【作者】 许友传；

【导师】 何佳；

【作者基本信息】 上海交通大学 ， 金融学， 2008， 博士

【摘要】 本文通过对银行风险承担行为和市场约束相关文献的回顾,给出了隐性保险体制下的我国银行业风险承担行为的市场约束机理的系统研究框架。我们分别考察了完全隐性保险政策和不完全隐性保险政策对不同银行风险承担行为的不同作用机理,结合我国政府对问题银行机构的救助实践,这两种隐性保险政策能分别解释国有大型控股银行和中小型银行的部分风险承担行为。我们的研究表明,政府隐性保险政策对健康银行的风险选择具有“屏蔽”效应,但在某种程度上会激发问题银行的风险承担激励,那么,该如何约束问题银行的这种风险承担激励呢?通常,法定监管和市场约束是两种最主要的银行风险承担行为的外部治理途径。本文的目的不是研究监管当局如何通过追加资本要求、监督检查等手段来约束银行,而是强调如何通过增强市场约束本身(如信息披露、强制性次级债要求等)来限制银行更大的风险承担行为。为此,我们还分别实证研究了我国大中型银行信息披露的市场约束效应和城市商业银行的市场约束行为。同时,我们还重点考察了次级债在约束银行风险承担行为方面的作用,系统研究了次级债发挥市场约束作用的内在条件与边界,以及一些监管政策规定对其市场约束功能的影响。本文紧紧围绕银行风险承担行为及其市场约束治理机制,通过多种理论方法和技术工具的综合运用,以经济建模和实证建模的方式,系统研究了隐性保险体制下的我国银行业的风险承担行为与市场约束机理。本文的行文结构是这样安排的:第一章回顾与分析了银行风险承担行为和市场约束的相关文献,梳理出了市场约束的相关作用机制及其环境依赖,考察了隐性保险体制对银行风险承担行为和市场约束的影响,并结合我国银行业的制度与现实背景,给出了市场约束对银行风险承担行为影响机理的系统研究框架。第二章研究了完全隐性保险政策对银行风险承担行为的影响。第三章研究了不完全隐性保险政策对银行风险承担行为的影响,并比较研究了完全隐性保险与不完全隐性保险的政策效果与环境依赖。第四章以我国大中型商业银行为样本,实证研究了其信息披露的市场约束效应,进而间接考察了市场约束的存在性和市场约束的“公司治理”效应。第五章分别从价格约束、数量约束、外部环境(市场竞争环境、隐性保险体制)对市场约束的影响等视角,研究了隐性保险体制下的我国城市商业银行的市场约束行为。第六章研究了次级债发挥市场约束作用的内在条件及部分机理,为监管当局如何引入市场约束,多大程度上引入市场约束提供了一定的理论支持。本文的主要创新有:(1)研究了政府不同隐性保险政策对不同银行风险承担行为的不同作用机理;(2)研究了信息披露与银行风险承担行为之间的关系及其作用机制;(3)实证研究了隐性保险体制下的我国城市商业银行的市场约束行为;(4)研究了在监管当局的法定监管之外,如何通过引入次级债来增强市场约束,以及次级债发挥市场约束作用的相关机理。更多还原

【Abstract】 We bring forward a systemic research framework for the market discipline mechanism of banking in China under the institution of implicit insurance after reviewing the related literatures on market discipline and risk-taking behavior of banking. We respectively study the different functional mechanisms of fully implicit insurance and partially implicit insurance on the risk-taking behavior of healthy banks and unhealthy banks. It can partially explain some risk-taking behavior of large stated-owned banks and median-and-small sized banks. Our study shows that governmental implicit insurance doesn’t necessary induce the risk-taking incentive of all banks, but possibly encourages the risk-taking incentive of unhealthy banks. How to restrict the risk-taking incentive of unhealthy banks? Legal supervision and market discipline are the two usually exterior approaches. How the supervisory authorities to restrict the risk-taking behavior of banking through the manner of supplementary capital requirement and regulatory examination etc. is not our minds. We are interested in the approaches how to enhance market discipline itself, such as information disclosure and mandatory subordinated debts requirement, to restrict the larger risk-taking behavior of banking. Therefore, we respectively positively study the behavior modes of market discipline of urban commercial banks and the effectiveness of market discipline of information disclosure of large and middle commercial banks based on the Bankscope dataset. Meanwhile, we also study the market discipline functional mechanism of subordinated debts. We gives the intrinsic conditions and boundaries when subordinated debts plays the role of market discipline, and we also study how some regulatory and supervision policies such as legal minimal capital requirement affect the function of market discipline of subordinated debts.The paper extensively applies many kinds of theoretic approaches and technical tools to systematically study the risk-taking behavior and market discipline mechanism of banking in China under the institution of implicit insurance through the manner of mathematical modeling and positive modeling. The structure of paper is arranged as followed: Chapter 1 reviews the related literatures on market discipline and risk-taking behavior of banking. Combing with the institutional and practical backgrounds of China, we bring forward a systemic research framework for the market discipline mechanism of banking under the institution of implicit insurance. In chapter 2, we study the effects of fully implicit insurance on the risk-taking of banking. Chapter 3 studies the effects of partially implicit insurance on the risk-taking behavior of banking, and comparatively studies the policy effects and environment dependence of the two kinds of implicit insurance policies. Chapter 4 positively investigates the effects of information disclosure on market discipline and risk-taking behavior of banking based on the analysis of the datasets of 14 large-and-middle commercial banks. Chapter 5 studies the effectiveness and relevant market discipline mechanism of urban commercial banks under the institution of implicit insurance. Chapter 6 studies the effectiveness and intrinsic mechanism of subordinated debts as an incentive mechanism of market discipline based on the contingent valuation pricing theory.The primary innovations of the dissertation are as follows: (1) study the different functional mechanisms of different implicit insurance policies on the risk-taking behavior of banking; (2)study the relationship and relevant mechanism between information disclosure and risk-taking behavior of banking; (3)positively study the market discipline behavior of urban commercial banks under the institution of implicit insurance; (4)study how to enhance market discipline by introducing subordinated debts, and the relevant functional mechanism of market discipline of subordinated debts.更多还原