中美金融结构差异、金融系统风险与压力测试比较研究

发布时间：2018-05-08 03:01

本文选题：金融结构 + 金融系统风险　；参考：《南开大学》2014年博士论文

【摘要】：20)08年全球金融危机已经有5年多时间,从最近的观察和文献研究看金融危机依然没有结束。中国经济和金融市场发展也面临国内外经济金融变化的巨大挑战。中国为保持经济稳定和增长,推动经济结构调整已经成为大势所趋。另外,全球金融危机的影响依然在深化,2012年以来中国网络金融迅猛发展对国内金融行业也已经构成越来越显著的冲击。同时,中国推动的金融市场化改革对以银行为主导的金融体系的稳定也必然产生一定冲击。正是基于以上种种问题的考虑,本文认为当前中国金融系统风险既具有一般性特征,又具有自身结构性特征所决定的特殊性,也具有中国金融发展的历史阶段性特征。所以,在预防我国金融系统风险方面,已有的发达国家金融系统风险的研究并不能提供有效解释和针对性建议。因此,本文试图在金融系统风险一般性研究基础上,系统比较中美两国的金融结构差异,进而基于中美两国金融结构的差异性,深入研究中美两国金融风险形成机制上的差异；最后就金融总体风险的测量对象、机制和具体技术差异进行比较分析。美国金融危机中暴露出金融系统性风险的来源在于：第一,经济结构的长期变化,经济过度虚拟化；第二,经过30多年的金融自由化和深化发展,形成以金融市场为主导的金融结构,从微观来看金融创新方面以证券化、衍生为显著特征,1990年代以来杠杆化融资被普遍使用。从金融脆弱性和不稳定性理论来看,这使美国金融稳定性变得很脆弱,因为金融总体发展既缺乏足够坚实的实体经济支撑,又因为杠杆化微观机制加剧了金融不稳定。以上这些研究对中国金融稳定研究是具有参考价值和借鉴意义的。但是,中国金融发展起点、路径、政府干预程度和当前迅猛出现的新金融,使我国金融不稳定的具体机制不同于美国等发达国家,必须对金融结构上的差异对金融不稳定的影响,给予足够的关注。目前,各研究对金融结构的认识基本趋于一致,但也存在差异。因为,本文着重抓住中美金融结构核心特征差异,所以我们接受金融融资结构的基本认识,一国金融结构是由现存的金融工具与金融机构之和构成的,其中包括金融中介各分支结构的集中度、现存金融机构和金融工具的经营方式、相对规模和经营特征等。本文认为金融结构是一个不断演进的过程的认识。本文认为美国金融系统性风险,受其金融结构变化决定,主要来自于金融衍生品市场和金融创新,在银行体系与华尔街金融衍生产品没有全面关联时,证券市场的系统危机不会演变成信用体系的危机,例如1987年美国证券市场危机。在1999年分业经营管制被打破后,商业银行机构也从各个维度卷入金融衍生创新活动中,华尔街证券市场危机就外溢到信用体系中来,这就是2008年美国次贷危机的现实。与美国金融结构演进路径、结构特征和金融风险特征相比。中国金融系统首先一直是以银行为主导的,尽管证券市场得到很大发展,但是从各方面数据来看商业银行依然是中国金融体系的核心。中国金融业从1980年代以来经历了多次改革,受个阶段中国经济体制改革和开放的影响,中国的金融业结构在不断演化过程中,以银行也为核心的金融业的脆弱性也呈现出阶段性特征和中国金融结构性特征。当前,中国金融系统性风险体现在银行系统结构方面,其脆弱性突出显露在区域性中小商业银行方面,本文从区域性中小商业银行在中国金融结构中脆弱地位的基础上展开中国金融系统性风险研究。中国金融系统性风险经历了阶段性的变化,当前更集中在中小商业银行方面：(1)过去1998年以来商业银行改革后,由城市商业银行改制而来的区域性商业银行发展速度比较快；(2)地方土地财政、房地产信贷、地方融资平台相互复杂交织,从已公开的资料看区域性商业银行担负了相当比例的地方政府债务融资；(3)区域性中小商业银行与其它银行等金融机构之间形成大量业务联系,其资产负债结构的变化,对通过这些链条对整个金融系统造成不可估量的冲击；(4)受全球经济危机冲击,中国旧的经济增长方式明显不可维持,经济结构调整已成必然,财政、金融改革已经在推动,利率市场化是大势所趋,金融业竞争加剧,对区域性中小商业银行形成不小冲击；(5)网络金融这匹金融黑马对传统金融机构形成明显冲击,对区域性中小银行冲击更大。因此,在设计中国宏观审慎监管和政策原则,以及设计压力测试需要充分考虑中国金融结构特征基础上的金融系统性风险,具体表现在：首先,我国金融系统性风险的来源在不同历史阶段发生了显著变化,从国有企业债务恶化,到证券市场泡沫的风险传递,再到中国房地产业和地方土地财政密切关联；其次,系统重要的金融机构并不一定是大银行,而可能是具有系统重要作用的中小商业银行,在压力测试设计上要高度关注。本文的总体架构如下：首先论文对中美金融结构差异进行了比较；其次,构建了一个基本的一般均衡动态模型来解释金融结构是如何发展演变的,并综合提出构建了一个涵盖金融结构、金融风险以及银行压力测试的理论分析框架；第三,论文指出了对商业银行进行压力测试的设计以及宏观审慎监管的设计方面,都必须需要考虑到金融结构差异的根本性影响。本文在金融结构理论、系统性风险理论基础上,详细比较了中美两国银行业压力测试的原则、方法。最后,本文针对中国金融系统风险的形成特征,提出中国宏观审慎政策和监管的一般性设计原则和针对区域性商业银行的压力测试思路和特殊工具。
[Abstract]:20) the global financial crisis for 08 years has been over 5 years. From the recent observation and literature research, the financial crisis remains unfinished. The development of China's economic and financial markets is also facing great challenges of economic and financial changes both at home and abroad. The impact of the financial crisis is still deepening. Since 2012, the rapid development of China's network finance has also been a more and more significant impact on the domestic financial industry. At the same time, the reform of the financial market driven by China is bound to have a definite impact on the stability of the banking oriented financial system.
It is based on the above problems that the present risk of China's financial system is not only characterized by general characteristics, but also characterized by its own structural characteristics as well as the historical characteristics of China's financial development. Therefore, the financial system risks of the developed countries in the prevention of the risk of the financial system in China Therefore, this paper tries to compare the financial structural differences between China and the United States on the basis of the general research on the risk of financial systems, and further study the differences in the financial risk formation mechanism between China and the United States on the basis of the differences in the financial structure of the two countries. Finally, the financial overall situation is discussed. Risk measurement objects, mechanisms and specific technical differences are compared.
In the US financial crisis, the sources of systemic risk exposed in the financial crisis are: the first, the long-term changes in the economic structure, the excessive virtualization of the economy. Second, after 30 years of financial liberalization and deepened development, the financial market led financial structure has been formed. From the microcosmic perspective, the financial innovation is characterized by securitisation, 19 Leveraged financing has been widely used since 90s. From the theory of financial fragility and instability, this has made the financial stability of the United States fragile, because the overall financial development is not enough solid economic support, but also because the micro mechanism of leverage intensifies the financial instability. These studies have studied the stability of China's financial stability. However, the starting point, the path, the level of government intervention and the current rapid emergence of new finance in China make the specific mechanism of financial instability in China different from that of the developed countries such as the United States and other developed countries. It is necessary to pay enough attention to the impact of financial structural differences on the instability of gold and finance.
At present, the understanding of the financial structure is basically consistent, but there are differences. Because this article focuses on the core characteristics of the financial structure of China and the United States, so we accept the basic understanding of the financial structure, the financial structure of one country is composed of the existing financial instruments and the financial intermediaries, including the financial intermediaries. The concentration of the branch structure, the operating mode of the existing financial institutions and financial instruments, the relative scale and the operating characteristics, etc. This article holds that the financial structure is an evolving process of understanding.
This paper holds that the financial systemic risk in the United States is determined by the changes in its financial structure, mainly from the financial derivatives market and financial innovation. In the absence of a comprehensive association between the banking system and the financial derivatives of Wall Street, the system crisis of the securities market will not evolve into a crisis of the credit system, such as the US securities market crisis in 1987, at 1999. After the break of the annual division of business management, the commercial banks were involved in the financial derivative activities from various dimensions. The crisis of the Wall Street securities market was overflowing into the credit system, which was the reality of the American subprime crisis in 2008.
Compared with the evolution path, structural characteristics and financial risk characteristics of the American financial structure, China's financial system has been dominated by banks. Although the securities market has been greatly developed, the commercial banks are still the core of the Chinese financial system from all aspects of data. China's financial industry has undergone many changes since 1980s. In the course of the continuous evolution of China's financial structure, the fragility of the financial sector, which is the core of the bank, is also characterized by stage characteristics and Chinese financial structural characteristics. At present, the systemic risk of China's financial system is reflected in the structure of the banking system and its vulnerability is prominent. On the basis of the vulnerability of regional small and medium commercial banks in China's financial structure, the study of China's financial systemic risk is carried out in the area of small and medium commercial banks.
China's financial systemic risk has undergone a phased change, which is more concentrated in the middle and small commercial banks. (1) after the reform of commercial banks since the past 1998, the regional commercial banks developed by the urban commercial banks have developed faster. (2) the local land finance, real estate credit, and local financing platforms are intertwined with each other. From the public information, the regional commercial banks assume a considerable proportion of local government debt financing; (3) the regional small and medium commercial banks and other banks and other financial institutions have formed a large number of business contacts, the changes in their assets and liabilities structure, and the inestimable impact on the whole financial system through these chains; (4) With the impact of the global economic crisis, the old economic growth mode of China is obviously unsustainable, economic structure adjustment has become inevitable, financial reform has been promoted, interest rate marketization is the trend of the situation, the competition of the financial industry is aggravated, and the regional small and medium commercial banks are not small. (5) the financial black horse of network finance is to the traditional financial institution. The formation of a significant impact on regional small and medium banks greater impact.
Therefore, in the design of China's macro prudential supervision and policy principles and the design of pressure testing, the financial systemic risks on the basis of the characteristics of the Chinese financial structure are fully taken into account. The specific manifestation is: first, the source of the financial systemic risk has changed significantly in different historical stages, from the deterioration of the debt of the state-owned enterprises to the securities. The risk transfer of the market bubble is closely related to the Chinese real estate industry and the local land finance. Secondly, the important financial institutions of the system are not necessarily large banks, but may be the important small and medium commercial banks with the important role of the system, and should pay high attention to the pressure test design.
The overall framework of this paper is as follows: first, the thesis compares the financial structural differences between China and the United States. Secondly, a basic general equilibrium dynamic model is constructed to explain how the financial structure is developed and how to build a theoretical analysis framework covering financial structure, financial risk and bank pressure test. Third, the paper points out that the design of pressure testing for commercial banks and the design of macro prudential supervision must take into account the fundamental influence of financial structural differences. On the basis of financial structure theory and systematic risk theory, this paper compares the principles and methods of pressure testing in China and the United States in detail. In view of the characteristics of the formation of the risk of China's financial system, the general design principles of China's macro Prudential policy and supervision and the pressure testing ideas and special tools for regional commercial banks are proposed.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832;F837.12

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