保险业顺周期性监管研究

【作者】 赵光毅；

【导师】 李剑阁；

【作者基本信息】 中国社会科学院研究生院 ， 国民经济学， 2014， 博士

【摘要】 顺周期性是全球金融危机的重要原因之一，最初产生于以风险为基础的资本充足率制度。我国保险业正在推进以风险为基础的第二代偿付能力监管制度建设（简称―偿二代‖），顺周期性监管是宏观审慎监管背景下―偿二代‖必须解决的重大课题。顺周期性是一种放大金融市场波动的正向反馈机制，分为市场自我反馈的内生顺周期性和监管制度的外生顺周期性。作为宏观审慎监管的对象，保险业顺周期性中的―周期‖应特指―系统风险周期‖。保险业顺周期性监管应在繁荣时期抑制保险业的系统风险隐患，在危机时期降低保险业对系统风险的强化作用。考察保险业顺周期性，需要依托适合保险业特征的系统风险理论框架。系统风险是金融服务的损害或中断产生的风险，对实体经济存在潜在的负面影响。系统风险的演化过程经历了共同冲击、传染效应和顺周期性三个阶段。通过系统风险业务和准系统风险业务，保险业卷入了系统风险链条。定性分析和定量模拟显示，保险行业存在内生顺周期性；以风险为基础的偿付能力监管制度存在外生顺周期性。考虑到保险业的负债特点，短期流动性冲击需要重点关注。保险业需要个性化的顺周期性监测体系和监管工具。顺周期性监测的目标是系统风险给保险业造成的损害对系统风险自身的强化作用，职能包括识别、度量、预警和提供监管参数，方法为间接的关联性分析，指标体系包括系统风险深度、顺周期冲击强度和保险反馈强度三个方面。顺周期性监管应区别监管对象制定不同的目标，根据风险冲击的持久性制定监管原则，以逆向性和缓释性为监管效果的评价标准。监管资本方面，可使用逆周期缓释因子（Couter Cyclical Mitigator）平滑短期波动的人为干扰；资产和负债的认可标准应作去风险化处理。监管资本方面，应避免建立顺周期性的偿付能力控制层级；针对系统风险业务计提超额资本，出口信用保险还可适用逆周期缓冲资本。或有支付义务造成的短期流动性风险，可适用―流动性先周期比率‖（Liquidity Pre-cycle Ratio）监管。顺周期性监管的启动和退出方式应以规则导向为主，严格限制相机抉择的适用条件。顺周期性监测应加强宏观审慎监管机构之间的协调合作，顺周期性监管则须由保险监管机构承担责任。更多还原

【Abstract】 Procyclicality is one of the important sources for the global financial crisis, arising fromrisk-based capital adequacy regime. Earmarked with the risk-based nature, China RiskOriented Solvency System (C-ROSS) is under way for Chinese insurance industry.Procyclicality is one of the key issues that the C-ROSS has to solve in the context of themacroprudential supervision. Procyclicality is a positive feedback mechanism exaggeratingvolatility of financial markets, including endogenous procyclicality reflecting internalfeedback of market and exogenous procyclicality caused by the supervisory regime. The―cycle‖in the―insurance procyclicality‖that is targeted by the macroprudential supervisionshould be designated to the―cycle of systemic risks‖. Supervision over insuranceprocyclicality should aim at mitigating potential systemic risks at booming times whiledampening the amplification of systemic risks by the insurance industry during the crisis. Thesystemic risks are risks arising from damages or suspension of financial services, which harmthe real economy with potential negative impacts. The systemic risks evolve with three stagesof common shocks, contagion effects and procyclicality. The insurance industry engages inthe chain of the systemic risks through businesses of systemic risk and quasi-systemic risk.Qualitative analysis and quantitative simulation show that the endogenous procyclicalityexists for the insurance industry and the exogenous procyclicality exists for the risk-basedsolvency regimes. Given the characteristics of insurance liability, short-terms liquidity shocksshould receive due concerns.Insurance needs customized monitoring system and supervisory tools for theprocyclicality. The procyclicality monitoring should aim at the exaggeration of systemic risksthat the damages to insurance, caused by the systemic risks, incur. The monitoring systemshould function to identify measure and alter the system risks and provide parameters forsupervisory intervention. The monitoring indicators should cover depth of systemic risks,density of procyclicality shocks and density of insurance feedback. Supervision ofprocyclicality should make differentiated goals for different objects, follow different principles in line with different shock persistence and be judged with two criteria of reversedirection and mitigating forces. Counter Cyclical Mitigator may apply to capital requirementto smooth the man-made harass of short-term volatility. Recognition rules for assets andliabilities should be de-risked. Solvency control levels should not be designed withprocyclicality. Extra capital charge should be allowed for those businesses of systemic riskwhile counter cyclical capital buffer may apply to export credit insurance in particular. Theshort-term liquidity risks produced by contingent payment obligations may be subject toLiquidity Pre-cycle Ratio. Entrance and exit of procyclicality measures should dominantlyfollow the rule-based principle and strictly limit use of supervisory discretion.Macroprudential bodies should cooperate to monitor the procyclicality while the insurancesupervisor should undoubtfully undertake the responsibility of supervisory intervention.更多还原