商业银行危机预警体系研究

【作者】 徐芳；

【导师】 胡庆康；

【作者基本信息】 复旦大学 ， 金融学， 2004， 博士

【摘要】 从 13 世纪开始,世界范围内的银行危机一直不断发生,但大多数是小范围的,从上世纪 80 年代中期开始,银行危机频繁地、大规模地爆发。上世纪 80年代中期至今的将近二十年间,全世界发生了 100 多起的银行危机。在国际货币基金组织的 180 多个成员国中,有 130 个发生过程度不同的银行问题。银行危机已经成为一种全球现象。由于银行危机会给一国的社会经济、福利带来巨大的损失,如银行股东所持有的股本权益减少或消失,存款者的银行存款丢失,解决银行危机需要大量的财政支出,使一国经济增长速度放慢甚至出现负增长,导致一国失业率的升高,影响货币政策的效果等。所以,防范银行危机的发生就成为一个重要的课题。而防范银行危机的发生主要有两种途径,一种途径是健全一国的银行体系,减少危机发生的可能性;另一种途径就是加强对银行危机的预警。而在我国,由于我国的银行业以及金融环境有着以下三个特点,加强对银行危机的预警问题研究尤其重要。一是虽然到目前为止,我国尚未发生大规模的商业银行危机(只在 1998 年海南发展银行因挤兑而倒闭),但并不意味着我国银行体系是健康安全的。我国的金融体系也存在着很多问题,突出反映在国有商业银行不良贷款比例较高、盈利能力较差、资本充足率偏低。二是在我国,银行业的地位举足轻重,从社会的承受能力来说,也无法承担银行危机所带来的损失和冲击。三是随着我国金融自由化程度以及银行商业化程度的提高,国家对银行的保护程度会逐步降低,银行危机将不会一直处于隐性状态,同时,银行危机发生的可能性将大大增加。围绕银行危机预警,本文按以下结构进行研究。先是分析银行危机发生的一般原理,本文在此把银行危机描述为一个相对完整的逻辑过程:由于银行本身所固有的脆弱性决定了银行对各类风险及冲击的抵御能力是较差的,而信息不对称所带来的道德风险、逆选择、委托—代理问题以及由此产生的各类风险,增加了银行危机发生的可能性;一国宏观经济环境的变化或制度的变迁则进一步加深了银行的脆弱性。但以上因素并不意味着银行危机的必然发生,银行的管理水平在银行危机发生的过程中也是一个重要因素。当银行自身的脆弱性、外来冲击以及银行低下的管理水平相结合时银行危机就发生了。而“传染”机制的存在则使单个银行危机演化成系统性危机。从理论上我们知道了银行危机是多种因素综合作 1<WP=7>用的结果,所以,银行危机从酝酿到最后发生有个过程。并且,银行还会表现出一系列的特征。分析近年来世界范围内一些影响较大的银行危机,就会发现确实银行危机会有一些共同的预警特征,如,银行贷款大幅增长、银行的资本充足水平和不良贷款水平急剧恶化等,通过考察这些预警特征,可为下一步研究我国的商业银行危机预警做准备。由于银行危机会给一国的经济发展、社会福利带来很大的损失,各国的银行监管机构以及国际组织的研究人员都注重对银行危机预警的研究,也取得了一定的成果。现有的银行危机预警体系主要分为三类:第一类是定性分析法。定性分析法主要有银行评级法,当前运用最为普遍的是 CAMEL银行评级法,该法能够在银行经营失败之前就发现问题,有一定的预警作用,但也存在不足。如,由于主要还是对银行当前的状况进行评判,加之未考虑除银行微观因素本身之外的其它因素,因而预警能力受到一定的限制。第二类是金融比例比较分析法。由于经验表明,经历失败或出现问题的银行在发生危机的前几年都会出现相似的特征,这些特征会反映在银行的某些财务指标上,如资本充足率、资产质量、利润率和流动性等。因而可以通过建立模型,确定起特定财务或经济比例和银行危机之间的联系,以此来预测银行是否会出现问题。第三类为数理统计模型。此类方法采用先进的数理技术把银行各项指标和业务转化为风险度量,通过比较度量结果,把可能遭遇高风险的银行和低风险的银行区别开来,在银行倒闭之前就把此高风险的银行找出来。银行危机预警是一项难度较大的工程,目前为止,有的学者在建立宏观经济变量和银行危机之间的相关性方面有所成就,有的在分析银行的财务状况和银行危机之间的关联也有所进展,但综合所有因素的模型还较少。研究银行危机发生原理、分析银行危机预警特征、考察现有的银行危机预警体系,其目的都是为建立我国商业银行危机预警体系做准备,而银行危机的预警体系必须基于一国的特点建立。我国商业银行危机的特点主要有:由于体制和制度的原因,国家信用成为我国未发生大规模显性商业银行危机的关键因素。虽然我国未发生大规模的银行危机,潜在的可能性也不可忽视。我国商业银行体系普遍存在资产质量差、资本充足率低的问题,加上我国银行内部管理水平落后以及政府和银行之间的联系过于紧密成为危机发生的潜在威胁。虽然到目前为止,银行体系还处于正常的运营状态。但如果宏观经济出现衰退,或突然面临外来冲击,则由于我国银行体系的脆弱,发生危机的可能性是较大的,加强银行危机预警的研究也就更有必要。预警体系包括预警指标、预警方法和预警模型。根据我国商 2<WP=8>业银行更多还原

【Abstract】 Bank crisis has a long history, yet in the recent years, did it become a world-widephenomenon. Many countries have experienced bank sector distress of variousdegrees of severity, and some have suffered repeated bouts. The bank crises cause alot of costs and loss to a country’s economy and social welfare, so, it is very importantto study the early warning system (EWS) of bank crisis. To study the EWS of bank crisis, it is necessary to learn the theory of bank crisis.Bank crisis is caused by many factors and here the author depicts the bank crisis as acycle. First, as a financial sector, the bank is fragile to all kinds of risks anddisturbances; Second, the problems caused by symmetric of information such asmoral hazard are also exist in bank sector, which make the bank sector face more riskssuch as market risk, credit risk and so on, the risks make the bank sector moreinclined to bank crisis. Third, the change of institution and the liberalization offinance make the bank sector faced more uncertainties and risks, which lead to thebanking crises. It is especially common in the developing countries. Fourth, themacroeconomic disturbance is also an important factor in the evolutions of bank crisis.The empirical results suggest that macroeconomic variables largely determine thetime of bank failure. Fifth, the management of a bank is also a determined factor, onlythe above factors combine with the weak management of a bank, will the bank burstinto crisis. sixth, a important factor is “contagion”, the contagion makes a single bank’s crisis become system crisis。 In the following chapter ,the author study the ante-crisis character of some bankcrises, such as the US bank crisis, Nordic bank crisis , UK bank crisis ,Japan bankcrisis and the south-east bank crisis, some of the bank crisis are also “twin crisis”,which is together with currency crisis or debt crisis. all these bank crises show somecommon ante-crisis characters: first, before the bank crisis broke out, themacro-economy are with “bubble”to some extent, when the macro-economy wentdisrupts, the bank crisis then broke out; second, before the bank become failure, thebank’s loan increase rapidly, part of the loan goes to the more risky areas, whichmeans more loans are to become non-performing loans, so the common ante-crisischaracters of the failed bank are the increase of non-performing loans and thedecrease of the capital . Bank crisis brings great costs and losses to the country and society. first, thedirect costs the bank crisis brings is the large amount of fiscal spending which is usedto save the failed bank, the statistics show that average fiscal spending is about<WP=10>10-15% of GDP , the indirect losses the bank crisis brings include the slow-down ofthe GDP growth, the increase of the unemployment rate, etc. because the bank crisisbrings so much costs and losses to a country and society, many countries and worldorganization draw much attention to the establishment of early warning system ofbank crisis, with which the bank crisis can be prevent from breaking out. The current early warning systems can be divided into three categories: the bankrating system, the financial ratio analysis system and the statistical system. The mostcommon used bank rating system is the CAMEL system, which evaluate the bank infive aspects: C-capital, A-asset, M-management, E-earning and L-liquidity, if thegrade of the bank is become worse, one can predict that the bank may fall into crisis.the bank rating system to some extend can predict a proportion of bank failure, but isnot accurate enough. The financial ratio analysis system is to compare the ratios of abank with the sample banks to decide if the bank is to become failure, to establishsuch system one need a lot of failed banks to collect the data. The statistical system isusing the statistical technology to establish the relationships of certain leadingindicators and bank crisis, the system can either predict wh更多还原