【作者】 朱俊鹏；

【导师】 方兆本；

【作者基本信息】 中国科学技术大学 ， 金融工程， 2013， 博士

【摘要】 2008年全球金融危机的爆发使人们意识到全球的金融系统还远没有达到稳定状态,金融稳定的测度及相关研究依然是金融监管部门和学术界关注的热点议题。对金融稳定定义和度量的研究在亚洲金融危机之后开始逐渐增多,而本次金融危机则是对这一领域研究新的推动力。本文主要在迄今关于金融稳定的研究进展基础之上,研究更加系统直观的金融稳定度量方法,并结合金融及宏观经济的运行情况进行实证分析,为中国乃至全球的金融系统稳定性的维护提供一些实用的方法。金融市场的本质就是资金融通的市场,流动性对于金融系统的重要性是不言而喻的,本次危机前后流动性的一松一紧加剧了金融市场的动荡。为此,本文基于货币供应量、信贷投放和国际储备,在比较分析多种指标合成技术之后,构建了综合的全球流动性度量指标,较好地反映了全球流动性近年来的变动。通过对主要宏观经济指标计量分析,国债收益率的变动和通货膨胀水平对流动性影响显著,且对其他宏观经济指标也构成主要影响,基于这两个指标构建宏观压力情景进行压力测试分析,结果显示国债收益率对于当期流动性冲击较大,而通胀水平对流动性的冲击则更强更持久。运用主成分析和Granger因果检验的统计方法分析十大经济体的流动性风险,吸收比率能够较好地指示流动性风险的集聚,并对金融危机的发生有一定的预警,Granger因果检验显示中国受到国际流动性的冲击较多,可视为国内流动性泛滥的成因。对金融稳定的度量自然要将流动性度量作为重要组成部分,此外再考虑金融系统的发展程度、脆弱性、稳健性和宏观经济形势以全面系统地反映金融稳定水平。因此,本文从这几大方面入手,选择构建二十多个指标,然后综合为单一的全球金融稳定度量指标。该指标能够很好地反映全球金融稳定状况,指示影响金融系统运行的重大事件。借助宏观压力测试模型研究全球金融系统面对利率、油价大幅变动时的响应,结果显示这两大压力情景对金融稳定都产生显著冲击,会使得金融稳定水平下降到危机发生时的更低水平。对十大经济体的金融稳定度量指标考虑应用面板数据模型,通过对发达经济体和发展中经济体的面板数据单因素随机效应模型的分析,显示基准利率、证券交易量和失业率在发展中经济体组别中对金融稳定影响统计上显著,而在发达经济体组别中并不显著。说明在发达经济体,金融体系稳定性对这些宏观指标的灵敏性并不高,而发展中国家的金融市场由于尚不成熟,对于宏观指标的“风吹草动”相对更加敏感。最后对金融系统的全局稳定性和局部稳定性的辩证关系做了简要分析。中国虽然尚未发生过严重的金融危机,但金融系统是否稳定或者稳定性状况如何,值得深入分析。延续全球金融稳定度量分析框架,将全球金融稳定度量指标应用于中国国家个体,并在此基础上额外添加两个分类指标,构造出中国的金融稳定综合度量指标。国内的金融改革和国外的金融危机都通过指标有所反映,计量模型的结果显示上证指数及其波动和消费者信心指数对金融稳定度量指标影响显著。采用蒙特卡洛模拟的方法对指标进行预测,可以预期中国的金融稳定水平能够在金融体制改革的进程中保持平稳。在此次金融危机发生后,为维护全球金融稳定,国际间的合作和金融监管的改革得到加强,特别是欧美发达国家的金融监管改革尤为值得关注,从金融消费者的保护、场外衍生品的监管、杠杆率的控制、流动性风险的监管等多个方面出发,完善了国际金融监管规则。中国虽然受金融危机的冲击有限,金融系统仍然处于改革和不断开放过程中,但是发生金融危机的国家其金融监管改革值得学习和借鉴,对保持中国金融体系的长久稳定不无益处。危机后涌现的债务问题成为当今全球最大的金融风险,包括欧洲主权债务危机、美日债务高企、中国地方债问题等国家层面的债务问题到“大而不倒”企业的债务问题,都是对金融稳定的巨大威胁,同时也不能忽视影子银行的潜在威胁。ETF近年来在国内外发展迅猛,资产规模、交易总量都已达到了可能影响金融系统稳定的程度。本文对全球及国内ETF市场的发展情况进行了概述,并分析了传统ETF产品和新型合成类ETF产品的结构特征,揭示出ETF的风险源,并据此讨论ETF对金融系统稳定性的影响和潜在威胁。更多还原

【Abstract】 In2008, the outbreak of the global financial crisis makes people aware that the global financial system is far from reaching a stable state.The financial stability measures and related researches are still the hot issues which financial regulators and academics pay close attention to. Researches on the definition and measurement of fi-nancial stability have begun to increase graduallysince the Asian financial crisis, while the financial crisis this time is a new impetus for this research field. On the base of the research progress on financial stability up to now, this paper tries to propose a more systematic and more intuitive measurement method for financial stability, and make some empirical analysis under the real conditions of the finance and macroeconomics, to provide some practical methods for maintaining the financial system stability in China and even in the globe.The essence of the financial market is the market for funds’moving. The im-portance of liquidity to the financial system is self-evident, since the financial market turmoil is partly caused by loose and tight liquidity before and after the crisis. The paper constructs an aggregated measure index for global liquidity based on the money supply, credits and international reserves after comparing various index synthesis technologies. The liquidity index well reflects the variation of global liquidity in recent years. Ac-cording to the econometric analysis on main macroeconomic indicators, it shows that the changes of the bond yields and inflation have significant effects on the liquidity, and are also main factors affecting other macroeconomic variables. The stress testing is carried out based on some stress scenarios of these two indicators. The results show that the bond yields have bigger impact on current liquidity, while the impact of inflation on the liquidity is stronger and more lasting. Using principal component analysis and Granger causality test to analyze the liquidity risk of the ten largest economies, it indicates that absorption ratio can well reflect the agglomeration of liquidity risk and early warn the financial crisis to a certain extent.The results of Granger causality test show that the im-pact of international liquidity on China is the most, which may result in the flood of do-mestic liquidity.The measure of financial stability naturally takes the liquidity measure as an im-portant part. Besides, the financial system development, vulnerability, soundness and macroeconomic situation are also considered in the measurement to more fully and sys- tematically reflect the level of financial stability. Therefore, this article chooses or builds more than twenty indicators from these aspects, and then aggregates them to a single index for measuring the global financial stability. This index can well reflect the condi-tion of global financial stability and indicate the big events affecting the operation of the financial system.By means of macro stress testing model to study the response of global financial system to the sharp change of interest rate and oil price, the results show that both of the stress scenarios have significant impact on financial stability, and the finan-cial stability will drop to an even lower level than before.The panel data model can be applied to the financial stability measurement indexes of the top ten economies. Based on the one-way random-effects model analysis for the groups of developed and devel-oping economies, it shows that the base interest rate, security trading volume and unem-ployment rate have significant effect on financial stability in the developing economies group but not in the developed economies group. It can be concluded that the financial stability is not sensitive enough to some of the macro indicators in the developed mar-kets, but because of the financial market in developing countries being not mature, the financial stability is more sensitive to even smaller change of macro variables in devel-oping countries. In the end of the chapter, the dialectical relationship of global financial stability and local financial stability is analyzed briefly.Although China has not been attacked by a severe financial crisis, it is worthy of in-depth analysis about whether the financial system is stable or how about the financial stability. Following the research framework of global financial stability, the indicators for measuring the global financial stability are applied to China, and two more indicators are added, to construct China’s aggregated financial stability measure index. The do-mestic financial reform and international financial crisis are reflected through the ag-gregated index. The econometric model result shows that Shanghai stock index and its volatility, consumer confidence index significantly impact on the financial stability measure index. The method of Monte Carlo simulation is adopted to forecast the index, and it can be expected that China’s financial stability can hold steady in the process of the financial system reform.After the financial crisis, international cooperation and financial regulation reform have been strengthened to safeguard global financial stability. The financial regulation reforms in developed countries are especially worth of attention.The international finan-cial regulatory rules are improved from multiple aspects such as the financial consumer protection, regulation of OTC derivatives, leverage control, regulation of liquidity risk, etc. Although the impact of the financial crisis on China is limited and China’s financial system is still in the process of reform and opening, the financial regulatory reform of the countries suffering financial crisis is worth learning. It will benefit maintaining long-term stability of China’s financial system. The emerging debt problem after the cri-sis is becoming the world’s biggest financial risk. From national debt problems like Eu-ropean sovereign debt crisis, the high bebt level in Japan and the US, local government debt problem in China, etc. to the "too big to fail" enterprises’debt problem, the finan-cial stability faces big chanllenge. Meanwhile, the potential of shadow banking cannot be ignored. ETF develops rapidly both in China and abroad in recent years. Its asset scale and transaction volume have reached to a degree which can affect the financial stability. In this paper, the developments of the global and domestic ETF market situa-tion are summarized, and the product structures of traditional ETF and synthetic ETF are analyzed to reveal the risk source. Then, the effects and potential threats of ETF to fi-nancial stability are discussed in the end.更多还原