我国系统性金融风险的测度、传染与防范研究

发布时间：2018-01-28 04:37

本文关键词： 系统性金融风险测度传染预警宏观审慎政策　出处：《东北财经大学》2014年博士论文　论文类型：学位论文

【摘要】：进入21世纪,全球系统性金融风险持续酝酿与发酵,最终由于2008年次贷问题的爆发而升级成金融危机并迅速向全球扩散,成为自上世纪30年代以来最严重的一次金融危机。反思这次金融危机,虽然仍然有许多争论、诸多难题悬而未决,但是有一个根本性的共识已经毋庸置疑,那就是要深化对系统性金融风险的认识,掌握其规律与本质,防范与化解系统性金融风险,谨防未来爆发新的金融危机。金融危机是系统性金融风险累积到一定程度后的集中爆发,具有较强的隐蔽性与复杂性,因此对金融危机爆发时间的准确预测将是十分困难的。然而可以肯定的是,系统性金融风险在升级成为金融危机以前,都经历过较长的风险累积过程,“缓积急释”是系统性金融风险的一个显著特征,虽然这种累积过程也是十分隐蔽的,但是通过深入研究与监测,我们完全可以认识与捕捉这种累积的过程,进而采取有效的措施去限制风险的累积并释放过度累积的风险。在此背景下,对系统性金融风险进行不断深入研究日益成为实务工作者与学术界共同关注的主题。另外,在我国金融业不断改革进步的过程中,我国金融失衡的特点也逐渐显现,金融脱媒深化、银行业比重过大、金融部门杠杆率过高、期限错配与流动性风险共存、影子银行监管不到位、地方融资平台的违约风险上升等因素进一步加剧了金融体系的脆弱性。与此同时,随着金融自由化与虚拟化程度的不断提升,我国金融脱离实体经济的特点逐渐显现,大量资金游离于实体经济以外,部分银行机构在眼前短期利益的驱使下,大肆拆入资金,借银行理财、信托投资的名义在金融圈里“空转”,大玩“钱生钱”的虚拟游戏,令原本流动性充裕的国内金融业深陷“缺钱”境地,更令很多实体企业尤其是小微企业严重“失血”,我国金融业这种“脱实向虚”,过度虚拟化的特点不仅会给宏观经济造成不可估量的负面影响,还会让金融业自身陷入巨大危机之中,进一步导致系统性风险的累积。因此,结合现阶段我国金融环境与背景,对我国系统性金融风险进行深入研究就显得尤为重要。立足上述背景,本文从金融体系脆弱性理论与金融失衡的事实出发,多维度的探讨新形势下我国系统性金融风险的测度、传染与防范问题。本文将定量研究方法与定性分析方法相结合,紧密围绕着两条主线展开研究：第一,对我国系统性金融风险特性的研究,本文从金融部门风险水平、行业与区域传染性等角度对我国系统性金融风险进行系统性分析,力图较为全面的把握我国系统性金融风险的主要特性；第二,对系统性金融风险的防范研究,在前文特性分析的基础上的,本文从预警机制、宏观审慎政策角度分析如何监测系统性金融风险的累积以及如何采取有效措施去遏制系统性金融风险水平的上升及其传染性的增强,本文的主要结论如下：首先,对系统性金融风险形成与累积的研究表明,金融脆弱性是引发系统性金融风险形成的内在原因,金融失衡是造成我国系统性金融风险水平上升的外在原因。二者共同作用,共同演化导致系统性金融风险的不断累积。从现实分析,过高的投资比重、经济周期的波动、资产价格的频繁波动、过度的地方政府债务、影子银行体系的快速扩张、房地产泡沫的持续累积以及杠杆率的快速升高成为现阶段引发我国系统性金融风险不断累积的主要因素。其次,本文引入或有权益法去测度我国金融部门整体风险水平。结果表明,从违约概率看,绝大多数时间内我国金融部门发生违约情况的概率接近为0,但是次贷危机期间,我国金融部门的违约概率迅速上升,但仍不足以引发金融危机。同时本文强调,要重点关注这种违约概率突然上升的特点。此外,结合风险调整的资产负债表分析,我国金融部门已经实质性的受到美国金融危机的负面影响。整体上,我国系统性金融风险正在不断累积。再次,本文从理论上分析了关联性与系统性风险的关系,并以此为视角,考察了我国金融行业间的风险传染特性。结果表明,美国金融危机爆发后,我国金融机构间的传染性显著增强。具体而言,银行业的整体传染性最强,证券业次之,保险及其他行业传染性最弱。同时本文发现,平稳时期,各行业内部机构之间的相互传染影响占主流,而在金融危机期间,跨行业机构间的相互传染影响得到了显著的提升。其中,银行业对其他行业造成的传染影响显著增强,而证券行业则更多的受到了传染性影响,这说明在发生危机时,银行业负外部性的溢出效应明显。进一步,通过对我国区域间系统性金融风险的传染特性研究,本文发现,我国的系统性金融风险在区域间存在明显的非对称传染特性。具体而言,实施传染的地区主要为东部经济发达的省份,同时这些省份较少受到其他省份的传染性影响。而受到传染影响的地区主要为经济发展模式较为单一的省份。这些省份由于经济发展模式单一,且对外省依存度较高,使得其更容易受到其他地区的影响。接下来,本文从预警机制角度分析了系统性金融风险的防范问题。本文构建了反映我国系统性金融风险累积情况的压力指数,并分析其走势,同时引入动态模型平均(DMA)方法证明其对我国金融压力指数具有较好预测能力。进一步,本文分析了复杂适应性系统条件下,金融风险预警机制的应用。最后,本文从宏观审慎政策角度剖析了系统性金融风险的防范问题。本文以宏观审慎政策的结构框架入手对我国宏观审慎政策进行了目标、工具以及制定安排等方面的分析。同时使用风险“分摊”的方法对上市银行类金融机构的系统重要性进行识别。结果表明,我国上市银行的系统重要性水平与其规模有着密切联系,四大国有商业银行对系统风险的贡献度最强,其次是全国性股份制商业银行,而城商行最弱。此外,我国银行类金融机构的系统重要性指数呈现明显的周期性特征。与此同时,本文发现,除了规模因素,上市银行的可替代性、复杂性、关联性也与其系统重要性密切相关。最后,本文对我国宏观审慎政策工具的有效性进行了检验,结果表明,在所有审慎监管政策工具中,存款准备金率是最显著有效的宏观审慎政策工具,我国事实上已建立起以差别准备金动态调整为核心的逆周期调控机制。而其他政策工具都在某些方面存在不足,需要更多政策工具的配合使用,此外,我国银行业的个体差异性要求宏观审慎政策工具应具有更强的针对性。综上所述,金融脆弱性是引发系统性金融风险形成的内在原因,金融失衡是造成我国系统性金融风险水平不断上升的外在原因。二者共同作用,共同演化导致系统性金融风险的不断累积。我国系统性金融风险的特性表明,现阶段我国不会爆发大规模的金融危机,但是,系统性金融风险的不断累积却是不争的事实。与之相伴的是,我国系统性金融风险在金融行业间的传染性在增强,银行类金融机构的负外部性明显。而我国系统性金融风险在区域间存在显著的非对称传染效应,尤其要注意经济结构单一地区的风险防范问题。通过对我国系统性金融风险的防范研究,本文认为,我国应该构建与完善具有官方指导意义的反映系统性金融风险累积的前瞻性指标体系。而先进的预测技术的引入可以提升我国系统性金融风险的预警水平。同时,我国需进一步完善宏观审慎政策体系,强化对系统重要性金融机构的监管,提升宏观审慎政策工具的效果,发挥好宏观审慎政策工具的逆周期调节作用。
[Abstract]:In the 21st century , the global systemic financial risk continues to ferment and ferment , and finally , due to the outbreak of the sub - loan problem in 2008 , it has become the most serious financial crisis since the 1930s . In addition , in the process of the reform and progress of financial industry in our country , the characteristics of China ' s financial imbalance have gradually appeared , the financial disintermediation is deepened , the proportion of the banking industry is too large , the financial department ' s leverage ratio is too high , the period mismatch and the liquidity risk coexist , the shadow banking supervision is not in place , the local financing platform ' s default risk rises and so on . Therefore , combining the financial environment and background of our country , it is very important to study the systematic financial risks in our country . Based on the analysis of the characteristics of systemic financial risks in China , this paper analyzes how to monitor the accumulation of systemic financial risks and how to take effective measures to curb the rise of systemic financial risks and how to take effective measures to curb the rise of systemic financial risks and how to take effective measures to curb the rise of systemic financial risks . First , the study on the formation and accumulation of systematic financial risks shows that financial fragility is the internal cause of systemic financial risk formation . The financial imbalance is the external cause of the rise of systemic financial risks in our country . The combination of both causes the accumulation of systemic financial risks . From the analysis of reality , the excessive investment proportion , the fluctuation of the economic cycle , the frequent fluctuation of asset price , the excessive local government debt , the rapid expansion of shadow banking system , the continuous accumulation of real estate bubble and the rapid rise of leverage ratio have become the main factors that have caused the accumulation of systematic financial risks in China . Secondly , this paper introduces or has the equity method to measure the whole risk level of China ' s financial sector . The results show that the probability of default is close to zero in most of the time , but during the sub - loan crisis , the probability of default of the financial sector of our country rises rapidly , but it is still insufficient to trigger the financial crisis . In addition , the financial sector of our country has been materially affected by the financial crisis of the United States . Thirdly , this paper analyzes the relationship between the correlation and the systematic risk from the theory , and makes a study on the risk contagion characteristic among the financial industry in our country . The result shows that the contagion effect between the financial institutions of our country is stronger after the outbreak of the American financial crisis . Further , through the study of the infection characteristics of systematic financial risk in our country , this paper finds that the systematic financial risks in our country have obvious asymmetric infection characteristics among the regions . In particular , the affected areas are mainly in the eastern economically developed provinces , while those provinces are less affected by the infectious effects of other provinces . These provinces are mainly the provinces with relatively single economic development patterns . These provinces are more vulnerable to the influence of other regions due to the single economic development model and the higher dependence of the external provinces . Next , this paper analyzes the prevention of systemic financial risks from the angle of early warning mechanism . This paper constructs a pressure index that reflects the accumulation of systemic financial risks in China , and analyzes its trend . At the same time , the dynamic model average ( DMA ) method is introduced to prove that it has better forecasting ability to China ' s financial pressure index . Furthermore , this paper analyses the application of financial risk early warning mechanism under the condition of complex adaptive system . At the same time , this paper tries to analyze the importance of systemic financial risk from macro - prudential policy . At the same time , this paper makes an analysis on the importance of macro - prudential policy in China . In conclusion , the financial fragility is the internal cause of the formation of systemic financial risks . The financial imbalance is the external cause of the rise of systemic financial risks in our country . The characteristics of the systematic financial risks in China show that China should build and perfect the forward - looking index system which can reflect the accumulation of systemic financial risks .

【学位授予单位】：东北财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.59

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