【作者】 翟光宇；

【导师】 赵胜民；

【作者基本信息】 南开大学 ， 金融学， 2012， 博士

【摘要】 从宏观经济角度看，改革开放三十多年来，中国通过渐进式改革逐步从计划经济步入市场经济发展模式，但是在金融行业市场化改革的发展还远远不够。中国的金融业目前仍然是一个政府主导型行业，中国政府对于金融业的控制是强有力的。具体体现在商业银行的国有控股性质；存贷款基准利率央行统一制定；信贷规模的控制等诸多方面。尽管金融自由化一直受到争议，国家出于金融安全及政治稳定等因素的考虑必须对金融业施行必要的管制。但是不可否认的是，金融市场化在调节资源配置，提高经济效率等方面发挥着巨大的作用。因此稳步推进金融市场化发展对我国的经济发展有着重要的实践意义。从银行业发展的微观角度看，中国企业的融资手段依然以商业银行贷款的间接融资为主，在这样的背景下加强银行业的风险监管对我国的意义尤为重要。中国银监会对银行的监管一直以巴塞尔协议为蓝本依托，制定符合中国国情的监管制度。而巴塞尔协议的三大监管支柱为：（1）资本充足监管；（2）监管当局监管；（3）市场约束监管。所谓市场约束即为发挥市场力量对银行业的风险行为构成约束，形成一种以市场为导向的监管机制。可见市场约束是集合市场经济和监管机制的综合产物。作为巴塞尔协议银行监管的第三大支柱，市场约束在商业银行监管中发挥着不可替代的作用。本文旨在运用从总体到细节的分析框架与方法，并结合金融学的分支以及数学的重要原理，同时利用计量方法和翔实的数据对中国商业银行的市场约束情况进行理论分析和实证研究。在理论方面，建立综合考察市场约束主要主体——存款人、债权人、股东的激励机制以及商业银行对市场约束的博弈反应等模型；在实证方面，结合中国商业银行的实际数据进行逐一分析。进而研究市场约束如何发挥其对商业银行监管的主要规律和作用机制，并结合中国实际，探求市场约束在我国的发展情况。本文通过以上分析论述得出一些关于如何通过市场约束促进商业银行监管的结论，并对中国的银行业监管发展进行展望。本文共有八章。第一章为导论，介绍问题提出的背景、本文的研究思路、方法、特点，以及本文的创新点及难点。第二章为理论综述与文献述评。回顾了市场约束及其相关内容的重要文献，并从整体上阐述了市场约束的作用机制。详细论述了市场约束的历史、发挥作用的一般原理、市场约束的内涵及主体（存款人、次级债投资人、股东等）。在文献综述的同时简要的分析了市场约束的条件及发展，也分析了市场约束与其他监管支柱的联系。从第三章开始，具体分析市场约束主体在中国的实际情况。第三章从存款人的角度对市场约束作用的发挥进行论述。理论部分介绍了存款人发挥市场约束作用的机理及重要意义。实证部分就我国的存款市场进行了统计性描述及市场约束的计量分析。第四章从次级债投资人的角度对市场约束进行了论述。应用资产定价的原理，用数学模型推导了次级债投资人如何发挥市场约束作用。并就商业银行引入次级债后会引起其他利益相关人的变化进行了分析。并通过建立数学模型和数值模拟就我国次级债市场等问题的特殊性进行了分析。还就我国商业银行次级债发展的特有现象——“相互持有”的角度对市场约束的影响进行了分析。第五章从股东在股市进行交易的角度，对我国上市商业银行的市场约束进行了分析。本章论述了股东市场约束的内涵、意义，分析了我国商业银行股东的市场约束存在的途径。实证部分用GMM动态面板分析了基于股票交易的角度对商业银行风险的市场约束。实证结果显示，股票市场交易的非系统性波动对商业银行的风险管理构成了市场约束。第六章主要论述了市场约束受到周围环境怎样的影响。以及面对市场约束，商业银行会进行哪些相应的博弈。论述了信息披露与市场约束的关系；如果存在市场约束，或者市场约束预期，商业银行会做出盈余管理、资本管理、监管资本套利等博弈及外部环境对市场约束的影响。第七章总结了市场约束在我国的发展情况，对如何在我国践行市场约束等问题进行了分析。第八章为本文的总结论和未来的研究方向。通过理论和实证分析，本文得出如下结论：首先，市场约束在商业银行监管问题上发挥着不可替代的作用。第二，中国商业银行的市场约束机制还很薄弱，尤其表现在存款人及次级债投资人上。第三，面对市场约束，商业银行会做出盈余管理、资本管理等博弈反应。市场约束总体上促进巴塞尔协议的另两大监管支柱。第四，市场约束的发展在我国银行业是必要且重要的，因此应加强我国商业银行的市场约束监管，这对我国商业银行的健康发展具有重要意义。更多还原

【Abstract】 China has gradually change from a planned economy into market economymodel through this three decades,but in the financial industry,development of marketeconomy is not enough from a macroeconomic perspective.Chinese financial industryis still a government-led industry,the control of the financial sector by the Chinesegovernment is strong.The strong control embodied in the nature of state-controlledcommercial banks;The central bank develop the unified deposit and lending rate;Thecontrol of the size of credit and other aspects.Though financil liberalization has beencontroversial,national security and political stability for the financial and otherconsiderations must be necessary for the implementation of financial sectorregulation.But it is undeniable that the financial market increase economic efficiencyin the regulation of resource allocation.So steadily promote financial marketdevelopment for China’s economic development has important practicalsignificance.The indirect financing of Chinese enterprises are still bank loans,fromthe micro perspective of banking.In this context to strengthen banking supervision inChina’s sense of risk is particularly important.In the development of the regulatoryChina Banking Regulatory Commission has been relying on Basel and China’snational conditions.The three regulatory pillars of Baselare:(1)captital adequacyregulation;(2)supervision of regulatory authorities;(3)market discipline.The so-calledmarket discipline is the play of market forces on the risk of the banking sectorconstituted constraints,which form a market-oriented regulatory mechanisms.So the market discipline is the collection of market economy and the regulatorymechanism.As the third pillar of BaselⅡ, market discipline in the regulation ofcommercial banks play an irreplaceable role.This paper aims to use the analytical method from general framework to detailsand combined with finance branch and the important principles of mathematics.Whilethe use of measurement methods and detailed data on market discipline Chinesecommercial banks to conduct theoretical analysis and empirical research.This paperaims to establish a comprehensive study of the subject of market discipline:depositors, crediors,shareholders and the game between the banks and the market discipline bytheory model. In empirical, this paper analyze the actual data of Chinese commercialbanks. Then study the main rules and mechanisms how the market discipline play itsbanking supervision.And explore the development of market discipline in our countrycombined with Chinese reality.This papers draws some conclusion how to promotebanking supervision by market discipline,and make the outlook of the development ofChinese banking regulatory.This paper contains eight chapters.The first chapter is the introduction about thebackground of issues,the ideas,methods,features,and the innovation of this paper.Thesecond chapter is about the reviews of the literature and theory.This chapter reviewthe important documents of the market discipline and related content,and summarizesthe mechanism of market discipline.This chapter discuss the history of marketdiscipline,the general principles of market discipline,the contents of marketdiscipline,subjects(depositors,the investors of subordinated debt,shareholders,etc.)This chaper briefly analyze the conditions of market discipline and also analyzes thecontact of market discipline and the other two pillars.This paper begain to analyze thesubjects of market discipline from the third chapter.The third chapter discuss themarkt discipline from the perspective of depositors.Theoretical part describes themechanism and significance of depositors in market discipline.The empirical partmake a statistical description and quantitative analysis of deposit market.The forthchapter discuss the market discipline from the perspective of subordinated debtmarket.By application of asset pricing theory,we use the mathematical models toderive how subordinated debt investors play the role of market discipline.And analyzethe changes that other related subjects after the introduction of commercial banksubordinated debt. In the light of the large-scale cross-ownership of the subordinateddebts of domestic commercial banks, this paper attempts investigate the implicationof the cross-ownership of subordinated debts, by means of the establishment ofrelated mathematical models and the application of numerical analysis.The fifthchapter analyze the market discipline from the perspective of the shareholders in thestock market transactions.This chapter discusses the content, the significance and theways of shareholders market discipline.The GMM dynamic panel analysis is used to analyze the stock trading market discipline in empirical part.The empirical resultsshow that stock market volatility in trading of non-systematic constitute the marketdiscipline.The sixth chapter discusses the environment that impact marketdiscipline.And commercial banks how to make a game when they face to the marketdiscipline.This chapter also discuss the relationship between market discipline andinformation disclosure.If there are market discipline,or the expection of marketdiscipline,commercial banks will make earing management,capital management andregulatory capital arbitrage game and the external environment impact on marketdiscipline.The seven chapter summarizes the development of market discipline in ourcountry.And also analyze how to practice the market discipline in our country.Theeighth chapter make the general conclusions of this paper and the future researchdirections.This paper draw the conclusions through theoretical and empirical analysis:first,market discipline play an irreplaceable role in commercial banks regulation.Second,Chinese commercial banks’market discipline is also weak,especially in the depositorsand subordinated debt markets. Third, some commercial banks will make earningsmanagement,capital management and other games when they face the marketdiscipline.Market discipline will promote other two pillars of Basel.Fourth,thedevelopment of market discipline in Chinese banking industry is necessary andimportant.So we must strengthen the market discipline,that is important to the healthydevelopment of Chinese commercial banks.更多还原