【作者】 季伟杰；

【导师】 巫和懋； 马君潞；

【作者基本信息】 南开大学 ， 金融学， 2012， 博士

【摘要】 2007-2009年由次贷危机引起的金融市场的混乱被看作是自从大萧条以来最严重的金融危机。与历次金融危机相同的是，这次金融危机之前同样经历了一段漫长的经济繁荣期，金融体系中同样存在流动性过剩、资产价格泡沫、杠杆率增大，信贷高速增长等，在这个过程中系统性风险不断累积，但是风险水平普遍被市场和监管部门低估。在对这次金融危机全面反思之后，普遍认为，在世界范围内由于通胀高企而发生经济金融危机的概率已经大幅度下降，但仅仅保持低通胀和稳定的宏观经济仍不足以保障金融稳定；而且，传统的微观审慎监管理念由于忽视了对宏观系统性风险的关注，不能够保证金融系统的稳定运行，必须加强以防范系统性风险为目标的宏观审慎监管。也就是说，传统的盯住通货膨胀为主的货币政策和以资本监管为核心的微观审慎监管不足以保证金融体统的健康稳定。正是基于以上的认识，国际社会纷纷认为应该建立一个有效的宏观审慎监管框架，这将成为各国金融监管改革的一个共同趋势。我国也在“十二五”规划中正式提出“逆周期宏观审慎制度框架”。与前两次规划相比，“十二五”规划建议中“金融体制改革”文字虽未改动，所要努力的内容却已经发生很大变化。在建议中，金融体制改革的第一项内容为“构建逆周期的金融宏观审慎管理制度框架。宏观审慎管理是以防范系统性风险为根本目标，将金融业视做一个有机整体，既防范金融业内部相互关联可能导致的风险传递，又关注金融体系在跨经济周期中的稳健状况，从而有效管理整个金融体系的风险，最终实现维护金融稳定的目标。在2010年10月召开的“宏观审慎政策：亚洲视角高级研讨会”上，中国人民银行行长周小川表示：“国际金融危机重大教训之一，是不能只关注单个金融机构或单个行业的风险防范，还必须从系统性角度防范金融风险，而宏观审慎政策正是针对系统性风险的良药。”宏观审慎监管有两个维度：一个是时间维度，主要关注随着时间的推移，金融体系与实体经济之间的相互影响，这个维度解决的主要问题就是如何缓解金融体系的顺周期性问题。另一个是跨业维度，主要关注的是在同一个时点上，各金融机构之间的相互联系以及持有共同的风险暴露。本博士论文从第一个维度展开研究，即分析金融系统的顺周期性问题以及可以采用的逆周期性政策工具。银行业的顺周期性主要是三方面原因造成的，第一是由于金融市场尤其是信贷市场的不完美性、市场参与者的有限理性造成的，这种金融系统的内生顺周期性是不能消除的；第二是由于金融机构的内在因素造成的，例如风险计量方法和模型采用过短的时间跨度、鼓励追求短期利益的激励机制和金融机构在发展战略、风险管理模型和风险暴露方面的趋同性等；第三是一些外部规则因素和政策造成的，比如，资本监管、贷款损失准备和公允价值等。另外，在逆周期监管政策方面，我们对主流的政策工具都做了简要的介绍，包括留存资本缓冲、逆周期资本缓冲、动态拨备制度、或有资本债券、救助保险基金、压力测试、杠杆率、完善新会计准则等。紧接着，我们用一个理论模型分析了各个逆周期性监管工具对金融体系道德风险的影响。从道德风险的视角比较了各个资本类监管工具的优劣，指出逆周期性政策工具可以兼顾“太大而不能倒”的金融机构引发的道德风险问题，文章对这一问题做了一个初步性的探索。结论为，在信息充分的条件下，时间可变的资本充足率不能很好的解决“大而不能倒”的金融机构所面临的道德风险问题；或有资本可以部分解决金融机构的道德风险问题；“救助”保险基金能够很好的解决道德风险问题。作为对这次危机的反应，Basel（Ⅲ）提出了逆周期性资本缓冲的监管方案，其目的是在经济景气时建立资本缓冲以备经济萧条时使用，即经济繁荣时抑制信贷的过快增长，经济萧条时减少顺周期性所导致的去杠杆化给经济带来的负面影响，增加银行业的恢复能力。我们认为逆周期性缓冲资本缓冲的存在，除了能带来上述正面效应之外，还有一个负面效应，可能会诱导银行业的羊群效应，即增加不同银行持有资产之间的相关性，进而增加银行业的系统性风险，我们同样用一个理论模型详细分析了这种负面效应。第六章我们研究了三个问题。第一是对中国银行业顺周期的实际情况做了实证检验。研究结果表明，中国的银行系统存在顺周期性，但是由于各种原因（比如政府干预比较严重、模型所用数据的时间段过短、我们正处于国有银行的改革阶段，政府政策多变等）这种顺周期性并不显著。第二是总结了金融危机后我国采取的逆周期性政策。第三分析了逆周期监管存在的困难和障碍。最后，我们对全文做了总结，总结了本论文的主要研究结论以及后续的研究展望。更多还原

【Abstract】 Caused by the subprime mortgage crisis, the2007-2009turmoil in financialmarkets was seen as the worst financial crisis since the Great Depression. The sameas the previous financial crisis, It had also gone through a long economic boombefore the financial crisis, the same excess liquidity in the financial system, assetprice bubbles, the leverage ratio increasing, the rapid growth of credit, in the processsystemic risk is accumulating, but the level of risk is generally underestimated by themarket and the regulatory authorities.After comprehensive reflection of the financial crisis, it is generally consideredthat the probability of economic and financial crisis in the world due to high inflationhas fallen significantly, but only keeping inflation low and stable macroeconomicstill not enough to protect the financial stability; and due to the neglect of themacro-systemic risk concerns, the traditional micro-prudential supervision conceptto ensure stable operation of the financial system must be strengthenedmacro-prudential supervision to guard against systemic risk.In other words, peggedto inflation-based monetary policy and supervision of the capital as the core ofmicro-prudential supervision is not sufficient to ensure the health and stability offinancial decency. It is based on the above understanding, the internationalcommunity agreed that an effective macro-prudential regulatory framework shouldbe established, which will become a common trend of the world’s financialregulatory reform.China’s12th Five-Year plan also officially presented the" counter-cyclicalmacro-prudential institutional framework.”Compared with the previous two planning,although "Financial reform" text does not changes, efforts have greatly changed.,Inthe proposal, the reform of the financial system to build counter-cyclical financialmacro-prudential management system framework.is becoming the most importantthing.the fundamental objective of macroprudential management is to preventsystemic risk, the financial industry as an organic whole, not only prevent theinterrelated within the financial industry could lead to the risk of transmission, butalso concerned about the soundness of the financial system across the economic cycle, which effectively manage the entire financial system risks, and ultimately thegoal of maintaining financial stability.Held in October2010, the "macro-prudential policy: An Asian PerspectiveSenior Seminar, the People’s Bank of China Governor Zhou Xiaochuan said:" one ofthe major lessons of the international financial crisis, is not only concerned about therisk of a single financial institution or a single industry.prevention, we must alsoguard against financial risks from a systemic point of view, while themacro-prudential policy is good medicine for systemic risk."Macro-prudential supervision has two dimensions: one is the time dimension,the main focus is the interaction between the financial system and real economy overtime, the main problem of this dimension is how to ease the financial system’sprocyclical problem. Another dimension is cross-industry’s dimension, the mainconcern is the linkages between the various financial institutions at the same point intime, as well as holders of common risk exposure. This dissertation study from thefirst dimension, that is, analysis of the procyclicality of the financial system, and canuse the countercyclical policy tools.Procyclicality of the banking sector is mainly caused by three reasons, first isthe financial markets’ imperfections, especially credit market, and the limitedrationality of market participants, this financial system of the endogenouspro-cyclical cannot be eliminated; the second reason is caused by internal factors offinancial institutions, such as risk measurement methods and models using a shortspan of time, incentives and financial institutions to encourage the pursuit ofshort-term interest in the development of strategy, the risk management models andexposure convergence;the third reason are the external rules and policies, forexample, capital regulation, loan loss provisions fair value and so on..Then, we use a theoretical model to analyze the various countercyclicalmonitoring tools on the impact of the financial system’s moral hazard. Compare thepros and cons of various capital monitoring tools from the perspective of moralhazard, pointed out that the countercyclical policy tool can take into account the "toobig to fail" moral hazard problem caused by the financial institutions, the article onthis issue a preliminary exploration. Under conditions of full information, the capital adequacy ratio of the time variable can not be a good solution to the problem ofmoral hazard facing by "too big to fail" financial institutions; contingent capital canbe a partial solution to the financial institutions’ moral hazard problem;"bailout"insurance fund can be a good solution to the problem of moral hazard.Response to the crisis, Basel (III) propose the countercyclical capital buffer ofthe regulatory program, which aims to build a capital buffer to prepare to use ineconomic recession. when the economy is prosperous, it will inhibit the excessivegrowth of credit, the negative impact of procyclicality by deleveraging in theeconomic recession will be reduced. Also it can increase the recovery of the bankingsector. Also we believe that the countercyclical capital buffers buffer’s exist canbring these positive effects, there is a negative effect of the banking sector, it mayinduce herding, an increase of the correlation between the different banks’holdingassets, thus increasing the systemic risk of the banking sector, we also use atheoretical model, a detailed analysis of this negative effect.Chapter VI, we study three questions. The first is the actual situation of China’sbanking sector procyclical an empirical test. The results show that China’s bankingsystem has pro-cyclical, but for various reasons (such as government intervention,the model data for time period too short, we are at the stage of the reform ofstate-owned banks, government policy changes, etc.) the periodicity is notsignificant. The second summarizes, the inverse-cyclical policy China has taken afterthe financial crisis. The third is the difficulties and obstacles.faced by Implementingthe counter-cyclical regulatoryFinally, we do a full text summary. I summarizes the main conclusions of thispaper and subsequent research prospects.更多还原