中国证券业宏观审慎监管问题研究

发布时间：2018-03-27 12:32

本文选题：证券业　切入点：宏观审慎监管　出处：《武汉大学》2013年博士论文

【摘要】：2008年的国际金融危机给世界经济带来巨大的冲击,也引发国际金融界对金融监管体制的深刻反思。学界一致认为金融监管滞后和监管措施失当是引发此次危机的深刻诱因。危机前,金融监管过度强化微观审慎监管,而忽视宏观审慎监管的理念,难于解决金融体系内在顺周期性和系统重要性金融机构“大而不能倒”的问题,正是犯下了“只见树木、不见森林”的谬误。危机爆发后,美国、英国、欧盟等主要经济体以及巴塞尔委员会、国际货币基金组织等国际金融组织纷纷出台金融监管改革法案,构建宏观审慎监管框架,提升系统性金融风险防控能力,从根本土维护各国和全球金融稳定。在此背景下,新巴塞尔资本协议(简称巴塞尔Ⅲ)应运而生,我国银行业监管部门也出台配套政策,完善国内商业银行宏观审慎监管的框架和举措。作为国内金融体系重要组成部分且快速成长的证券行业,是否存在与宏观经济亲周期的行为,如何构建行业逆周期调节的机制,以及如何应对证券公司共同体风险敞口及风险传染的问题,都是我国证券业监管不可回避的问题。为此,本文应用BEKK-GARCH模型对我国宏观经济、证券行业、非证券金融行业进行了实证,并得出我国证券行业发展与宏观经济增长显著存在波动溢出效应的结论。进一步分析表明,我国证券行业的顺周期效应更多表现为,证券行业时常受宏观经济波动影响,而呈现出大起大落的局面。在此基础上,为缓解证券行业顺周期性的过度扩张或急剧萎缩的问题,我们通过多个动态回归模型比较发现,以A股新开户数等7组指标历史缺口数据,外推3个月预测证券行业营收偏离率(RGAP)效果最优,相关实证结论可作为我国证券行业决策逆周期调节时点的重要参考。通过对国内最早上市的8家证券公司相关股价日收益率的波动序列进行分析,本文还证明了我国证券公司波动高度相关,行业共同风险敞口问题明显。此外,对于国内大中型证券公司,各公司之间总体呈现出风险波动由大型公司渐次向中型证券公司传导的趋势。但个别区域性较强的中小证券公司的股价波动则显著领先于上证指数和大中型上市证券公司股价波动,呈现出一定的独立性。依据本文相关实证结论,并借鉴国际宏观审慎监管最新动态,我们提议应抓紧解决国内证券行业宏观审慎监管相关突出问题。首先,应统筹考虑证券行业因素,构建国内金融业宏观审慎监管机制。加强监管协作,解决目前金融监管领域存在的监管真空和监管缺位等突出问题。其次,应借鉴本文实证研究,构建规则导向为辅,相机抉择为主的证券行业逆周期调节机制,并同步应对公允价值会计准则和信用评级导致的顺周期性问题。此外,还应区别对待,加强对行业龙头型证券公司和特定风险类中小证券公司的行业监管。最后,应通过提升行业压力测试水平,完善流动性风险防范机制,加大风控法规违规处罚力度等手段,切实增强证券行业防范和应对系统性风险的能力。相对商业银行领域,我国证券行业宏观审慎监管研究仍处于探索和起步阶段。本文力求通过实证分析,对解决国内证券行业当前存在的内在顺周期性以及共同风险敞口等问题有所助益。受行业历史数据收集困难等制约,本文相关研究用于指导国内证券行业监管实践也还存有一定的局限,未来,仍有待进一步深化相关研究课题,借以构建更为完善,并贴合行业发展动态的证券行业宏观审慎监管框架。
[Abstract]:The international financial crisis brought great impact to the world economy in 2008 , and it also caused the deep reflection of the international financial community to the financial supervision system . The academic circles agreed that the delay of financial supervision and the loss of supervision measures were the deep inducement to the crisis . After the crisis broke out , major economies such as the United States , the United Kingdom , the European Union , and the international financial organizations , such as the Basel Committee and the International Monetary Fund , have issued financial supervision and reform laws , and it is difficult to solve the problems that the financial system is inherently compliant with the cyclical and systemic importance financial institutions . In this context , the new Basel Capital Accord ( Basel III ) has emerged , and China ' s banking regulatory authorities have also issued supporting policies to improve the framework and initiatives of macro - prudential regulation of domestic commercial banks .

As an important part of domestic financial system and rapidly growing securities industry , there is a question of how to establish the mechanism of market reverse cycle adjustment and how to deal with the risk exposure and risk infection in our country .

Based on the positive conclusion of this paper , and using the latest developments of international macro - prudential regulation , we propose that we should grasp the macro - prudential supervision and supervision mechanism of domestic securities industry . First of all , we should take into consideration the factors of securities industry and construct the macro - prudential supervision mechanism of domestic financial industry .

In the field of commercial banks , the macro - prudential regulation of our securities industry is still in the exploration and start - up phase . This paper tries to analyze the problems such as the inherent cis - cyclical nature and the common risk exposure in the domestic securities industry .

【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.5

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