商业银行影子银行业务监管机制设计研究

发布时间：2018-05-13 06:17

本文选题：影子银行业务 + 商业银行　；参考：《中国海洋大学》2014年硕士论文

【摘要】：自2008年美国次贷危机以来，影子银行的风险及监管问题已经引起了全世界的关注。我国的商业银行出于自身经营发展的考虑，也推出了大量的高于商业银行传统存款业务投资回报率的影子银行业务，并且在短时期内得到迅速扩张。这些影子银行业务通过商业银行信用中介作用的发挥，为融资活动提供了杠杆与期限转换的可能，将传统的银行表内资产转移到表外，规避监管，积累了大量的金融风险，也给整个金融系统的稳定带来了重大影响，需要对其加强监管。而商业银行影子银行业务作为一种金融创新，反映了客观上存在的供给和需求，监管机构应该正视商业银行影子银行业务发展的合理性，对于其发展程度以及是否脱离了实体经济也应该有准确的认识，通过审慎监管和鼓励创新来引导其健康发展。本文以商业银行影子银行业务的监管过程为研究对象，首先阐述了此项业务的涵义及特点，并分别对银信合作、理财产品等各类商业银行影子银行业务的表现形式进行了分析，结合我国商业银行影子银行业务的监管现状，探讨其存在的问题。然后根据上述问题以及国外有关影子银行的监管理论和监管模式，运用演化博弈论建立了基于影子银行业务创新行为的商业银行与监管机构之间的演化博弈模型进行监管均衡分析。根据均衡结果，为了进一步提高监管效率，利用委托代理理论设计了政府对于商业银行影子银行业务监管人员的激励约束机制，使其努力工作、认真监管。最后，通过构建基于预先承诺制的商业银行影子银行业务审慎监管机制来加强监管机构对商业银行影子银行业务经营者的激励，使其监管行为符合商业银行影子银行业务的经营目标，促进商业银行更好地服从监管。通过研究，获得了以下的研究成果和研究结论：首先，根据商业银行影子银行业务的特点建立了基于业务创新行为的商业银行与监管机构之间的演化博弈模型。对于商业银行而言，如果遵守市场及法律规范获得的正面的声誉收益越大，而为了防范影子银行业务发生风险而产生的成本C1越小，并且由于被检查出对影子银行业务进行违规创新而受到监管机构的惩罚F越大，那么商业银行就会倾向于对影子银行业务进行合规创新，从而促进商业银行影子银行业务的健康发展；而对于监管机构而言，，如果其对商业银行影子银行业务创新行为进行监管的成本C2越小，而监管后获得的隐性收益M越大，并且当商业银行影子银行业务发生安全问题时，上级政府部门对监管机构的惩罚D越大，那么监管机构就会倾向于对商业银行影子银行业务认真监管，从而有效地防范商业银行影子银行业务的风险。其次，建立了政府部门对商业银行影子银行业务监管人员的激励模型。在对称信息条件下，商业银行影子银行业务监管人员不承担任何风险，并且其收入恰好等于监管人员的保留收入与努力成本之和；在非对称信息条件下，商业银行影子银行业务监管人员需要承担一定的风险，其努力程度和固定工资与对称信息条件下的情况相比都有所下降；政府部门的期望收益也出现了下降。因此需要设计相应的激励方案督促商业银行影子银行业务监管人员选择最优的努力程度，并建议将问责制纳入到商业银行影子银行业务监管考核中来。再次，在非对称信息条件下，政府部门和商业银行影子银行业务监管人员的收益与影子银行业务监管人员自身的综合素质水平以及系统的总风险相关，同时也影响着双方的理性行为与决策。一个具有高素质水平的商业银行影子银行业务监管人员不仅能提高政府部门的期望收益，还能增加自己的收入，进而实现政府的监管目标，努力查处商业银行影子银行业务违规创新行为。因此，监管机构应着力提高监管人员的综合素质水平，以应对不断发展变化的商业银行影子银行业务。最后，将我国的商业银行影子银行业务纳入到审慎监管的框架中来，构建了监管机构对商业银行影子银行业务审慎监管过程的一般模型以及基于预先承诺制的商业银行影子银行业务审慎监管模型。商业银行影子银行业务的审慎监管机制应该是在尊重商业银行的经营自主权的基础上建立起来的，避免对商业银行影子银行业务的经营活动进行过多的干预和管制，在业务创新与定价等方面也应给予足够的自由权，在机制设计中体现出激励相容的原则；另外，监管机构还要对商业银行影子银行业务的最低审慎经营标准作出规定，确保商业银行在影子银行业务的日常经营过程中自觉地进行审慎操作。
[Abstract]:Since the 2008 subprime mortgage crisis in the United States, the risk and supervision of the shadow banks have attracted the attention of the whole world. Some shadow banking services, through the role of commercial banks' credit intermediation, provide the possibility of leverage and time limit for financing activities, transfer the assets of traditional bank statements to the outside of the table, avoid supervision, accumulate a lot of financial risks, and have a great impact on the stability of the whole financial system, and need to strengthen the supervision. As a kind of financial innovation, the shadow banking business of the industry bank reflects the objective supply and demand. The regulatory agency should face the rationality of the development of the shadow banking business of commercial banks. It should also have an accurate understanding of its development and whether it is divorced from the real economy, and guide its health through prudent supervision and encouragement of innovation. The development of Kang.
This paper, taking the supervision process of the shadow banking business of commercial banks as the research object, first expounds the meaning and characteristics of the business, and analyzes the manifestations of the shadow banking business of all kinds of commercial banks, such as silver letter cooperation and financial products, and discusses the existing situation of the shadow banking business in China's commercial banks. Then, based on the above problems and the supervision theory and supervision model of the shadow banking abroad, the evolutionary game theory is used to establish an evolutionary game model between the commercial banks and the regulators based on the creative behavior of the shadow banking business. The principal-agent theory designed the incentive and constraint mechanism of the government to the shadow banking regulator of commercial banks, and make it work hard and supervise it carefully. Finally, through the construction of the prudent supervision mechanism of the shadow banking business of commercial banks based on the pre commitment system, the incentive of the regulatory agencies to the shadow banking operators of commercial banks is strengthened. The following research results and conclusions are obtained by making the supervision behavior conform to the business target of the commercial bank's shadow banking business and promote the commercial banks to obey the supervision better.
First, according to the characteristics of the commercial banks' shadow banking business, the evolutionary game model between commercial banks and regulators based on business innovation behavior is established. For commercial banks, the greater the positive reputation gains that are obtained by compliance with the market and the legal norms, and to prevent the risk of the shadow banking business from happening. The smaller the C1, and the greater the regulatory penalty for the supervision of the shadow banking business, the greater the F, the commercial banks will be inclined to innovate the shadow banking business to promote the healthy development of the commercial banks' shadow banking business; for regulators, if they are to commercial banks The smaller the cost of the supervision of the shadow banking innovation behavior is, the smaller the C2 is, the greater the hidden income M is obtained after the supervision. And when the shadow banking business of the commercial bank has a security problem, the greater the penalty D of the higher government department is to the regulatory agency, the regulatory agency will be inclined to supervise the shadow banking business of commercial banks. Effectively prevent the risk of shadow banking of commercial banks.
Secondly, the incentive model for the shadow banking regulator of commercial banks is established by the government departments. Under symmetric information, the shadow banking supervisors of commercial banks do not take any risks, and their income is just equal to the sum of the supervisor's retained earnings and the effort cost. Sub banking regulators need to undertake certain risks, and their efforts and fixed wages have decreased compared with the conditions under symmetric information; the expected earnings of the government departments have also declined. Therefore, a corresponding incentive scheme is needed to supervise the best endeavor of the shadow banking regulators in commercial banks. It also suggests that the accountability system should be incorporated into the supervision and assessment of shadow banking in commercial banks.
Thirdly, under the asymmetric information conditions, the revenue of the shadow banking regulators of the government departments and commercial banks is related to the overall quality of the shadow banking regulator and the overall risk of the system. It also affects the rational behavior and decision-making of the two sides. A commercial bank with high quality is the shadow banking industry. The supervisory staff can not only improve the expected income of the government departments, but also increase their income, and then realize the government's regulatory objectives, and try to investigate and deal with the illegal and innovative behavior of the commercial banks' shadow banking business. Therefore, the regulators should make efforts to improve the comprehensive quality of the supervisors to cope with the shadow of the changing commercial banks. Banking business.
Finally, the shadow banking business of commercial banks in China is brought into the framework of prudential supervision, the general model of the prudential supervision process of the shadow banking business of commercial banks and the prudent supervision model of the shadow banking business of commercial banks based on the pre commitment system are constructed. The prudential supervision and supervision of the shadow banking business of commercial banks The mechanism should be established on the basis of respect for the management autonomy of commercial banks, avoid excessive interference and control on the business activities of the commercial banks' shadow banking business, and should give sufficient freedom in business innovation and pricing, and embody the principle of incentive compatibility in the design of the mechanism; in addition, the regulatory machine It also stipulates the minimum Prudential management standards for the shadow banking business of commercial banks to ensure that commercial banks operate conscientiously in the day-to-day operation of the shadow banking business.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.1;F832.39

【参考文献】