【作者】 危勇；

【导师】 杜金岷；

【作者基本信息】 暨南大学 ， 金融学， 2008， 博士

【摘要】 最后贷款人救助是中央银行的一项古老职能。在金融全球化、一体化和自由化的大背景下,金融运行环境更加错综复杂,系统性风险的程度、深度和广度大大超过传统认知范围,最后贷款人的内涵与外延都在发生深刻变化,中央银行行使最后贷款人职能面临巨大挑战。道德风险是最后贷款人救助政策与生俱来的副产品,但是这一问题始终悬而未决,2003年新的巴塞尔协议最终没有把最后贷款人写入其中。因此,研究最后贷款人救助政策引发的道德风险问题具有十分重要的理论认识意义和现实指导意义。本文从挤兑传染与最后贷款人的关系入手,探讨了最后贷款人在消除挤兑传染方面的基础性作用,研究了最后贷款人救助引发的道德风险的起源和危害。以此为逻辑起点,论文引入了最后贷款人救助决策模型,研究道德风险对中央银行救助决策的影响,结论表明传染挤兑才是中央银行救助决策的关键因素,道德风险仅被看作是防范挤兑传染的副产品;立足救助决策模型的政策含义,研究了“大而不倒”政策下银行规模和风险行为之间的负相关关系,运用博弈论方法证明“建设性模糊”能够减轻最后贷款人救助引发的道德风险。论文深化了新金融危机下救助决策模型结论的研究,探讨了如何适应金融市场发展趋势,最后贷款人救助政策在防范风险传染基础上有效减轻道德风险;以次贷危机中美联储救助政策为例展开实证研究,对未来最后贷款人制度的发展方向进行了探讨。论文将救助政策引发的道德风险分析框架应用于国际最后贷款人和我国最后贷款人的救助实践。对出于防范道德风险需要的IMF贷款条件机制的可行性进行了分析,研究了IMF选择性救助的政治经济学,最后得出IMF的救助政策不是在减轻道德风险,相反是在放大道德风险的结论;长期以来,我国最后贷款人“异化”的行为特征直接导致严重的道德风险,降低我国最后贷款人救助的道德风险必须三管齐下:构建完善的最后贷款人制度、运用“建设性模糊”政策和完善相关配套制度安排。更多还原

【Abstract】 The lender of last resort(LOLR) is the old function of central banks(CBs).Under the background of globalization,unification and deregulation of finance,the financial environment was more complicated than ever,and the degree,extent and depth of systemic risk had surpassed the traditional scope of cognizance.Accordingly,the role of the conventional LOLR has changed more,and the CBs are faced with challenges.The moral hazard is the by-product of rescue policy of LOLR originally.However it has been pendent as yet,so the Basel agreement didn’t involve it in 2003.Hence,not only in theory but also in practice,the moral hazard of rescue policy of LOLR is worthy of research.The paper starts with the relation between the run and LOLR,investigates the basic role of LOLR in the elimination of panic runs,and discusses the origins and damages of moral hazard of rescue policy of LOLR.Founded on them,the paper introduces the model of rescue decision-making of LOLR,discusses the influence of moral hazard in the decision-making of CB. The research shows that the likelihood of contagion is the key factor affecting CB’s incentive in providing LOLR,while the moral hazard is just of by-product of rescue policy.Based on the policy developed by the model,the paper researches the negative correlation between bank’s size and risky action in the rescue policy of "too big to fail".It also employs the method of game to prove that,the strategy of "constructive ambiguity" could affect the strategy choice and restrain the moral hazard.The paper deepens the research of the conclusion of model in the new crises. To accommodate the development of financial market,the rescue policy should not only prevent panic runs but also mitigate moral hazard.The paper applies the research framework of moral hazard to the rescue practice of international and Chinese LOLR.The paper analyzes the feasibility of loan conditionality of IMF and investigates the political economy of selective rescue of IMF.We can find that the rescue policy of IMF is not restrain moral hazard but magnify moral hazard.The dissimilated characteristics of LOLR in China directly induce the severe moral hazard.In order to mitigate the moral hazard of rescue policy of LOLR in China, we should improve institution of LOLR,apply the strategy of "constructive ambiguity" and constitute the affiliated institutions.更多还原