银行间市场影响金融稳定的机制研究
发布时间：2019-02-28 13:27
【摘要】：2007-2009年全球金融危机肇始于美国次级贷款人对住房抵押贷款的大范围违约,而危机在金融体系内的蔓延则要归因于银行间市场出现流动性枯竭。流动性枯竭使得银行间市场在金融机构间平滑流动性的基本功能受到严重破坏,大量赖此获取流动性的影子银行机构被迫清算资产,导致金融资产出现贱价销售(Fire-Sale)。资产价格大幅下跌产生的负外部性以及逐日盯市(Mark-to-market)的会计制度使得一些银行等金融机构陷入破产的境地。危机过后,学术界开始反思银行间市场在此次危机中所起的作用,以期通过借助一些监管措施来防范此类的再次发生。尽管此次全球金融危机对中国的影响较小,然而内在的经验教训确实值得我们深思与学习。本文沿着这一方向进行思考,试图系统研究银行间市场影响金融稳定的内在机制。具体而言,本文集中于考察银行间市场影响金融稳定的三个关键机制：风险分担、市场约束与风险传染。当金融体系面临冲击时,风险分担有利于维护金融稳定,而市场约束与风险传染则会放大冲击的影响,有碍于金融稳定的维持。本文首先通过文献梳理阐明三大机制的内在逻辑,然后重点放在寻找相关机制的经验证据,特别是中国背景下的经验证据。基于一个理想的自然实验场景,本文为风险分担机制提供了实证支持；依据我国银行业面板数据,运用工具变量估计方法,本文研究发现我们银行间市场存在市场约束；借助“钱荒”提供的事件研究基础,本文发现了银行间市场风险传染的证据。
[Abstract]:The global financial crisis began in 2007-2009 when U.S. subprime lenders defaulted extensively on home mortgages, and the contagion of the crisis in the financial system was due to the drying up of liquidity in the interbank market. The depletion of liquidity has seriously undermined the basic function of interbank markets to smooth liquidity among financial institutions. A large number of shadow banking institutions that rely on this liquidity have been forced to liquidate their assets, which has led to the occurrence of low-price sales (Fire-Sale) of financial assets. The negative externalities of the sharp fall in asset prices and the Mark-to-market accounting system put some banks and other financial institutions into bankruptcy. After the crisis, academia began to reflect on the role of interbank markets in the crisis, with a view to preventing such recurrence through regulatory measures. Although the impact of the global financial crisis on China is small, the inherent lessons are indeed worth pondering and learning. This paper tries to systematically study the internal mechanism of the influence of interbank market on financial stability by thinking along this direction. Specifically, this paper focuses on the three key mechanisms of interbank market affecting financial stability: risk sharing, market constraints and risk contagion. When the financial system is faced with shocks, risk sharing is conducive to maintaining financial stability, while market constraints and risk contagion will amplify the impact of the impact and hinder the maintenance of financial stability. This paper first clarifies the internal logic of the three mechanisms through literature review, and then focuses on finding empirical evidence of the relevant mechanisms, especially in the context of China. Based on an ideal natural experimental scenario, this paper provides empirical support for the mechanism of risk sharing, according to the panel data of China's banking industry, using the tool variable estimation method, this paper finds that there are market constraints in our inter-bank market. This paper finds evidence of risk contagion in the inter-bank market with the help of the event research basis provided by the money shortage.
【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.33
本文编号：2431839
[Abstract]:The global financial crisis began in 2007-2009 when U.S. subprime lenders defaulted extensively on home mortgages, and the contagion of the crisis in the financial system was due to the drying up of liquidity in the interbank market. The depletion of liquidity has seriously undermined the basic function of interbank markets to smooth liquidity among financial institutions. A large number of shadow banking institutions that rely on this liquidity have been forced to liquidate their assets, which has led to the occurrence of low-price sales (Fire-Sale) of financial assets. The negative externalities of the sharp fall in asset prices and the Mark-to-market accounting system put some banks and other financial institutions into bankruptcy. After the crisis, academia began to reflect on the role of interbank markets in the crisis, with a view to preventing such recurrence through regulatory measures. Although the impact of the global financial crisis on China is small, the inherent lessons are indeed worth pondering and learning. This paper tries to systematically study the internal mechanism of the influence of interbank market on financial stability by thinking along this direction. Specifically, this paper focuses on the three key mechanisms of interbank market affecting financial stability: risk sharing, market constraints and risk contagion. When the financial system is faced with shocks, risk sharing is conducive to maintaining financial stability, while market constraints and risk contagion will amplify the impact of the impact and hinder the maintenance of financial stability. This paper first clarifies the internal logic of the three mechanisms through literature review, and then focuses on finding empirical evidence of the relevant mechanisms, especially in the context of China. Based on an ideal natural experimental scenario, this paper provides empirical support for the mechanism of risk sharing, according to the panel data of China's banking industry, using the tool variable estimation method, this paper finds that there are market constraints in our inter-bank market. This paper finds evidence of risk contagion in the inter-bank market with the help of the event research basis provided by the money shortage.
【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.33
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