【作者】 齐稚平；

【导师】 刘锡良；

【作者基本信息】 西南财经大学 ， 金融学， 2010， 博士

【摘要】 金融是现代经济的核心’,稳定而有效率的金融体系能够为经济发展提供有力支撑。但是最近30年以来,全球各国的金融体系并不稳定,频频爆发的金融危机为经济发展带来了惨重的代价。从1982年的拉美债务危机、80年代末美国储贷危机、90年代初北欧国家银行危机,到1997年肇始的东南亚金融危机,再到2007年爆发影响至今的美国次贷危机；从拉美洲的墨西哥、巴西、阿根廷,欧洲的昔日帝国英国,到创造亚洲奇迹的泰国、韩国,再到曾被誉为“拥有最完善的现代金融制度”的美国,金融危机绵延不断。从2007年美国次贷危机的爆发到2008年的全球金融风暴,再到2009年主要发达国家全部陷入经济衰退的过程,流动性的剧烈变化对全球经济金融的稳定带来了严峻挑战。面对来势汹涌的金融危机,各国政府都无法坐视不管,坐以待毙,纷纷频繁地出台大规模的危机救助措施。中央银行作为金融危机救助的主体之一,更是在宏观经济、问题金融机构、流动性匮乏的金融市场等层面展开全面救助。无论哪种救助措施中央银行都要为避免系统性恐慌而承担必要的成本,都需要耗费资源,那么中央银行在金融危机救助中应遵循怎样的最优救助原则呢?为减少危机救助的随意性,中央银行在决定是否救助及如何救助时,要估算在救助过程中需要耗费掉的资源成本与实现救助目标后的收益谁大谁小,要权衡救助的道德风险与不救助的传染效应孰重孰轻,因此,在干预行动前应进行必要的成本与收益分析。既要考虑直接成本和直接收益因素,也要考虑间接成本和间接收益因素。要从维护金融体系稳定、救助政策适时退出、谨防道德风险、根据宏观经济金融条件相机抉择、积极寻求国际协调等原则出发,统筹兼顾,综合权衡,决定是否救助并选择最优处置方式。本论文站在一般性中央银行的视角通过成本——收益分析方法对最优的金融危机救助原则进行研究。并对我国中央银行的金融危机救助问题提出有益的启示与建议。首先,梳理中央银行金融危机救助的理论基础。本文通过与“金融危机管理”的对比,界定了“金融危机救助”的概念；通过梳理“救与不救”的理论争议,讨论了金融危机救助的必要性；通过对“谁来救”问题的分析,探讨了金融危机救助的主体问题,由此建立了金融危机救助的一般框架。接着,本文分析了中央银行的金融稳定职能。对金融危机的救助是中央银行发挥金融稳定职能的表现,实现金融稳定也是金融危机救助的根本目的。因此,央行金融稳定职能是本文分析的基点。在此基础上,最后贷款人理论的演变与发展及已有的金融危机救助的成本与收益分析的文献为本文提供了理论基础。其次,本文通过国际历史经验的梳理,总结了英、美、日三国的中央银行金融危机救助的制度安排,分析了中央银行金融危机救助的典型案例。包括英国巴林银行倒闭案、美联储对LTCM救助案、美联储对1987年股灾和“9.11”的快速反应、东南亚危机中IMF的救助对策、雷曼兄弟破产案、各国中央银行对次贷危机的救助。这些案例既有救助的也有没有救助的,既有救助成功的也有救助失败的,旨在为提炼中央银行的最优救助原则提供事实依据。第三,在梳理中央银行金融危机救助的历史经验,尤其是总结次贷危机发生后美联储危机救助实践中采用的各种创新型工具的基础上,归纳中央银行金融危机救助可采取的措施,包括金融危机中的货币政策、对问题金融机构的救助、对流动性匮乏的金融市场救助三个层面。第四,通过对中央银行资产负债表的分析,考察金融危机救助的财务成本和引发的货币不稳定问题,这是央行金融危机救助的直接成本。中央银行资产负债表是中央银行全部业务活动的综合会计记录,中央银行正是通过自身的业务操作来调节商业银行的资产负债和社会货币总量。因此,本文在对中央银行金融危机救助直接成本的考察中,以中央银行资产负债表为分析对象。第五,利用委托代理理论及博弈理论,分析中央银行金融危机救助诱发的道德风险问题。道德风险被绝大多数经济学家认定为金融危机救助最大的成本,因为它带来了持久的负面影响,可能导致整个金融体系更趋脆弱。本文分析了在金融危机救助中存在的多重委托代理关系,及金融危机救助诱发道德风险的表现形式及影响。为降低道德风险,笔者进一步用博弈论的方法研究了中央银行基于道德风险的最优承诺的选择。第六,分析中央银行救助的收益,包括直接收益与间接收益。中央银行金融危机救助的收益不仅包括中央银行自身可以获得的盈利,还包括因为采取了救助措施而取得的社会经济状况的好转。直接收益是指中央银行在救助过程中对问题金融机构发放再贷款、购买价格较低问题金融资产,在金融机构恢复经营或问题金融资产流动性恢复的情况下,中央银行获得资产收益。因为中央银行不是以盈利为目的的金融机构,因此直接收益并不是中央银行进行救助决策时主要考虑的因素。决策时主要考虑的是救助的间接收益,即来自非量化的对金融危机救助的社会和经济评价,其核心体现为未造成的损失,也就是说通过挽救未进一步形成的损失就是救助所换来的收益,主要包括中央银行金融危机救助稳定了经济增长,降低了金融系统性风险。第七,将各种成本收益因素纳入成本函数、收益函数,在考察成本与收益曲线的基础上,考察封闭经济条件与开放经济条件下中央银行金融危机救助的国家效用函数。在封闭经济条件下,一国中央银行对金融危机的救助范围仅限于本国经济,不存在金融危机的国际传染,也不存在国际间金融危机救助的相互影响。在此条件下,金融危机救助的成本和收益完全体现在本国的国家效用函数之中。在开放经济条件下,金融危机可以通过贸易渠道、资本渠道在国际间传递,引发国际性金融危机。金融危机救助的成本可以在全球范围内分担和转移,救助的收益可以全球共享,甚至一国取得的救助收益有可能是建立在其他国家付出高昂的成本基础上的。因此,在开放经济条件下,中央银行金融危机救助存在着明显外部性问题。作为开放条件下危机救助成本国际间转嫁的例证,本文对次贷危机中美元汇率波动对全球经济的影响进行了分析。在考察中央银行金融危机救助的国家效用函数的基础上,得出本文的结论：最优的中央银行金融危机救助原则。包括维护金融体系稳定原则、救助政策适时退出原则、谨防道德风险原则、根据宏观经济金融条件相机抉择的原则及积极寻求国际协调的原则等。最后,针对我国中央银行金融危机救助的实践情况,分析了我国中央银行救助存在独立性不强、隐性担保严重、危机预警机制缺失等问题,提出了成本收益分析对我国金融危机救助的启示及建议。本文可能的创新之处在于一、用成本——收益法全面衡量中央银行金融危机救助行为。以往研究金融危机的研究成果中,采用成本收益分析的不多见。且仅有的研究文献中,有的以政府救助(包括财政救助与金融救助)为研究范围,有的以中央银行对问题金融机构充当最后贷款人为研究对象。本文是从中央银行的视角,研究范围是所有中央银行对金融危机的救助措施,而不局限于最后贷款人。二、将中央银行金融危机救助的措施划分为货币政策、问题金融机构救助、流动性匮乏的金融市场救助三个层面。已有的文献中将中央银行金融危机救助的措施概况为两个方面：通过公开市场操作向整个金融市场提供流动性(货币观点),和通过贴现窗口或直接贷款给个别金融机构(银行观点)。货币观点其实是在金融危机中相机抉择货币政策规则的运用,而银行观点则是指在危机中中央银行发挥最后贷款人的职能。本文在梳理中央银行金融危机救助的历史经验,尤其是总结次贷危机发生后美联储危机救助实践中采用的各种创新型工具的基础上,认为中央银行直接购买金融资产,或以缺乏流动性的金融产品为抵押向金融机构提供援助的做法有别于传统的货币政策和最后贷款人的救助,构成了中央银行对流动性匮乏的金融市场的金融救助。三、通过对中央银行资产负债表的分析研究金融危机救助的直接成本。已有文献中对中央银行资产负债表的分析集中于通过央行资产结构和规模的变化考察央行不断创新的金融救助措施,而对负债方关注很少。本文在分析金融危机救助的直接成本过程中以央行资产负债表为研究对象,研究的重点是金融危机救助中央行负债方结构与规模变化,进而考察央行金融危机救助的财务成本及引发的货币不稳定问题。四、利用国家效用函数研究金融危机救助的成本和收益。成本收益分析是在微观经济领域常见的分析方法,但在宏观经济领域中的应用有其特殊性,主要体现为宏观的成本与收益往往不具备以货币统一计量的性质,且可能存在外部性等问题,为此方法的应用增加了难度。因此,已有对金融危机救助的成本收益分析的文献中都以分别研究各成本或收益因素为主,未将成本收益纳入统一的函数中进行考察。为解决此问题,本文引用国家效用函数的概念,将金融危机救助的成本、收益因素纳入国家效用函数之中,以求满足国家效用最大化的最优条件。以往文献未见将国家效用函数引入金融危机救助分析的做法。五、分别在封闭经济条件及开放经济条件下研究中央银行金融危机救助的问题。两种经济条件下,假设条件不同,央行救助的成本与收益也有很大区别。在封闭经济条件下,一国中央银行对金融危机的救助范围仅限于本国经济。但是这种条件只是为了理论研究方便的一种假设。在经济全球化的今天,经济金融全球联系日益紧密,唇齿相依,金融危机通过国际贸易、国际资本流动等渠道在国际之间传染,金融危机救助也存在严重的外部性问题,救助的成本与收益可以在国际间转嫁与分担,尤其以次贷危机中各国中央银行的救助互相影响表现得最为显著。已有研究金融危机救助的文献中未见对两种经济条件的区分。本文的局限及下一步研究计划：一是中央银行金融危机救助的很多成本、收益因素无法量化,使得成本收益分析的结论不能像项目分析中那么明确,而只能得出原则性的结论。二是本文没有考虑金融危机中金融救助与财政救助的协调与配合问题,也没有考虑成本与收益在社会各部门间的分担与转移。在下一步研究中,本人拟对金融危机中各种救助措施的传导过程进行系统的研究,并争取进行量化的验证。更多还原

【Abstract】 Finance is the core of the modern economy. Stable and efficient financial system can provide strong support for economic development. But since recent 30 years, financial systems have been not stable at all in various countries.Financial crises outbreaks again and again, produces very disastrous cost for economic development.From 1982 Latin American debt crisis,American savings-and-loan debacle in 1980s, and Northern European bank crisis in 1990s,the financial crisis in Southeast Asia started from 1997, to the US subprime crisis started from 2007 and its influence has been alive until today, from Mexico,Brazil,Argentina in Latin America, formerly empire England in Europe, and Thailand,Korea created Asian miracle, to America ever called"owning the perfect modern financial regime",financial crises are contiguous.American subprime crisis broke out in 2007,changed to the global financial storm in 2008, brought most developed countries to economic recession in 2009.Violently changes of liquidity brought serious challenge to global economic and financial stability. Face to strong financial crisis,governments around the world can not sit still waiting for death,extensive crisis rescue measures carried out one after another. Central bank as one of the most important part for financial crisis rescue, put overall rescue measures on three levels into effect, including macro-economy,problematic financial institutions,and financial market lack of liquidity. No matter what rescue measures, central bank must undertake necessary cost to avoid systematic panic,must expend resource.What is the central bank’s optimal principle for financial crisis rescue? In order to reduce the arbitrary of financial crisis rescue, when decide whether to rescue or not, central bank should estimate which is bigger between the resource cost expended in crisis rescue and the benefit of realizing the rescue target, should estimate which is weightier beteen the moral risk in process of rescue and the contagion effect if not rescue. Therefore, before intervention action, it is necessary to make cost and benefit analysis. Not only take the direct costs and direct benefits into account, but also the indirect costs and indirect benefits. Central bank must make overall plans and take all factors into consideration, and follow these priciples to decide whether to rescue and how, including maintaining financial system stability, rescue policy timely withdrawing, bewaring of moral risk, discretionary approach based on macro economic financial condition, attempting to acquire international cooperation and so on.This paper from generalized central bank’s angle of view, studies on the optimal financial cirsis rescue principle by means of cost and benefit analysis, and makes a proposal on our country’s central bank rescue for financial crisis.Firstly, this paper clears up the theory basis of central bank rescue for financial crisis. Writer defines the concept of "financial crisis rescue", in contrast of "financial crisis management", discusses the necessity of financial cirsis rescue and who should undertake this important task, thus builds the general framework of financial crisis rescue. After that writer analyzes the central bank’s financial stability function, the development of Lender of the Last Resort(LLR), and the existing literatures about the cost and benefit analysis on financial crisis rescue.Secondly,this paper analyzes the international history experiences, such as the institutional arrangement of the UK, US and Japan’s central bank rescue for the financial crisis. This paper provides the typical cases study, including either rescue or not and the successful and failed ones, as the empirical basis of the optimal central bank rescue principles.Thirdly, according to the international history experiences of central bank rescue for financial crisis, especially the initiative measures used by American Federal Reserve(FED) to rescue for the subprime crisis, writer concludes the optional measures of central bank rescue for financial crisis, such as the monetary policy in financial crisis, the rescue for problematic financial institution and financial market lack of liquidity.Forthly,writer analyzes central bank balance sheet to discuss the financial costs and currency instability of rescue for financial crisis, which are the direct costs of the central bank rescue for fianancial crisis. Central bank balance sheet is the accounting record of central bank operations which is an important means to adjust the commercial bank’s balance and social monetary aggregates. Consequently, this paper researches the direct costs bases on the central bank’s balance sheet.The Fifth, we use the principal-agent theory and game theory to analyze the problem of moral risk caused by central bank rescue for financial crisis. Moral risk plays a grand negative role in the total financial system, as a result, some economists regard the moral risk as the biggest costs in the rescue for financial crisis. This paper also studys on the multiple principal-agent relations, impacts of moral risk on the rescue for financial crisis.In order to reduce the moral risk, we take advantage of the game theory to discuss the optimal promise level of central bank.The Sixth, the paper discusses the benefits of the central bank rescue, including the direct benefits and indirect benefits.These benefits include not only the central bank’s profits but also improvements on the economic situation, such as the rescue activity can maintain the economic growth and decrease the financial system risks.The seventh, according to the cost and revenue functions, writer studys the function of national utility, both in the closed economic conditions and open economic conditions. This paper draws the conclusions:the optimal principle of central bank rescue for financial crisis, including maintaining financial system stability, rescue policy timely withdrawing, bewaring of moral risk, discretionary approach based on macro economic financial condition, searching for international cooperation and so on.The last but not the least, based on the analysis of the special situation, writer points out the problems of China’s central bank rescue for financial crisis, such as weak central bank independence, serious implicit guarantee, and lack of crisis warning mechanism. On the ground of our reality, this paper brings forward suggestions for making use of costs and benefits to analyze China’s central bank rescue for financial crisis.The innovative points of this paper can be concluded as follows:1.This paper use cost and benefit analysis to measure the central bank rescue for financial crisis totally, which is seldom happened in the existing research on the financial crisis.Moreover,some literatures make government assistance(treasury assistance and financial assistance) as research field, anothers regard central bank as the Lender of Last Resort to deal with problematic financial institution. In the perspective of this article, the research field includes not only the lender of last resort, but also overall central bank rescue measures for financial crisis.2.Writer divides central bank rescue measures for financial crisis into three levels:monetary policy, problematic financial institution and financial market lack of liquidity.This paper induce that it is different among traditional monetary policy and the Lender of Last Resort and the way that central bank directly purchases the financial assets or uses the financial products lack of liquidity as mortgages to support financial institutions, which is financial rescue for the financial market lack of liquidity.3. This paper analyzes central bank’s balance sheet to study the direct costs of financial crisis rescue. The existing literatures focus on central bank financial rescue measures by the change of central bank asset struction and scale, but pay no attention to the liabilities. In order to study the direct costs of financial crisis rescue, this article regards the central bank balance sheet as research object, views the change of central bank liabilities struction and scale as the key point of study, and discusses the financial costs of central bank and the problem of currency instability.4. Writer makes use of the national untitity function to study the costs and benefits of financial crisis rescue. The existing literatures analyze cost factors or benefit factors of financial crisis rescue respectively, it is not occurred that costs and benefits are integrated into one function to discuss.5. This paper researches the problem of the central bank rescue for financial crisis respectively in the closed and opened economic conditions. The existing literatures do not distinguish this two conditions.The disadvantages of this paper:One, lots of cost and benefit factors of central bank rescue for financial crisis can not be made the quantification analysis. As a result, the conclusions can not be explicit.The other, this paper pays no attention to the cooperation of treasury rescue and financial rescue. Meanwhile, the writer does not discuss the share and transfer of costs and benefits among the social departments.Next research proposals:the writer will do more systematic researches on the conductive process of various rescue measures, and endeavour to make the quantification tests.更多还原