农村信用社系统性风险管理研究

发布时间：2018-06-03 00:04

  本文选题：农村信用社 + 系统性风险　； 参考：《浙江工商大学》2017年博士论文

【摘要】：2008年从美国开始爆发的金融危机,引发了影响巨大的全球性经济危机和衰退,使得银行系统性风险更加被人们所关注和重视。尽管在这一轮金融危机中,我国银行业独树一帜,保持了平稳健康运行,但是随着经济发展速度的放缓、产业转型升级的加快、市场化改革的深入推进,银行业系统性风险正在逐步积累,相应地,我国政府正在对银行业系统性风险管理、金融稳定、银行市场化退出机制等方面开展积极的尝试和探索。现有的银行系统性风险研究文献,绝大多数关注大银行,主要聚焦在银行“大而不能倒”(Too big to fail)的问题,对中小银行特别是地位重要的农村信用社关注不足,对农村信用社地位重要“不可替代而不能倒”(Tooirreplaceabletofail)的问题研究不够,因此,将研究视角拓展到中小银行,对于管理和控制整个银行业的系统性风险具有开拓性的意义。同时,农村信用社作为传统的农村小银行,一方面在我国金融体系特别是农村金融体系中具有特殊的系统性重要地位和作用,另一方面农村信用社存在管理相对粗放、风险控制较为薄弱、应对市场变化手段不多等突出问题,使得其面临“地位太重要不能倒”和“风险管理薄弱容易倒”的两难问题,因此,开展农村信用社系统性风险管理的研究,不仅对我国金融体系特别是农村金融体系平稳持续发展具有重要意义,而且对整个经济社会发展特别是农村经济社会发展具有特殊意义。为了更为深入地研究农村信用社系统性风险,本文按照“提出问题——理论准备——分析问题——提出对策——结论与展望”五个步骤,首先是提出农村信用社系统性风险管理问题,其次对现有国内外银行系统性风险研究进行较为系统的回顾总结,然后从分析农村信用社系统性风险特点和机理入手,对Z省农村信用社系统性风险影响因素开展Logit面板实证分析,推导在净额支付结算方式下农村信用社系统性风险支付清算渠道传染条件和过程,利用射阳农村商业银行挤兑案例分析农村信用社系统性风险声誉传染渠道,基于Z省农村信用社及其辖内农村信用社的数据开展信用风险、利率风险和流动性风险压力测试,对提出的问题进入较为深入的剖析,并在此基础上提出了农村信用社系统性风险的管理措施,最后加以总结,对下一步研究做出展望。本文的主要研究结论如下:第一,农村信用社虽然单体机构规模不大,但是具有行业资产规模大、机构数量多、地位不可替代、风险管理薄弱、治理体系特殊等特点,是我国金融体系特别是农村金融体系中另类的系统重要性银行。与大型银行不同,农村信用社的系统性风险主要呈现农村地区传统小银行的特点:一是信用风险与流动性风险突出,二是抵御风险能力较弱,三是农村信用社机构之间风险关联性较大,四是农村信用社高风险机构仍然存在。第二,生产总值增长率、资本充足率、非利息收入比重、拨备覆盖率、净资产收益率的提高、行业管理制度数完备有助于减轻农村信用社的系统性风险,而贷款资产比的提高则会加大农村信用社系统性风险;其中资本充足率、非利息收入比重两个指标对农村信用社系统性风险影响大于其他5个指标;农村信用社自身的微观经营指标对系统性风险的影响多于宏观经济指标。第三,农村信用社体系内存在紧密的支付清算关系,清算支付渠道是农村信用社风险传染的重要渠道之一。在净额支付结算方式下,当农村信用社系统中有机构发生危机而违约,且违约的资金比例大于α0(农村信用社支付系统内违约资金比例的最高值)时,由于系统中某些农村信用社发生危机,其他健康的农村信用社拆借行为更加谨慎,产生“惜贷”行为,使得发生危机的机构无法拆借到足够的资金,进而给整个农村信用社支付清算系统带来更大的危机。第四,声誉风险渠道是农村信用社风险传染的重要渠道之一,信息传递方式的改变和银行业务交易方式的转变正在冲击农村信用社传统的挤兑方式;农村信用社资产规模偏小、资产质量偏弱,个人储蓄存款比重高、多为农户和集中在农村地区,农村信用社信息在社区中相对透明与受关注度较高,农村地区金融生态环境较差、非正规金融无序发展,农村信用社具有较强的同质性,机构之间互相传染概率偏高,使得农村信用社比一般银行更加容易发生挤兑事件。第五,基于Z省农村信用社及其辖内9家农村信用社的压力测试发现:从信用风险维度看,只有当不良贷款率上升到非常高的数值时,才会对Z省农村信用社资本充足率产生较大的影响;制造业、批发和零售业的行业冲击、小微企业和农户贷款的冲击均能对Z省农村信用社带来重大影响。从利率风险维度看,存款利率上浮,贷款利率下降以及存款利率上浮和贷款利率下降两者同步推进都能对Z省辖内9家农村信用社带来重大影响。从流动性风险维度看,不良贷款上升的冲击对Z省农村信用社流动性压力冲击最大,股市分流存款影响次之,法定存款准备金率提高的影响最小;在不良贷款冲击、股市分流存款、法定存款准备金率以及银行间市场融资受限等制约共同作用下,轻度压力和中度压力的情况下Z省农村信用社流动性仍然处于可控范围之内,但是在严重压力的情况下,Z省农村信用社融资备付金率将低于3%,将处于比较危险的情况。第六,农村信用社作为特殊的系统性重要银行,其治理机制与一般大型银行不同,不能简单地套用而是应该有选择性地采用大银行的风险管理措施,应采用强化农村信用社外部监管、加强省联社的行业管理和农村信用社机构自我管理有机结合的方式。在外部监管方面,一是加强日常监管,主要包括事前预防和事中控制,既有一般银行的共性,如建立健全风险处置的法律法规,积极打造良好的金融生态环境,充分发挥存款保险制度的作用,强化机构的信息披露等,也有农村信用社自身的特色,如加强对农村信用社系统性风险的监测和监管,及时主动处置高风险的农村信用社等。二是加强危机管理,属于事后处置,主要包括建立恢复机制、处置机制和危机管理工作机制。在强化省联社的行业管理方面,一方面是强化风险管理,具体又包括强化风险的防范和控制功能,建立农村信用社风险互助机制和建立农村信用社风险处置基金,另一方面是强化服务功能,主要包括丰富业务功能、强化科技支撑和加强软实力建设等。在农村信用社自身管理方面,推进全面风险管理、强化财务管理、突出资本管理在防控农村信用社单体风险过程中非常重要。本文与以往的文献相比,主要的改进和创新之处有以下四个方面:第一,系统性风险研究视角的拓展。首先,目前国内外学者对银行系统性风险的研究非常丰富,但是绝大多数研究都聚焦于大型银行的研究,集中关注银行“太大而不能倒”的问题,对中小银行特别是农村信用社在广大农村地区“由于唯一性而不能倒”的问题关注不够。其次,从单个机构看,农村信用社是小银行,但是从行业角度看,又属于大银行体系,其资产规模已经超过中国工商银行,机构数量超过全国银行总数的一半,是一个目前被忽视的大银行体系。最后,尽管目前也有对农村信用社风险的研究,但是受数据可得性等影响,主要仍然停留对单家农村信用社的较为简单的研究,缺乏研究的整体性和系统性。基于以上考虑,本文尝试从行业层面研究农村信用社系统性风险,既是对银行系统性风险研究的有益补充,也是对农村信用社风险管理研究的深化和拓展。第二,系统性风险的界定和影响因素选择。国际文献在对银行系统性风险研究过程中,由于国外经历了多轮金融危机,大多采用实际发生的银行法律破产、清算或倒闭等开展实证研究,针对性非常强、非常直观。自改革开放以来,我国经济金融处于快速发展上升过程中,包括农村信用社在内的银行业整体发展较为健康,加上政府对银行业在经济发展中作用的重视,事实上为银行提供了隐性担保,即使有部分银行出现资不抵债的情况(所有者权益小于或等于零),在日常经营仍然表现为正常运行,并没有发生大规模的银行破产或倒闭,因此无法采用国外通行的法律破产定义。为了更好地研究农村信用社系统性风险的影响因素,本文引入了经济破产的定义,即银行虽然已经出现资不抵债的情况,但是在政府隐性担保的情况下,仍然在继续运营,作为我国银行业系统性风险研究的替代方法。在银行系统性风险影响因素的选择上,现有文献既有对宏观经济金融变量的研究,也有对银行个体微观经营指标的分析,但是同时考虑宏观、微观变量的研究并不多。基于此,本文引入经济破产的定义来研究农村信用社的系统性风险,并从宏观经济金融和农村信用社微观经营指标两大方面入手,对影响农村信用社系统性风险的因素作了较为深入的研究。第三,风险传染的渠道。现有很多文献特别是国内文献对银行系统性风险传染主要集中于银行间拆借市场,重点在分析大型银行对其他银行的影响,对小银行之间特别是农村信用社之间风险传染关注非常少。基于此,本文从农村信用社机构之间存在较为密切的支付清算联系和高度相似的品牌形象等角度着手,尝试分析农村信用社较为独特的支付清算风险传染渠道和挤兑声誉风险传染渠道,以进一步丰富现有风险传染理论。第四,风险管理的维度。现有文献对农村信用社风险管理的维度,主要集中在两个方面:农村信用社的风险管理和农村信用社的风险监管。本文基于微观审慎与宏观审慎相结合的视角,围绕监管部门的外部监管、省联社的行业管理和农村信用社自身的风险管理三个维度,既注重农村信用社单体风险,也充分考虑农村信用社行业总体风险,有利于从整体上防范和控制农村信用社的系统性风险。
[Abstract]:The financial crisis that began to break out from the United States in 2008 has caused a huge global economic crisis and recession, which made the systemic risk of the bank more concerned and paid attention to. Although in this round of financial crisis, China's banking industry has been unique and maintained a smooth and healthy transportation, but with the slowdown of economic development, the industry is turning. With the acceleration of the type upgrading and the deepening of the market-oriented reform, the systemic risk of the banking industry is gradually accumulating. Accordingly, our government is trying and exploring the systematic risk management of the banking industry, the financial stability, the banking market withdrawal mechanism and so on. Banks, mainly focusing on the problem of "Too big to fail", have not paid enough attention to the small and medium banks, especially the important rural credit cooperatives, and are not enough to study the issue of "irreplaceable but incapable" (Tooirreplaceabletofail) of the status of the rural credit cooperatives. Therefore, the research perspective is extended to the small and medium banks. The management and control of the systemic risk of the whole banking industry is of pioneering significance. At the same time, as a traditional rural small bank, the rural credit cooperatives have a special and systematic role in our financial system, especially in the rural financial system. On the other hand, the management of rural credit cooperatives is relatively extensive, and the risk control is more than that of the rural credit cooperatives. In order to solve the problem of weakness and not many means of market change, it faces the dilemma of "too important status and weak risk management" and "risk management is weak and easy to fall". Therefore, the study of systematic risk management of rural credit cooperatives is not only important to the stable and sustained development of our financial system, especially in the rural financial system. It is of special significance to the development of the whole economic and social development, especially in the rural economic and social development. In order to further study the systemic risk of the rural credit cooperatives, this paper, first of all, puts forward the rural credit cooperatives according to the five steps of "putting forward the problem - theoretical preparation - Analysis of the problem - the Countermeasures - conclusions and prospects". The problem of unified risk management, followed by a systematic review of existing domestic and foreign banks' systemic risk research, and then starting with the analysis of the systemic risk characteristics and mechanisms of rural credit cooperatives, the empirical analysis of Logit panel is carried out on the systemic risk factors of the rural credit cooperatives in Z Province, and the countryside is derived under the net payment settlement mode. The condition and process of the system of systematic risk payment and liquidation channels of credit cooperatives are used to analyze the transmission channels of systematic risk reputation of rural credit cooperatives in Sheyang rural commercial banks. Based on the data of the rural credit cooperatives and their rural credit cooperatives in Z Province, the credit risk, interest rate risk and liquidity risk pressure are tested. On the basis of this, the paper puts forward the management measures of the systematic risk of rural credit cooperatives, and finally summarizes it and makes a prospect for the next step. The main conclusions of this paper are as follows: first, the rural credit cooperatives, although the scale of the monomer institutions are not large, has a large scale of industry assets, a large number of institutions, and the status of a large number of institutions. Irreplaceable, the risk management is weak, the management system is special and so on. It is an alternative system importance bank in our country's financial system, especially in the rural financial system. Unlike the large bank, the systemic risk of the rural credit cooperatives mainly presents the characteristics of the traditional small banks in the rural areas: first, the credit risk and liquidity risk are prominent, and the two is offset. The ability to resist risk is weak, three is that the risk association between the rural credit cooperatives is large, and the four is that the high risk institutions in the rural credit cooperatives still exist. Second, the growth rate of gross production, the capital adequacy ratio, the proportion of non interest income, the reserve coverage rate, the increase of net assets yield, and the complete number of industry management systems help to reduce the rural credit cooperatives. Systematic risk, and the increase of loan asset ratio will increase the systemic risk of rural credit cooperatives; the two indexes of capital adequacy ratio and non interest income proportion have greater impact on the systemic risk of rural credit cooperatives than the other 5 indicators, and the micro operating indexes of rural credit cooperatives have more influence on systemic risk than macroeconomic indicators. Third, there is a close relationship between payment and settlement in the system of rural credit cooperatives, and the liquidation of payment channels is one of the important channels for the risk contagion of rural credit cooperatives. In the net payment settlement, there is a default in the system of rural credit cooperatives when there is a crisis in the rural credit cooperative system, and the ratio of funds for breach of contract is greater than that of a 0 (the system of breach of contract in the payment system of the rural credit cooperatives. At the highest value of the gold ratio), because of the crisis in some rural credit cooperatives in the system, other healthy rural credit cooperatives are more prudent, producing a "reluctant loan" behavior, making the crisis institutions unable to borrow enough funds, and then bring a greater crisis to the whole rural credit cooperative payment and settlement system. Fourth, the reputation wind. The risk channel is one of the important channels for the risk contagion of the rural credit cooperatives. The change of the way of information transfer and the change of the way of the bank business transaction are impacting the traditional way of the run on the rural credit cooperatives; the rural credit cooperatives are small in size, the quality of assets is weak, the individual savings deposit ratio is high, and the farmers and rural areas are concentrated in the rural areas. The information of credit cooperatives is relatively transparent and highly concerned in the community, the financial ecological environment in rural areas is poor, the informal financial development is unordered, the rural credit cooperatives have strong homogeneity and the mutual transmission probability is high among institutions, which makes the rural credit cooperatives more prone to run the run events than the ordinary banks. Fifth, based on the rural credit of Z Province The pressure test of 9 rural credit cooperatives in the society and its jurisdiction found that, from the credit risk dimension, only when the bad loan rate rises to a very high value will have a great influence on the capital adequacy ratio of the rural credit cooperatives in Z province; the impact of the manufacturing industry, the wholesale and retail industry, the impact of the small and micro enterprises and the farmers' loans can all be on the Z province. From the interest rate risk dimension, the floating rate of deposit interest rate, the decline of the loan interest rate and the synchronous advance of the deposit interest rate rise and the loan interest rate decline can have a significant impact on the 9 rural credit cooperatives within the Z province. From the liquidity risk dimension, the impact of the rise of bad loans on the liquidity of the rural credit cooperatives in Z Province The impact of the pressure is the most, the stock market distributary deposit has the second effect, the increase of the reserve ratio is the least, and the liquidity of the rural credit cooperatives in Z province is still under the condition of the adverse loan impact, the stock market shunt deposit, the legal deposit reserve ratio and the interbank market financing restriction. Within the controllable range, however, in the case of serious pressure, the financing rate of the rural credit cooperatives in Z province will be less than 3%, and it will be in a relatively dangerous situation. Sixth, as a special and systematic important bank, the governance mechanism of the rural credit cooperatives is different from that of the general large banks, but it should not be simply used but the big banks should be selectively adopted. The measures of risk management should be strengthened by strengthening the external supervision of the rural credit cooperatives and strengthening the organic combination of the industry management of the Provincial Association and the self-management of the rural credit cooperatives. In the aspect of external supervision, one is to strengthen the daily supervision, including the prevention and the control in the event, which has the commonness of the general banks, for example, to establish and improve the risk disposal. Laws and regulations, actively create a good financial ecological environment, give full play to the role of the deposit insurance system, strengthen the information disclosure of institutions, and also have the characteristics of the rural credit cooperatives, such as strengthening the monitoring and supervision of the systematic risk of rural credit cooperatives, and timely and active disposal of high risk rural credit cooperatives. Two is to strengthen the crisis management, On the one hand, strengthening risk management, including strengthening the prevention and control function of risk, establishing risk mutual mechanism of rural credit cooperatives and establishing risk disposal fund for rural credit cooperatives, and establishing the risk disposal fund for rural credit cooperatives. Strengthening the service function, mainly including enriching business functions, strengthening the support of science and technology and strengthening the construction of soft power. In the management of rural credit cooperatives, it is very important to promote comprehensive risk management, strengthen financial management, and highlight the capital management in the prevention and control of the single risk process of rural credit cooperatives. The improvement and innovation are the following four aspects: first, the development of systematic risk research perspective. First, the domestic and foreign scholars are very rich in the research of banking systemic risk, but most of the research focuses on the research of large banks, focusing on the problem of "too big and unable to fall" on banks, especially for small and medium banks. The rural credit cooperatives have not paid enough attention to the problem of "uniqueness but cannot be inverted" in the vast rural areas. Secondly, from a single institution, the rural credit cooperatives are small banks, but from the view of the industry, they belong to the large bank system, and their assets have already exceeded the ICBC and the number of institutions exceeds half of the total number of the national banks. In the end, although there is a study on the risk of the rural credit cooperatives at the end of the year, it is affected by the availability of data and so on. It is still a simple study of the single rural credit cooperatives and lacks the integrity and systematicness of the research. Based on the above considerations, this paper tries to study the rural credit cooperatives from the industry level. The unified risk is not only a beneficial supplement to the research of the systematic risk of the bank, but also the deepening and expansion of the research on the risk management of the rural credit cooperatives. Second, the definition of systematic risk and the choice of the influencing factors. Since the reform and opening up, China's economic and financial development has been in the process of rapid development, and the overall development of the banking industry, including the rural credit cooperatives, is healthier, and the government attaches great importance to the role of the banking industry in the economic development, in fact, The bank provides a hidden guarantee. Even if some banks are insolvency (the owner's equity is less than or equal to zero), it is still functioning normally in the daily operation, and there is no large bank bankruptcy or bankruptcy, so it is impossible to adopt the foreign legal bankruptcy definition. In order to better study the rural credit cooperatives system. The influence factor of sexual risk, this article introduces the definition of economic bankruptcy, that is, although the bank has already appeared in the situation of insolvency, but under the circumstances of the government recessive guarantee, it still continues to operate as an alternative to the systematic risk research of the banking industry in our country. In the study of macroeconomic and financial variables, there is also an analysis of the micro operating indexes of individual banks, but there are not many studies on macro, micro variables. Based on this, this paper introduces the definition of economic bankruptcy to study the systematic risk of rural credit cooperatives, and from the macro economic and rural credit cooperatives micro management indicators two generous. The factors that affect the systemic risk of rural credit cooperatives are studied in depth. Third, the channel of risk contagion. Many existing literatures, especially domestic literature, mainly focus on the interbank lending market mainly for the systemic risk contagion of banks, focusing on the analysis of the impact of large banks on other banks, especially among small banks. On the basis of this, this paper tries to analyze the more unique channels of contagious payment and liquidation of rural credit cooperatives and the channel of risk contagion for the reputation of the rural credit cooperatives. Step enriches the existing risk contagion theory. Fourth. Dimensions of risk management. The main dimensions of risk management in rural credit cooperatives are the existing literature.
【学位授予单位】：浙江工商大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F832.35
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本文编号：1970693