【作者】 周强；

【导师】 杨柳勇；

【作者基本信息】 浙江大学 ， 政治经济学， 2014， 博士

【摘要】 金融是现代经济的核心,经济的持续健康发展离不开金融稳定,如何构建完善的金融市场体系、防范金融危机一直是金融领域研究的热点。针对不同时期金融危机的特征,学者们提出了不同的金融危机理论。迄今为止,关于金融危机的研究已经形成了三代货币危机模型。从第三代货币危机模型开始,相关理论研究逐渐跳出汇率机制、货币政策等宏观经济分析范围,着眼于微观机构在危机的发生和传染过程中的作用。2007年美国爆发次贷危机,并且很快演变成为全球范围的金融危机。危机的发生使得世界各国的监管部门认识到,针对单个金融机构的微观审慎监管政策不足以保证整个金融体系的稳定,应该将系统性风险纳入监管范围。当前,中国已经到了金融改革的关键时刻,国内监管部门和学术界面临的一个重要课题是如何建立完善的宏观审慎监管体系,防范系统性金融风险。国内的相关研究尚处于起步阶段,理论研究更为匮乏。本文立足于中国特定的金融市场环境,分析系统性风险的来源、系统重要性银行的识别以及相应的宏观审慎监管体系的构建,以期为国内金融改革提供借鉴。理论分析方面,本文采用离散时间的三阶段模型分析银行业系统性风险的来源。研究发现,完全市场结构下,分散均衡可以实现流动性的最优配置,而存在信息不对称和交易对手风险时,银行间市场可能出现完全参与的均衡以及银行间市场崩溃与流动性囤积。对资产证券化和国际金融市场的依赖使得银行更容易受到国际金融市场资产价格波动的影响,当金融资产的需求富有弹性时,资产甩卖会产生放大效应,即使从长期来看银行是稳健的,面临短期流动性冲击,银行的资产甩卖仍然可能导致挤兑,引发系统性风险。投资者信心的丧失在本次美国金融危机国际传染的过程中扮演着关键角色。存在“多而不倒”救助的隐性政府担保时,一定条件下,资本要求的提高会扩大银行之间的系统相关性,提高系统性风险隐患。实证分析方面,网络分析法是考察银行倒闭风险通过银行间借贷市场传染的传统方法。然而,基于中国银行业的数据特征,考虑到网络分析法自身在政策应用方面的不足,该方法在中国缺少实用性。本文实证方面重点考察了指标法与几种常用的市场模型法在中国系统重要性银行识别过程中的有效性。研究发现,不同的识别方法倾向于解释系统性风险来源的不同方面。相对于其他商业银行而言,大型商业银行面临较低的个体风险和市场风险,主要原因在于他们具有更低的波动率。然而加入规模特征以后,不管采用市场模型法还是指标法,大型商业银行均具有最大的系统性风险贡献,原因在于上市银行之间的资产规模存在巨大差异,使得衡量过程中规模因素会占优于其他因素。因此,就目前而言,采用市场模型法衡量上市银行的系统重要性不会优于指标法,应在指标法的基础上,结合反映不同风险来源的市场模型法进行动态评估,实施差异化的监管措施。此外,通过对11个样本国家(地区)的上市商业银行相关数据的研究发现,金融自由化程度较低的国家,资本要求与银行之间的系统相关性正相关,金融自由化程度的提高有利于消除这一效应。系统性风险的监管应该基于中国银行业的体制特征,以资本要求为主的监管政策工具的有效实施离不开完善的金融市场环境。中国应进一步加快金融市场化改革,建立存款保险制度,建立商业银行退出机制,降低资本融资成本,发挥市场在金融资源配置过程中的决定性作用。此外,应加强宏观审慎政策与财政、货币政策之间的配合,加强监管部门之间的协调合作,加强国际交流与合作。更多还原

【Abstract】 Finance is the center of modern economy. Economy’s sustainable healthy development depends on financial stability. How to construct complete financial market system to prevent financial crisis is always a hot topic of financial field. Based on the characteristics of different financial crises, researchers put forth different theories. So far there are three generations of currency crisis model. From the beginning of the third generation, theoretical research has go beyond the macroeconomic scope such as exchange rate or monetary policy, looking at the role of micro-institution in the occurrence and contagion of financial crisis. The U. S. subprime crisis that erupted in2007soon became worldwide financial crisis. The occurrence of this crisis makes the regulators of the world realize that micro-prudential regulation alone can’t maintain the stability of the whole financial system. The scope of regulation should incorporate systemic risk. Currently, China has reached its crucial time of financial reform. How to construct complete macro-prudential regulatory system in order to prevent systemic financial risk are key issues faced by domestic researchers and regulators. Domestic related research is still in early stages, especially lacking of theoretical study. Based on China’s specific financial market conditions, this paper analyzes sources of systemic risk, identification of systemically important banks and macro-prudential regulatory system so as to give some suggestions for domestic financial reform.Theoretically, this paper examines sources of banking systemic risk using three stage model of discrete time. The findings are as follows:Decentralized equilibrium can achieve first best allocation of liquidity. Interbank market can cause full participation equilibrium, interbank market breakdown or liquidity hoarding in the existence of information asymmetry and counterparty risk. Relying on asset securitization and international financial market makes bank more easily affected by asset price fluctuations of international financial market. When the demand of financial asset is elastic, asset fire sale can lead to amplification effect. Faced with short time liquidity shock, asset fire sale may cause bank run even though banks are moderate in the long run. Loss of investor confidence plays a key role in the international contagion of U. S. subprime crisis. Under certain conditions, improvement of capital requirements can enlarge banking systemic interdependencies and thus improve potential systemic risk when existing too-many-to-fail implicit government guarantee.Empirically, network model is usually used to analyze contagion effects of bank closure to other banks through interbank lending market. However, based on the data characteristics of China’s banking system and the approach’s shortcomings in policy analysis, it’s not suitable to use in China. This paper focuses on the effectiveness of indicator-based approach and some market-based approaches in identifying China’s systemically important banks. Results are as follows:Different approaches tend to explain different aspects of sources of systemic risk. Relative to other commercial banks, large-scale commercial banks have lower individual risk and market risk. The reason is that they have lower volatilities. In consideration of size characteristics, all approaches get similar results, that is large-scale commercial banks have the biggest systemic risk contributions. The reason is that there exists huge asset size difference between large-scale commercial banks and other commercial banks so that size factor dominates other factors in the estimation process. In the light of current situation of China’s banking system, market-based approach is not superior to indicator-based approach. We should combine indicator-based approach and market-based approach reflecting different risk sources to dynamically assess different banks’systemic importance. Furthermore, using an unbalanced panel data from2006to2012of11different countries and regions’listed commercial banks, we find that in countries with low level of financial freedom, capital requirements and banks’systemic interdependencies have positive correlation. Improvement of financial freedom can reduce this effect.The regulation of systemic risk should consider characteristics of banking system of China. The effective implementation of capital requirements as main regulation tools can’t do without complete financial market environment. China should speed up financial marketization reform, implement deposit insurance system and withdrawal mechanism of commercial banks, reduce the cost of capital, let markets play a decisive role in allocating financial resources. Furthermore, regulators should strengthen the coordination of macro-prudential regulatory policy, fiscal policy and monetary policy, promote international communication and cooperation.更多还原