系统性金融风险的传导、监管与防范研究

【作者】 王大威；

【导师】 王松奇；

【作者基本信息】 中国社会科学院研究生院 ， 金融学， 2012， 博士

【摘要】 对于人类金融史上大大小小的历次危机，在金融理论研究方面，人们的危机理论研究热情从未减弱过。而对于金融危机发生的原因，尽管仁者见仁、智者见智，但之前出发的视角均是认为金融危机的原因是由单一风险、单一市场引发而来，进而大规模扩散的，尚缺乏整体性的梳理和研究。在20世纪20年代爆发美国大萧条后，关于金融理论特别是金融危机理论的研究出现空前繁荣，特别是凯恩斯主义和古典主义持续数十年的大论战，使得人们对金融危机从发生到传导扩散再到形成危机，直至危机的救助和后续治理进行了深入研究，逐步形成了金融危机研究的系统性理论，并于20世纪80年，形成系统性风险、系统性金融风险的理论探讨。但当时尽管于20世纪70年代末，美国出现经济“滞胀”，并由日本、德国的高速发展以及欧洲的整体复苏使得美国世界霸主地位不再稳固，日本也于“广场协议”签订后出现了“失去的十年”，但整体而言，越发一体化的全球经济金融仍然处于繁荣时期。即使后来的美国网络泡沫的破裂，对全球经济的影响看似也波澜不惊。因此，对于系统性金融风险的研究还仍处于提出阶段，相关防范的宏观审慎监管也由于全球经济金融呈现于看似平静的局面，而并未引起理论界和实务界的重视。在时间转至2008年，美国次贷危机爆发进而转化为全球金融海啸后，持续平稳增长发展数十年的全球经济大厦似有轰然倒塌之势，连曾经的美联储主席格林斯潘也惊呼危机为“百年一遇”，系统性金融危机在这一背景下再次进入理论界和实务界的视野并进行了深入研究。为此，笔者恰逢此时攻读博士，故也将系统性金融风险作为自己博士论文的研究课题，进行研究，并发现在系统性金融风险爆发的整个过程中，系统重要性金融机构处于关键性位置。具体对于系统性金融风险的研究思路为：笔者第一步为探寻已有研究成果；第二步为在已有研究成果基础上结合本次危机的具体情况，归纳总结对系统性金融风险进行理论界定；第三步是探讨金融危机中系统性金融风险爆发的实际情况，从实证角度对系统性金融危机进行研究；第四步是对历次危机中系统重要性金融机构的具体表现进行案例分析，探讨系统性金融风险中位置最重的系统重要性金融机构在危机中可发挥的作用。第五步为对系统金融风险的诱因与传播进行归纳性研究；第六步为在已有全球和各国监管改革经验的基础上探寻金融海啸后世界金融改革可资借鉴的研究成果；第七步是对应对防范系统性金融危机重要手段的宏观审慎监管进行研究；第八步为在前面研究的基础上对系统重要性金融机构预警防范体系进性研究。本论文尽管对系统性金融风险进行了整体性全面地研究，并最终将系统性金融风险的研究落脚点放于对系统重要性金融机构的预警与防范之处。但客观地说，在研究的诸多方面仍存在不足。笔者仅希望自身的研究能够对系统性金融风险的全球研究有所贡献，对金融危机的未来防范理论发展尽到绵薄之力。更多还原

【Abstract】 In the financial history of human being, there are numbers of financial crises, people’senthusiasm of research in them are never diminished. For the reasons, benevolent seebenevolence and the wise see wisdom, most of researchers believed that those crises werecaused by single risk and single market, and then leaded to large-scale diffusion. However, suchtheory is lack of integral sorting out and research. After the Great Depression in the1920s, therewere a booming of financial theory and financial crisis theory, especially the debate betweenKeynesianism and classicalism which continued ten years long, so that people keep in-depthstudy on crises from beginning, diffusion and formation to follow-up treatment and thengradually formed a systematic theory of the financial crisis. Moreover, a theoretical discussionrelated to systemically risk and systematically financial risk occurred in1980s. Although at thattime in the late1970s, the US economy suffered stagflation, its leading position in the world wasstrongly threatened by rapidly developed Japan and Germany and no longer stable, as well asJapan felled into the lost decade after the signing of the Plaza Agreement, more integrated globaleconomy and finance were still in the boom on the whole. Even though the U.S. Internet bubbleburst, the impact on the global economy appears too placid. Therefore, the researches onsystematically financial risks is still in the proposed stage, related prevention ofmacro-prudential supervision did not attracted enough attention of the theory and practice ofcommunity due to the situation which was showed as calm of global economy.As time went by2008, the subprime mortgage crisis occurred in US and them rapidlyturned into the global financial tsunami, the edifice of global economy which remain steadilydeveloped for decades was suddenly crash down. Even former Federal Reserve Chairman, AlanGreenspan claimed that the crisis was “once in a hundred years”. The systemically financial riskre-entered the theory and practice vision and caused more in-depth studies in this background.As I worked hard at my Ph.D degree in this period, I put the systematically financial risk as myresearch topic as well; furthermore, I found that during the explosion of financial crisis,Systemically Important Financial Institutions were in a significant key position. My specifictrain of thought was show as follow. Firstly, I explore the existing research result of financialcrises and systematically risk. Secondly, summarizing the theory t of systemic financial risk definition, and combining with current circumstances base on existing result. The third step is todiscuss the outbreak of the systematically financial risks in financial crisis from an empiricalpoint of view. The fourth step is to conduct case studies to explore the specific performance ofthe previous crises systemically important financial institutions which in significant position inthe systematically financial risk. Next, conduct inductive research for the reasons and spread offinancial risk to the system. The following step is to explore the result of global financial reformafter the financial tsunami on the basis of the existing experiences of national regulatory andreform in main countries of the world. Seventhly, to deal with macro-prudential supervisionwhich have important meaning to prevent systematically financial crisis. Finally, on the basis ofprevious steps of study, research on how systemically important financial institutions to earlywarning and prevention financial crisis.This paper takes overall comprehensive study on systematically financial risk, and thenultimately put foothold in early warning and prevention of the systemically important financialinstitutions. However, objectively speaking, there is still insufficient in many aspects of the study.I only hope that my own research may contribute and make the humble to the global studies ofthe systematically financial risks, and to the future theoretical development of risk prevention.更多还原