题做了一个初步性的探索。结论为，在信息充分的条件下，时间可变的资本充足率不能很好的解决“大而不能倒”的金融机构所面临的道德风险问题；或有资本可以部分解决金融机构的道德风险问题；“救助”保险基金能够很好的解决道德风险问题。 作为对这次危机的反应，Basel（Ⅲ）提出了逆周期性资本缓冲的监管方案，其目的是在经济景气时建立资本缓冲以备经济萧条时使用，即经济繁荣时抑制信贷的过快增长，经济萧条时减少顺周期性所导致的去杠杆化给经济带来的负面影响，增加银行业的恢复能力。我们认为逆周期性缓冲资本缓冲的存在，除了能带来上述正面效应之外，还有一个负面效应，可能会诱导银行业的羊群效应，即增加不同银行持有资产之间的相关性，进而增加银行业的系统性风险，我们同样用一个理论模型详细分析了这种负面效应。 第六章我们研究了三个问题。第一是对中国银行业顺周期的实际情况做了实证检验。研究结果表明，中国的银行系统存在顺周期性，但是由于各种原因（比如政府干预比较严重、模型所用数据的时间段过短、我们正处于国有银行的改革阶段，政府政策多变等）这种顺周期性并不显著。第二是总结了金融危机后我国采取的逆周期性政策。第三分析了逆周期监管存在的困难和障碍。 最后，我们对全文做了总结，总结了本论文的主要研究结论以及后续的研究展望。
[Abstract]:The financial market turmoil caused by the subprime mortgage crisis in 2007-2009 is seen as the worst financial crisis since the Great Depression. After a thorough reflection on the financial crisis, it is generally believed that the probability of economic and financial crises due to high inflation worldwide has dropped substantially, but only kept inflation low. And stable macro-economy is still not enough to ensure financial stability; moreover, the traditional micro-prudential supervision concept can not guarantee the stable operation of the financial system because it neglects the concern of macro-systemic risk, so we must strengthen macro-prudential supervision aiming at preventing systemic risk. The main monetary policy and micro-prudential supervision centered on capital supervision are not enough to ensure the health and stability of the financial system.
In the 12th Five-Year Plan, China formally put forward the "counter-cyclical macro-prudential system framework". Compared with the previous two plans, the "financial system reform" in the 12th Five-Year Plan has not been changed, but the content of the effort has changed greatly. Macro-prudential management is a framework of financial macro-prudential management system in a cyclical way. Macro-prudential management aims at preventing systemic risks and regards the financial industry as an organic whole. It not only prevents the risk transmission caused by the inter-relationship within the financial industry, but also pays attention to the steady state of the financial system in the cross-economic cycle, so as to effectively manage the whole financial system. "One of the major lessons of the international financial crisis is that we should not only focus on the risk prevention of individual financial institutions or industries, but also follow the rules," said Zhou Xiaochuan, governor of the People's Bank of China, at the "Macro-prudential Policy: Asia Perspective High-level Seminar" held in October 2010. We should guard against financial risks from a unified perspective, while macro prudential policies are good medicine for systemic risks.
Macro-prudential regulation has two dimensions: one is the time dimension, which focuses on the interaction between the financial system and the real economy over time. The main problem solved by this dimension is how to alleviate the procyclicality of the financial system. The first dimension of this dissertation is to analyze the pro-cyclicality of the financial system and the counter-cyclicality policy tools available.
The pro-cyclicality of banking industry is mainly caused by three factors. First, it is caused by the imperfection of financial market, especially credit market, and the bounded rationality of market participants. The endogenous pro-cyclicality of the financial system can not be eliminated. Second, it is caused by the internal factors of financial institutions, such as risk measurement methods. And the model adopts too short a time span to encourage the pursuit of short-term interests of incentives and financial institutions in the development strategy, risk management model and risk exposure convergence; the third is caused by some external rules and policies, such as capital regulation, loan loss preparation and fair value. Policy, we have made a brief introduction to the mainstream policy tools, including retained capital buffer, counter-cyclical capital buffer, dynamic reserve system, contingent capital bonds, rescue insurance funds, stress testing, leverage, improve the new accounting standards.
Then, we use a theoretical model to analyze the impact of various counter-cyclical regulatory instruments on the moral hazard of the financial system. From the perspective of moral hazard, we compare the advantages and disadvantages of various capital-based regulatory instruments and point out that counter-cyclical policy instruments can take into account the moral hazard caused by "too big to fail" financial institutions. The conclusion is that under the condition of sufficient information, time-varying capital adequacy ratio can not solve the problem of moral hazard faced by financial institutions which are "too big to fail"; contingent capital can partly solve the problem of moral hazard faced by financial institutions; and "rescue" insurance funds can. It is a good solution to moral hazard.
In response to the crisis, Basel (III) proposed a counter-cyclical capital cushion regulatory scheme aimed at creating a capital cushion for use in times of economic depression, i.e. restraining excessive credit growth in times of prosperity and reducing the negative impact of pro-cyclical deleveraging in times of economic depression. In addition to the positive effects mentioned above, the existence of the counter-cyclical buffer of capital may induce the herding effect of the banking industry, that is, to increase the correlation between assets held by different banks, thereby increasing the systemic risk of the banking industry. A theoretical model analyzes this negative effect in detail.
The results show that the banking system in China is pro-cyclical, but we are in the reform stage of state-owned banks because of various reasons (such as the serious government intervention and the short period of data used in the model). The second is to summarize the counter-cyclical policies adopted by China after the financial crisis. The third is to analyze the difficulties and obstacles of counter-cyclical regulation.
Finally, we summarize the full text, summarize the main conclusions of this paper and follow-up research prospects.
【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】：F831.0
本文编号：2194468
[Abstract]:The financial market turmoil caused by the subprime mortgage crisis in 2007-2009 is seen as the worst financial crisis since the Great Depression. After a thorough reflection on the financial crisis, it is generally believed that the probability of economic and financial crises due to high inflation worldwide has dropped substantially, but only kept inflation low. And stable macro-economy is still not enough to ensure financial stability; moreover, the traditional micro-prudential supervision concept can not guarantee the stable operation of the financial system because it neglects the concern of macro-systemic risk, so we must strengthen macro-prudential supervision aiming at preventing systemic risk. The main monetary policy and micro-prudential supervision centered on capital supervision are not enough to ensure the health and stability of the financial system.
In the 12th Five-Year Plan, China formally put forward the "counter-cyclical macro-prudential system framework". Compared with the previous two plans, the "financial system reform" in the 12th Five-Year Plan has not been changed, but the content of the effort has changed greatly. Macro-prudential management is a framework of financial macro-prudential management system in a cyclical way. Macro-prudential management aims at preventing systemic risks and regards the financial industry as an organic whole. It not only prevents the risk transmission caused by the inter-relationship within the financial industry, but also pays attention to the steady state of the financial system in the cross-economic cycle, so as to effectively manage the whole financial system. "One of the major lessons of the international financial crisis is that we should not only focus on the risk prevention of individual financial institutions or industries, but also follow the rules," said Zhou Xiaochuan, governor of the People's Bank of China, at the "Macro-prudential Policy: Asia Perspective High-level Seminar" held in October 2010. We should guard against financial risks from a unified perspective, while macro prudential policies are good medicine for systemic risks.
Macro-prudential regulation has two dimensions: one is the time dimension, which focuses on the interaction between the financial system and the real economy over time. The main problem solved by this dimension is how to alleviate the procyclicality of the financial system. The first dimension of this dissertation is to analyze the pro-cyclicality of the financial system and the counter-cyclicality policy tools available.
The pro-cyclicality of banking industry is mainly caused by three factors. First, it is caused by the imperfection of financial market, especially credit market, and the bounded rationality of market participants. The endogenous pro-cyclicality of the financial system can not be eliminated. Second, it is caused by the internal factors of financial institutions, such as risk measurement methods. And the model adopts too short a time span to encourage the pursuit of short-term interests of incentives and financial institutions in the development strategy, risk management model and risk exposure convergence; the third is caused by some external rules and policies, such as capital regulation, loan loss preparation and fair value. Policy, we have made a brief introduction to the mainstream policy tools, including retained capital buffer, counter-cyclical capital buffer, dynamic reserve system, contingent capital bonds, rescue insurance funds, stress testing, leverage, improve the new accounting standards.
Then, we use a theoretical model to analyze the impact of various counter-cyclical regulatory instruments on the moral hazard of the financial system. From the perspective of moral hazard, we compare the advantages and disadvantages of various capital-based regulatory instruments and point out that counter-cyclical policy instruments can take into account the moral hazard caused by "too big to fail" financial institutions. The conclusion is that under the condition of sufficient information, time-varying capital adequacy ratio can not solve the problem of moral hazard faced by financial institutions which are "too big to fail"; contingent capital can partly solve the problem of moral hazard faced by financial institutions; and "rescue" insurance funds can. It is a good solution to moral hazard.
In response to the crisis, Basel (III) proposed a counter-cyclical capital cushion regulatory scheme aimed at creating a capital cushion for use in times of economic depression, i.e. restraining excessive credit growth in times of prosperity and reducing the negative impact of pro-cyclical deleveraging in times of economic depression. In addition to the positive effects mentioned above, the existence of the counter-cyclical buffer of capital may induce the herding effect of the banking industry, that is, to increase the correlation between assets held by different banks, thereby increasing the systemic risk of the banking industry. A theoretical model analyzes this negative effect in detail.
The results show that the banking system in China is pro-cyclical, but we are in the reform stage of state-owned banks because of various reasons (such as the serious government intervention and the short period of data used in the model). The second is to summarize the counter-cyclical policies adopted by China after the financial crisis. The third is to analyze the difficulties and obstacles of counter-cyclical regulation.
Finally, we summarize the full text, summarize the main conclusions of this paper and follow-up research prospects.
【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】：F831.0
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