【作者】 朱元倩；

【导师】 巴曙松；

【作者基本信息】 中国科学技术大学 ， 金融工程， 2010， 博士

【摘要】 如果说上世纪30年代的那场大萧条将“流动性陷阱”和“政府干预”带入了人们的视野,那么对于这场本世纪初爆发的自大萧条以来最为严重的金融危机来说,“顺周期性”和“宏观审慎监管”大概将是这场金融危机为推动经济学发展留下的最宝贵的财富之一。而在这场以投资银行的破产倒闭为特征之一的金融风暴中,刚刚付诸实施的国际银行业监管准则巴塞尔新资本协议由于时间上的巧合性也被推到了风头浪尖,甚至于一度成为金融危机的替罪羔羊。本文正是基于这样的背景,从顺周期性的经济学原理出发,探讨了在巴塞尔新资本协议监管框架下银行经营中广泛存在的顺周期性及其要素,从银行业实践的角度提出了缓解顺周期性的方法,并分别从银行监管者和货币政策制定者的角度提出了顺周期性的监管措施。对于产生银行顺周期性的因素讨论,本文基于巴塞尔新资本协议的框架分别从资本监管、新协议下内部评级法、风险测量和会计计量的精确性三个角度进行了分析和判断。在以巴塞尔资本协议为代表的资本监管下,资本的顺周期性导致了银行信贷行为的顺周期性,资本约束下的信贷行为直接影响着投资需求,从而对整个经济的波动造成了顺周期的影响效果；而在巴塞尔新资本协议中被作为主要改进之一的内部评级法,在提高了风险敏感性的同时也加剧了银行的顺周期性风险,在资产证券化广泛发展的市场中,时点评级法所带来的顺周期性也被放大了数倍；银行传统的风险测量模型由于其自身的缺陷和使用中的不当造成了经济衰退期对风险把握的失准,而由于公允价值会计准则对于市场流动性匮乏时期的计量失效所产生的会计加速器效应加速了经济体系中的顺周期性。针对上述引起银行顺周期性的三个方面,本文分别给出了目前可行的缓释措施的探讨。在资本监管方而,提出了动态资本充足率和动态损失准备金率的逆周期调整方案,并从加入杠杆率监管、抵押率监管的角度分析了改善目前单一的资本充足率监管的可行性,同时从银行经营的角度出发探讨了优先股资本化对资本监管下经济衰退期中银行惜贷行为的改善,也从更加宏观的汇率视角分析了银行在经营中如何缓释顺周期效应；对于内部评级法的顺周期性缓释,主要是从内部评级法参数和风险权重函数的角度展开的,考虑了经济周期的参数模型并改善单一风险权重函数是缓释内部评级法顺周期效应的主要途径,同时将时点计量法转换为跨周期计量法有助于平滑经济周期波动。在风险的测度方面,引入了压力测试和压力VaR的方法作为传统风险测量模型VaR方法的有力补充。在会计准则方面,基于危机后的会计准则修订探讨了公允价值计量需要进一步改进的方向。对于银行监管者来说,警惕银行顺周期性并进行监管单靠巴塞尔资本协议下的微观审慎监管是无从实现的,需要从更加全面的角度实施宏观审慎的风险监管,本文在总结和归纳了国际银行监管组织对宏观审慎监管和跨境银行监管最新理念和方法的基础上,探讨了适用于监管顺周期性的监管工具和准则,并基于此构造了与宏观审慎监管相匹配的两位系统性风险监管指标。而对于货币政策的制定者来说,与银行监管者对银行业风险的监管目标不同,他们更为关注货币政策实施效果和宏观经济的整体发展,本文将资本监管下的顺周期性理论模型拓展至包含货币政策因子的框架,基于此从货币政策实施效果的角度分析了实施动态资本充足率监管的意义,并从管理通胀和经济增长双重目标的角度分析了在资本监管顺周期性下的最优货币政策的策略选择。本文正是基于这样的框架对银行顺周期性的影响因素给予了梳理,针对这些影响因素分别提出了缓释顺周期性的办法,同时分别从银行监管者和货币政策制定者的角度分析了如何应对银行的顺周期性,并基于这些结论提出了未来需要解决的问题和有待努力的方向。更多还原

【Abstract】 Like the Great Depression in the 1930s bringing the terms of "Liquidity Trap" and "Government Intervention" into controversy, the most serious financial crisis since the Great Depression that broke out in the first decade of this century, contributes to the development of economics and leaves the world a precious legacy by drawing attention on "Procyclicality" and " Macro-prudential Regulation". In this financial turmoil partly characterized by the bankruptcy of investment banks, the New Basel Capital Accord, which is the regulatory standard of international banking and has just entered into force, because of the timing is no doubt in the center of controversy and even became a financial crisis scapegoat. Based on this background, this paper follows the economics principles of procyclicality, discusses the widespread procyclicality existing in the regulatory framework of banking operations under the new Basel Capital Accord and its factors, proposes ways to mitigate the procyclicality from the standpoint of banking practice as well as measures to prevent the procyclicality from the viewpoint of banking supervisors and monetary policy-makers respectively.In the discussion on the factors causing bank procyclicality, based on the framework of the New Basel Capital Accord, the paper analyzes and diagnoses the factors from the perspective of capital regulation, the internal rating-based approach in the new accord and the accuracy of risk measurement and accounting measurement. Under capital regulation represented by the Basel Capital Accord, the procyclicality of capital will lead to the procyclicality of the behavior of bank credit, which directly affects investment demand under capital restriction, thereby causing procyclicality in the fluctuations of the economy. The internal rating-based approach, which is one of the major improvements in the New Basel Capital Accord, brings along the risk of bank procyclicality while enhancing risk sensitivity. In a market with extensive development of asset securitization, the procyclicality caused by the point-in-time rating method also tend to be magnified. The defects in traditional risk measurement models and the improper uses of the models cause the inaccurate measure of risk during economic recession. Moreover, the accounting accelerator effect caused by the failure of fair value accounting standard during the period of short market liquidity accelerates the procyclicality in the economic system. On account of the three factors mentioned above that cause bank procyclicality, this paper discusses current plausible measures of mitigation respectively. For capital regulation, the paper proposes the countercyclical adjustment programs of dynamic capital adequacy ratio and dynamic provisioning and analyzes the feasibility of improving the current regulation on capital adequacy ratio from the viewpoint of adding leverage ratio supervision and mortgage rates supervision. In addition, the paper discusses the decrease of banks’reluctance to lend, caused by the preferred shares capitalization, from the perspective of bank operation, and analyzes how to release the procyclicality in bank operation from a more macro view of exchange rate. For the release of the procyclicality caused by internal rating-based approach, the paper adopts the standpoint of IRB function parameters and weight function and concludes that the major way to release the procyclicality caused by internal rating-based approach is to introduce parameters measuring economic cycle and improve the single risk weight function, and substituting through-the-cycle measurement for point-in-time measurement would help smooth the fluctuations in economic cycle. For risk measurement, the paper introduces stress testing and the method of stressed VaR as a forceful complement to traditional VaR approach. For accounting standard, based on amendments to post-crisis accounting standards, the paper discusses the directions for the fair value measurement,For bank supervisors, it is impossible to be alert of bank procyclicality and implement micro-prudential supervision alone by the Basel Capital Accord. They need to implement a more comprehensive and macro-prudential risk supervision. This paper discusses applicable tools and guidelines for procyclicality supervision based on summarizing and inducing the latest ideas and methods by international banking regulatory institutions on macro-prudential supervision and cross-border banking supervision.As for monetary policy-makers, different from the regulatory objective of bank regulators for banking risk, they are more concerned about the effects of monetary policy and the overall development of macroeconomic. This paper extends the procyclicality model under capital supervision to a broader framework containing the factor of monetary policy, analyzes the significance of implementing dynamic capital adequacy ratio from the perspective of monetary policy effect, and examines the optimal monetary policy strategy under capital supervision procyclicality from the standpoint of the dual objectives of managing inflation and boosting economic growth.Based on the framework described above, this paper summarizes the factors affecting bank procyclicality and proposes approaches to release the procyclicality. It also analyzes how to cope with bank procyclicality from the viewpoint of bank regulators and monetary policy-makers. The conclusions bring forward the problems that need to be solves in the future and the directions of research.更多还原