对我国系统重要性银行的市场约束真的有效吗——基于9起监管事件的实证研究

发布时间：2018-11-09 12:04

【摘要】：由于系统重要性金融机构(SIFIs)存在"大而不倒"效应,如何对其进行有效监管,进而降低其可能带来的系统性风险,一直是一项重要问题。本文选取巴塞尔协议第三支柱市场约束这一角度,采用事件研究法,针对我国的全球系统重要性银行(G-SIBs)股票收益对于2011—2015年期间巴塞尔银行监管委员会、金融稳定理事会以及中国银监会发布的G-SIBs名单和出台SIBs监管政策等共9次监管事件产生的反应进行分析,并将我国进入G-SIBs名单和未进入该名单的上市银行进行了对比,旨在研究监管政策的出台是否影响了市场对于该类机构的预期,即是否起到了市场约束的效果。结果表明,其中仅有巴塞尔委员会发布更新后监管要求这一事件对相关G-SIBs股票收益产生了显著的负面影响,其他8次事件均未使相关银行股票产生显著的负异常收益。这表明在大部分情况下,市场约束在对我国SIBs的监管中并未起到显著作用,未达到降低该类银行道德风险的效果。
[Abstract]:Because (SIFIs) of systemically important financial institutions has the effect of "big but not falling", how to supervise it effectively and reduce its possible systemic risk is always an important problem. In this paper, the third pillar of the Basel Accord market constraint is selected, and the event study method is used to study the stock returns of the Global systemically important Banks (G-SIBs) for the period of 2011-2015 of the Basel Committee on Banking Supervision. The responses of nine regulatory events, such as the G-SIBs list issued by the Financial Stability Council and the China Banking Regulatory Commission, and the introduction of the SIBs regulatory policy, were analyzed, and the comparison between China's listed banks on the G-SIBs list and the listed banks not on the list was made. The aim is to study whether the introduction of regulatory policy has affected the market's expectations of such institutions, that is, whether the effect of market constraints. The results show that only the Basel Committee issued the updated regulatory requirements has a significant negative impact on the related G-SIBs stock returns, while the other eight events have not resulted in significant negative abnormal returns of the relevant bank stocks. This indicates that, in most cases, market constraints have not played a significant role in the supervision of SIBs in China, and have not achieved the effect of reducing the moral hazard of such banks.
【作者单位】：中国人民大学财政金融学院;中国矿业大学(北京)管理学院;
【分类号】：F832.1

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