【作者】 曾诗鸿；

【导师】 余永定；

【作者基本信息】 中国社会科学院研究生院 ， 国际金融， 2003， 博士

【副题名】银行不良贷款生成的监管机制与最优动态路径研究

【摘要】 脆弱性(fragility)是fragile的名词形式，英文解释是easily damaged or broken,delicate,not strong and healthy,weak.在西方的文献里“金融脆弱性”一词一般使用financial fragility。由Minsky,Hyman P.等文献，我们可以总结出金融脆弱性一词的定义：金融业固有的高负债经营特征使金融业易受到监管的疏漏、道德风险、经济周期波动、国内外经济环境变化的冲击导致金融危机、债务危机、企业破产、物价飞涨或通货紧缩、失业等的一种性状。 银行不良贷款是产生金融体系脆弱性和银行危机的主要原因，高不良资产对银行和经济有重要影响。据国际货币基金组织统计，自1980年以来在181个成员国中，有133个国家都经历过严重的金融问题或危机，占全部成员国的74％。发生金融问题的有108例，其中，由银行不良资产引发的有72例，占67％，发生金融危机的有31个国家，共41起，其中因金融不良资产引起的有24起，占59％。银行脆弱度与不良贷款的关系可以表示为：银行体系的脆弱度=(不良贷款-资本-贷款准备金)／总资产。 大量积聚的不良资产，成为银行经营与发展的沉重负担，影响银行功能的正常发挥，威胁整个金融体系的安全。同时，不良资产的存在和增加，又通过银行与企业，放大作用于整个国民经济，破坏国民经济的健康发展。关于银行不良贷款，现有文献还有许多理论问题没有弄清楚，所以弄清银行不良贷款的生成机制不仅有理论意义，而且对银行监管、银行体系的健康发展、金融体系与整个国民经济的健康发展也有重要的现实意义。 我们想从现有文献的不足之处出发，试图回答以下几方面的问题并且做出有创新的研究。 试图回答并且做出有创新的研究之一 国内外的文献对银行不良资产生成的监管机制阐述不够，即对银行不良资产生成的中央银行、商业银行、企业(以企业代表所有的借款人)的行为分析不够。 我们将证明，假设国有商业银行将贷的一笔款已知是不良贷款，在不考虑市场风险和预算软约束的情况下，国有商业银行可以选择贷款，也可以选择不贷款，此时金融监管部门企图对商业银行罚款来降低这一笔不良贷款的概率并不总是有效的。 试图回答并且做出有创新的研究之二 现有文献对“监管”一词的论述过于简单，“监管”一词应该包含对被监管者的行为参数的考查。 试图回答并且做出有创新的研究之三 本文研究了企业(借款者)逃债概率对企业(借款者)与商业银行的行为参数的边际值。 试图回答并且做出有创新的研究之四 本文研究了商业银行监督检查的概率对企业(借款者)与商业银行的行为参数的边际值。 试图回答并且做出有创新的研究之五 本文研究了企业(借款者)与商业银行合作与不合作两种情况对银行不良贷款生成的影响。比如：企业(借款者)与商业银行合作时，银行不良贷款更容易生成吗?企业(借款者)与商业银行不合作时，银行不良贷款不容易生成吗?答案是否定的。 试图回答并且做出有创新的研究之六 本文第一次提出银行不良贷款是一种“金融污染”，将对一个国家的福利产生负面的影响，本文设计了一个含有贷款、银行不良贷款的社会福利函数。 试图回答并且做出有创新的研究之七 本文从最优控制论的角度研究银行不良贷款对社会福利的影响。本文从最优控制论的角度求出银行不良贷款的鞍点均衡值与鞍径;现有文献没有从最优控制论的角度求出银行不良贷款的鞍点均衡值的变化轨迹。 试图回答并且做出有创新的研究之八 本文从最优控制论的角度从假设开始演绎发现了哈密尔乘子(影子价格)是银行不良贷款的边际负效用的倍数，倍数是由参数决定的，因为在不同的模型中，影子价格的经济学意义是不一样的。 试图回答并且做出有创新的研究之九 本文从最优控制论的角度对中国与日本银行机构不良贷款(金融脆弱性)予以解释与预测。 本文试图从理论上来回答上述问题。本文第3章试图回答上述问题之一至之五;本文第4章试图回答上述问题之六、之七、之八;本文第5章试图回答上述问题之九。 本文由6章构成，其结构和主要内容如下: 第1章利用所能获得的文献对若干概念(金融脆弱性的概念、不良贷款与动态路径的概念等)进行了解释，并且对研究金融体系脆弱性与银行不良贷款的紧迫性(选题的国际背景与选题的国内背景)、意义(研究金融体系脆弱性的意义与研究银行不良贷款率的动态路径的意义)做了论述，有利于引起管理部门与学术界的进一步重视。 第2章系统地回顾了国外与国内有关金融体系脆弱性的理论文献，总结了国外与国内有关金融体系脆弱性的理论文献与不良贷款的关系，发现银行不良资产与金融脆弱性间的关系紧密。 发现国内外的文献对银行不良资产生成的微观机制阐述不够，即对银行不良资产生成的中央银行、商业银行、企业(以企业代表所有的借款人)的行为分析不够。银行不良资产的最优动态路径没有讨论，本文试图从理论上来分析研究上面的问题。 第3章研究了银行不良贷款产生的监管机制。 第3章第1节从国有商业银行经理与?更多还原

【Abstract】 Fragility is easily damaged or broken, delicate, not strong and healthy, weak. Financial fragility is a state that financial industry is easily damaged or broken because of financial industry having high indebtedness, specially, impacted by careless regulation, morality hazard, external factors, it induces financial crisis or indebtedness crisis or enterprise bankruptcy or high inflation or deflation or unemployment.Nonperforining loans is the main cause of crises of bank and financial industry. High nonperforining loans have important influence on bank and a country. 133 countries have suffered from financial problems or financial crises from 181 member countries in IMF from 1980, accounting for 74%. 72 countries have suffered from financial problems because of nonperforining loans from 133 countries, accounting for 67%. 31 countries have suffered from financial crises, 24 financial crises have been produced because of nonperforining loans from 41, accounting for 59%. The relation between bank fragility degree and bank nonperforming loans is that bank fragility degree=(bank nonperforining loans- capital-reserves)/ assets.High nonperforming loans influence functions of bank and whole economy. Because many theoretical problems haven’ t been solved by literatures about nonperforming loans, study is meaning on microcosmic mechanism and dynamic path of bank nonperforming loans originating.The paper does some creative research and answer in the following fields stemming from the short of literatures.The first creative research field is as follows.Literatures don’ t analyze deeply the supervisory mechanism and dynamic path of bank nonperforming loans originating, that is literatures don’ t analyze deeply the behavior of the central bank branch and state-owned commercial bank manager and enterprise manager.We will proves it isn’ t always effective that financial monitor attempt to decrease the probability of the nonperforming loan by penalty when we suppose the loan which state-owned commercial bank will loan must be nonperforming loan ( It means that state-owned commercial banks certainly don’ t loan ) and we don’ t takeinto account, market risk and budget, soft restriction.The second creative research field is as follows.The paper analyzes deeply the meaning of "supervision" , "supervision" should include analyzing behavior parameters of managers.The third creative research field is as follows.The paper analyzes deeply the influence on the marginal values of probability of enterprise manager weaseling from indebtedness for behavior parameters of commercial bank manager and enterprise manager.The fourth creative research field is as follows.The paper analyzes deeply the influence on the marginal values of probability of commercial bank manager supervising for behavior parameters of commercial bank manager and enterprise manager.The fifth creative research field is as follows.The paper differentiates the different influences on bank nonperforming loans originating under cooperation and noncooperation between commercial bank manager and enterprise manager.For example, is nonperforming loans originating easier when commercial bank manager and enterprise manager cooperate than they don’ t cooperate? The paper deduces a proposition that it isn’ t always easier.The sixth creative research field is as follows.Bank nonperforming loan is "a financial pollutions", it is put forward at, first, it is harmful to social welfare. The paper builds up a utility function (loss function) including Loan balance (control variable) and nonperforming loans (state variable).The seventh creative research field is as follows .The paper analyzes deeply the influence of bank nonperforming loans on the social welfare. The paper solves the saddle point, values and alterable tracks of bank nonperforming loans from optimal control theory.The eighth creative research field is as follows .Shadow price (Hamiltonian multiplier) can be got by multiplying nonperforming loans’ s marginal ne更多还原