混业经营对系统性风险的影响研究
发布时间：2019-06-05 08:15
【摘要】：2008年的金融危机，让人们深刻认识到金融机构的过度混业经营对金融稳定造成的负面影响。商业银行通过并购、参股和控股等方式发起和持有的对冲基金、私募股权基金，在本轮金融危机中遭受了巨大的损失，并迫使政府不得不耗费巨大的人力财力予以救助。这次危机在某种程度上可以视为混业经营潜在风险的一次集中大爆发。尽管如此，从危机后的实践来看，混业经营仍是国际金融业的发展趋势。我国自2006年3月“十一五”规划明确提出“稳步推进金融业综合经营试点”以来，混业经营已初具规模。在此国际国内大背景下，，研究金融机构的混业经营对系统性风险影响非常有必要。 首先，本文阐述了混业经营对系统性风险的作用机理。提出了混业经营对金融机构系统性风险影响的理论：适度混业经营有利于降低金融机构的系统性风险，过度混业经营将加剧金融机构的系统性风险。 接下来，实证分析了混业经营对系统性风险的影响。构建混业经营对系统性风险影响的非线性面板模型，系统性风险根据边际期望损失法测算，混业经营程度用赫芬达尔指数代表，非线性影响用赫芬达尔指数的平方项反映。研究表明：混业经营程度与系统性风险的关系呈现出“U型”特征，即混业经营程度与系统性风险之间存在一个阈值，当金融机构混业经营程度超过阈值，将导致系统性风险的增大。这与前面提出的理论相符。 最后，本文总结了危机后各国基于系统性风险防范的混业经营制度改革的经验，结合实证结果，针对我国金融业混业经营的所处的阶段，提出稳妥推进我国混业经营制度的基本设想：立法上，应立足于我国现有法律法规体系，借鉴欧美各国混业经营立法规范，吸取欧美混业经营发展的经验教训，修改和完善当前的法规，规范我国金融业混业经营发展；组织模式上，短期可借鉴以美国为代表金融控股公司模式，各方面条件成熟后可实行全能银行制的组织模式；监管机制上，应从监管架构、监管协调机制、监管能力方面构建与混业经营相匹配的监管机制。
[Abstract]:The financial crisis in 2008 made people deeply realize the negative impact of excessive mixed operation of financial institutions on financial stability. Hedge funds and private equity funds initiated and held by commercial banks through mergers and acquisitions, equity participation and holding have suffered huge losses in the current financial crisis, and forced the government to spend a lot of human and financial resources to rescue them. To some extent, the crisis can be seen as a concentrated outbreak of potential risks in mixed operations. Nevertheless, from the post-crisis practice, mixed operation is still the development trend of international financial industry. Since the 11th five-year Plan in March 2006 clearly put forward the pilot project of "steadily promoting the comprehensive management of the financial industry", the mixed operation has begun to take shape. In this international and domestic context, it is necessary to study the impact of mixed operation of financial institutions on systemic risk. First of all, this paper expounds the mechanism of mixed operation on systemic risk. This paper puts forward the theory of the influence of mixed operation on the systemic risk of financial institutions: moderate mixed operation is beneficial to reduce the systemic risk of financial institutions, and excessive mixed operation will aggravate the systemic risk of financial institutions. Next, the impact of mixed operation on systemic risk is empirically analyzed. The nonlinear panel model of the influence of mixed operation on systemic risk is constructed. According to the marginal expected loss method, the degree of mixed operation is represented by Huffindar index, and the nonlinear effect is reflected by the square term of Huffindal index. The results show that the relationship between the degree of mixed operation and systemic risk is "U-shaped", that is, there is a threshold between the degree of mixed operation and systemic risk, when the degree of mixed operation of financial institutions exceeds the threshold, Will lead to an increase in systemic risk. This is consistent with the theory put forward earlier. Finally, this paper summarizes the experience of the reform of mixed operation system based on systemic risk prevention in various countries after the crisis, combined with the empirical results, aiming at the stage of mixed operation of financial industry in our country. This paper puts forward the basic assumption of steadily promoting the mixed operation system of our country: in legislation, it should be based on the existing legal and legal system of our country, draw lessons from the legislative norms of mixed operation in Europe and the United States, and draw lessons from the experience and lessons of the development of mixed operation in Europe and the United States. Revise and perfect the current laws and regulations, standardize the development of mixed operation of financial industry in our country; In terms of organizational model, we can draw lessons from the model of financial holding company represented by the United States in the short term, and we can carry out the organizational model of universal bank system when the conditions are mature. In the supervision mechanism, we should construct the supervision mechanism matching with the mixed operation from the aspects of the supervision structure, the supervision coordination mechanism and the supervision ability.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2
本文编号：2493378
[Abstract]:The financial crisis in 2008 made people deeply realize the negative impact of excessive mixed operation of financial institutions on financial stability. Hedge funds and private equity funds initiated and held by commercial banks through mergers and acquisitions, equity participation and holding have suffered huge losses in the current financial crisis, and forced the government to spend a lot of human and financial resources to rescue them. To some extent, the crisis can be seen as a concentrated outbreak of potential risks in mixed operations. Nevertheless, from the post-crisis practice, mixed operation is still the development trend of international financial industry. Since the 11th five-year Plan in March 2006 clearly put forward the pilot project of "steadily promoting the comprehensive management of the financial industry", the mixed operation has begun to take shape. In this international and domestic context, it is necessary to study the impact of mixed operation of financial institutions on systemic risk. First of all, this paper expounds the mechanism of mixed operation on systemic risk. This paper puts forward the theory of the influence of mixed operation on the systemic risk of financial institutions: moderate mixed operation is beneficial to reduce the systemic risk of financial institutions, and excessive mixed operation will aggravate the systemic risk of financial institutions. Next, the impact of mixed operation on systemic risk is empirically analyzed. The nonlinear panel model of the influence of mixed operation on systemic risk is constructed. According to the marginal expected loss method, the degree of mixed operation is represented by Huffindar index, and the nonlinear effect is reflected by the square term of Huffindal index. The results show that the relationship between the degree of mixed operation and systemic risk is "U-shaped", that is, there is a threshold between the degree of mixed operation and systemic risk, when the degree of mixed operation of financial institutions exceeds the threshold, Will lead to an increase in systemic risk. This is consistent with the theory put forward earlier. Finally, this paper summarizes the experience of the reform of mixed operation system based on systemic risk prevention in various countries after the crisis, combined with the empirical results, aiming at the stage of mixed operation of financial industry in our country. This paper puts forward the basic assumption of steadily promoting the mixed operation system of our country: in legislation, it should be based on the existing legal and legal system of our country, draw lessons from the legislative norms of mixed operation in Europe and the United States, and draw lessons from the experience and lessons of the development of mixed operation in Europe and the United States. Revise and perfect the current laws and regulations, standardize the development of mixed operation of financial industry in our country; In terms of organizational model, we can draw lessons from the model of financial holding company represented by the United States in the short term, and we can carry out the organizational model of universal bank system when the conditions are mature. In the supervision mechanism, we should construct the supervision mechanism matching with the mixed operation from the aspects of the supervision structure, the supervision coordination mechanism and the supervision ability.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2
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