【摘要】：2007-2009年由次貸危機(jī)引起的金融市場(chǎng)的混亂被看作是自從大蕭條以來(lái)最嚴(yán)重的金融危機(jī)。與歷次金融危機(jī)相同的是，這次金融危機(jī)之前同樣經(jīng)歷了一段漫長(zhǎng)的經(jīng)濟(jì)繁榮期，金融體系中同樣存在流動(dòng)性過(guò)剩、資產(chǎn)價(jià)格泡沫、杠桿率增大，信貸高速增長(zhǎng)等，在這個(gè)過(guò)程中系統(tǒng)性風(fēng)險(xiǎn)不斷累積，但是風(fēng)險(xiǎn)水平普遍被市場(chǎng)和監(jiān)管部門(mén)低估。在對(duì)這次金融危機(jī)全面反思之后，普遍認(rèn)為，在世界范圍內(nèi)由于通脹高企而發(fā)生經(jīng)濟(jì)金融危機(jī)的概率已經(jīng)大幅度下降，但僅僅保持低通脹和穩(wěn)定的宏觀經(jīng)濟(jì)仍不足以保障金融穩(wěn)定；而且，傳統(tǒng)的微觀審慎監(jiān)管理念由于忽視了對(duì)宏觀系統(tǒng)性風(fēng)險(xiǎn)的關(guān)注，不能夠保證金融系統(tǒng)的穩(wěn)定運(yùn)行，必須加強(qiáng)以防范系統(tǒng)性風(fēng)險(xiǎn)為目標(biāo)的宏觀審慎監(jiān)管。也就是說(shuō)，傳統(tǒng)的盯住通貨膨脹為主的貨幣政策和以資本監(jiān)管為核心的微觀審慎監(jiān)管不足以保證金融體統(tǒng)的健康穩(wěn)定。正是基于以上的認(rèn)識(shí)，國(guó)際社會(huì)紛紛認(rèn)為應(yīng)該建立一個(gè)有效的宏觀審慎監(jiān)管框架，這將成為各國(guó)金融監(jiān)管改革的一個(gè)共同趨勢(shì)。 我國(guó)也在“十二五”規(guī)劃中正式提出“逆周期宏觀審慎制度框架”。與前兩次規(guī)劃相比，“十二五”規(guī)劃建議中“金融體制改革”文字雖未改動(dòng)，所要努力的內(nèi)容卻已經(jīng)發(fā)生很大變化。在建議中，金融體制改革的第一項(xiàng)內(nèi)容為“構(gòu)建逆周期的金融宏觀審慎管理制度框架。宏觀審慎管理是以防范系統(tǒng)性風(fēng)險(xiǎn)為根本目標(biāo)，將金融業(yè)視做一個(gè)有機(jī)整體，既防范金融業(yè)內(nèi)部相互關(guān)聯(lián)可能導(dǎo)致的風(fēng)險(xiǎn)傳遞，又關(guān)注金融體系在跨經(jīng)濟(jì)周期中的穩(wěn)健狀況，從而有效管理整個(gè)金融體系的風(fēng)險(xiǎn)，最終實(shí)現(xiàn)維護(hù)金融穩(wěn)定的目標(biāo)。在2010年10月召開(kāi)的“宏觀審慎政策：亞洲視角高級(jí)研討會(huì)”上，中國(guó)人民銀行行長(zhǎng)周小川表示：“國(guó)際金融危機(jī)重大教訓(xùn)之一，是不能只關(guān)注單個(gè)金融機(jī)構(gòu)或單個(gè)行業(yè)的風(fēng)險(xiǎn)防范，還必須從系統(tǒng)性角度防范金融風(fēng)險(xiǎn)，而宏觀審慎政策正是針對(duì)系統(tǒng)性風(fēng)險(xiǎn)的良藥。” 宏觀審慎監(jiān)管有兩個(gè)維度：一個(gè)是時(shí)間維度，主要關(guān)注隨著時(shí)間的推移，金融體系與實(shí)體經(jīng)濟(jì)之間的相互影響，這個(gè)維度解決的主要問(wèn)題就是如何緩解金融體系的順周期性問(wèn)題。另一個(gè)是跨業(yè)維度，主要關(guān)注的是在同一個(gè)時(shí)點(diǎn)上，各金融機(jī)構(gòu)之間的相互聯(lián)系以及持有共同的風(fēng)險(xiǎn)暴露。本博士論文從第一個(gè)維度展開(kāi)研究，即分析金融系統(tǒng)的順周期性問(wèn)題以及可以采用的逆周期性政策工具。 銀行業(yè)的順周期性主要是三方面原因造成的，第一是由于金融市場(chǎng)尤其是信貸市場(chǎng)的不完美性、市場(chǎng)參與者的有限理性造成的，，這種金融系統(tǒng)的內(nèi)生順周期性是不能消除的；第二是由于金融機(jī)構(gòu)的內(nèi)在因素造成的，例如風(fēng)險(xiǎn)計(jì)量方法和模型采用過(guò)短的時(shí)間跨度、鼓勵(lì)追求短期利益的激勵(lì)機(jī)制和金融機(jī)構(gòu)在發(fā)展戰(zhàn)略、風(fēng)險(xiǎn)管理模型和風(fēng)險(xiǎn)暴露方面的趨同性等；第三是一些外部規(guī)則因素和政策造成的，比如，資本監(jiān)管、貸款損失準(zhǔn)備和公允價(jià)值等。另外，在逆周期監(jiān)管政策方面，我們對(duì)主流的政策工具都做了簡(jiǎn)要的介紹，包括留存資本緩沖、逆周期資本緩沖、動(dòng)態(tài)撥備制度、或有資本債券、救助保險(xiǎn)基金、壓力測(cè)試、杠桿率、完善新會(huì)計(jì)準(zhǔn)則等。 緊接著，我們用一個(gè)理論模型分析了各個(gè)逆周期性監(jiān)管工具對(duì)金融體系道德風(fēng)險(xiǎn)的影響。從道德風(fēng)險(xiǎn)的視角比較了各個(gè)資本類(lèi)監(jiān)管工具的優(yōu)劣，指出逆周期性政策工具可以兼顧“太大而不能倒”的金融機(jī)構(gòu)引發(fā)的道德風(fēng)險(xiǎn)問(wèn)題，文章對(duì)這一問(wèn)題做了一個(gè)初步性的探索。結(jié)論為，在信息充分的條件下，時(shí)間可變的資本充足率不能很好的解決“大而不能倒”的金融機(jī)構(gòu)所面臨的道德風(fēng)險(xiǎn)問(wèn)題；或有資本可以部分解決金融機(jī)構(gòu)的道德風(fēng)險(xiǎn)問(wèn)題；“救助”保險(xiǎn)基金能夠很好的解決道德風(fēng)險(xiǎn)問(wèn)題。 作為對(duì)這次危機(jī)的反應(yīng)，Basel（Ⅲ）提出了逆周期性資本緩沖的監(jiān)管方案，其目的是在經(jīng)濟(jì)景氣時(shí)建立資本緩沖以備經(jīng)濟(jì)蕭條時(shí)使用，即經(jīng)濟(jì)繁榮時(shí)抑制信貸的過(guò)快增長(zhǎng)，經(jīng)濟(jì)蕭條時(shí)減少順周期性所導(dǎo)致的去杠桿化給經(jīng)濟(jì)帶來(lái)的負(fù)面影響，增加銀行業(yè)的恢復(fù)能力。我們認(rèn)為逆周期性緩沖資本緩沖的存在，除了能帶來(lái)上述正面效應(yīng)之外，還有一個(gè)負(fù)面效應(yīng)，可能會(huì)誘導(dǎo)銀行業(yè)的羊群效應(yīng)，即增加不同銀行持有資產(chǎn)之間的相關(guān)性，進(jìn)而增加銀行業(yè)的系統(tǒng)性風(fēng)險(xiǎn)，我們同樣用一個(gè)理論模型詳細(xì)分析了這種負(fù)面效應(yīng)。 第六章我們研究了三個(gè)問(wèn)題。第一是對(duì)中國(guó)銀行業(yè)順周期的實(shí)際情況做了實(shí)證檢驗(yàn)。研究結(jié)果表明，中國(guó)的銀行系統(tǒng)存在順周期性，但是由于各種原因（比如政府干預(yù)比較嚴(yán)重、模型所用數(shù)據(jù)的時(shí)間段過(guò)短、我們正處于國(guó)有銀行的改革階段，政府政策多變等）這種順周期性并不顯著。第二是總結(jié)了金融危機(jī)后我國(guó)采取的逆周期性政策。第三分析了逆周期監(jiān)管存在的困難和障礙。 最后，我們對(duì)全文做了總結(jié)，總結(jié)了本論文的主要研究結(jié)論以及后續(xù)的研究展望。
[Abstract]:The financial market turmoil caused by the subprime mortgage crisis in 2007-2009 is seen as the worst financial crisis since the Great Depression. After a thorough reflection on the financial crisis, it is generally believed that the probability of economic and financial crises due to high inflation worldwide has dropped substantially, but only kept inflation low. And stable macro-economy is still not enough to ensure financial stability; moreover, the traditional micro-prudential supervision concept can not guarantee the stable operation of the financial system because it neglects the concern of macro-systemic risk, so we must strengthen macro-prudential supervision aiming at preventing systemic risk. The main monetary policy and micro-prudential supervision centered on capital supervision are not enough to ensure the health and stability of the financial system.
In the 12th Five-Year Plan, China formally put forward the "counter-cyclical macro-prudential system framework". Compared with the previous two plans, the "financial system reform" in the 12th Five-Year Plan has not been changed, but the content of the effort has changed greatly. Macro-prudential management is a framework of financial macro-prudential management system in a cyclical way. Macro-prudential management aims at preventing systemic risks and regards the financial industry as an organic whole. It not only prevents the risk transmission caused by the inter-relationship within the financial industry, but also pays attention to the steady state of the financial system in the cross-economic cycle, so as to effectively manage the whole financial system. "One of the major lessons of the international financial crisis is that we should not only focus on the risk prevention of individual financial institutions or industries, but also follow the rules," said Zhou Xiaochuan, governor of the People's Bank of China, at the "Macro-prudential Policy: Asia Perspective High-level Seminar" held in October 2010. We should guard against financial risks from a unified perspective, while macro prudential policies are good medicine for systemic risks.
Macro-prudential regulation has two dimensions: one is the time dimension, which focuses on the interaction between the financial system and the real economy over time. The main problem solved by this dimension is how to alleviate the procyclicality of the financial system. The first dimension of this dissertation is to analyze the pro-cyclicality of the financial system and the counter-cyclicality policy tools available.
The pro-cyclicality of banking industry is mainly caused by three factors. First, it is caused by the imperfection of financial market, especially credit market, and the bounded rationality of market participants. The endogenous pro-cyclicality of the financial system can not be eliminated. Second, it is caused by the internal factors of financial institutions, such as risk measurement methods. And the model adopts too short a time span to encourage the pursuit of short-term interests of incentives and financial institutions in the development strategy, risk management model and risk exposure convergence; the third is caused by some external rules and policies, such as capital regulation, loan loss preparation and fair value. Policy, we have made a brief introduction to the mainstream policy tools, including retained capital buffer, counter-cyclical capital buffer, dynamic reserve system, contingent capital bonds, rescue insurance funds, stress testing, leverage, improve the new accounting standards.
Then, we use a theoretical model to analyze the impact of various counter-cyclical regulatory instruments on the moral hazard of the financial system. From the perspective of moral hazard, we compare the advantages and disadvantages of various capital-based regulatory instruments and point out that counter-cyclical policy instruments can take into account the moral hazard caused by "too big to fail" financial institutions. The conclusion is that under the condition of sufficient information, time-varying capital adequacy ratio can not solve the problem of moral hazard faced by financial institutions which are "too big to fail"; contingent capital can partly solve the problem of moral hazard faced by financial institutions; and "rescue" insurance funds can. It is a good solution to moral hazard.
In response to the crisis, Basel (III) proposed a counter-cyclical capital cushion regulatory scheme aimed at creating a capital cushion for use in times of economic depression, i.e. restraining excessive credit growth in times of prosperity and reducing the negative impact of pro-cyclical deleveraging in times of economic depression. In addition to the positive effects mentioned above, the existence of the counter-cyclical buffer of capital may induce the herding effect of the banking industry, that is, to increase the correlation between assets held by different banks, thereby increasing the systemic risk of the banking industry. A theoretical model analyzes this negative effect in detail.
The results show that the banking system in China is pro-cyclical, but we are in the reform stage of state-owned banks because of various reasons (such as the serious government intervention and the short period of data used in the model). The second is to summarize the counter-cyclical policies adopted by China after the financial crisis. The third is to analyze the difficulties and obstacles of counter-cyclical regulation.
Finally, we summarize the full text, summarize the main conclusions of this paper and follow-up research prospects.
【學(xué)位授予單位】：南開(kāi)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F831.0

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