本文選題：宏觀審慎監(jiān)管 + 系統(tǒng)性風(fēng)險測度�。� 參考：《南開大學(xué)》2013年博士論文

【摘要】：二十一世紀(jì)以來的全球性金融危機(jī)和最近爆發(fā)的發(fā)達(dá)國家主權(quán)債務(wù)危機(jī)都和監(jiān)管失靈有關(guān),其本質(zhì)原因在于危機(jī)前各個國家均秉承單個金融機(jī)構(gòu)穩(wěn)健則整個金融體系穩(wěn)健的微觀審慎監(jiān)管理念。而實際上,金融機(jī)構(gòu)的運營往往具有較強(qiáng)的負(fù)外部性,尤其在該金融機(jī)構(gòu)與外界過度關(guān)聯(lián)且參與較多復(fù)雜衍生品交易而導(dǎo)致杠桿率過高時,更是如此。鑒于金融監(jiān)管的重大缺陷,新的監(jiān)管理念便應(yīng)運而生,這集中體現(xiàn)在Basel Ⅲ的推出及各個國家監(jiān)管當(dāng)局對自身監(jiān)管格局的改革。因此,可以說宏觀審慎監(jiān)管無疑是當(dāng)前金融實踐領(lǐng)域最引人入勝的話題。中國金融體系雖然在國際金融危機(jī)中沒有遭受直接的沖擊,但其金融體系仍然存在較大的系統(tǒng)性風(fēng)險隱患,具體表現(xiàn)在中國的高房價、影子銀行體系和地方政府融資平臺等。向前5-10年,中國的利率市場化改革、匯率市場化改革、經(jīng)濟(jì)增長方式轉(zhuǎn)變及新型城鎮(zhèn)化、金融開放、金融控股公司主導(dǎo)下的混業(yè)經(jīng)營等新的制度變革和市場改革必將給金融穩(wěn)定帶來較大的沖擊。因此,研究中國的宏觀審慎監(jiān)管框架有著很重要的現(xiàn)實意義,這正是本文的研究主題所在。 本文首先對國內(nèi)外關(guān)于宏觀審慎監(jiān)管框架的相關(guān)文獻(xiàn)進(jìn)行述評,主要涵蓋系統(tǒng)性風(fēng)險測度的分類、影子銀行體系、宏觀審慎工具實踐和宏觀審慎政策的協(xié)調(diào)等方面。緊接著,本文介紹了Basel Ⅰ至Basel Ⅲ的監(jiān)管理念轉(zhuǎn)變并以此引入宏觀審慎監(jiān)管框架。宏觀審慎監(jiān)管框架包含五個要素：宏觀審慎監(jiān)管的目標(biāo)、系統(tǒng)性風(fēng)險監(jiān)測、影子銀行體系、宏觀審慎工具、制度安排和政策協(xié)調(diào)。其中,宏觀審慎監(jiān)管的目標(biāo)是框架的前提,系統(tǒng)性風(fēng)險監(jiān)測和影子銀行體系則為框架的主體,前者是對傳統(tǒng)金融體系的風(fēng)險監(jiān)測,后者則為更廣義金融體系的風(fēng)險監(jiān)測。最后兩個要素則是框架的目的,其屬于對系統(tǒng)風(fēng)險進(jìn)行防范和監(jiān)管的范疇。本文在宏觀審慎監(jiān)管框架中還著重介紹了宏觀壓力測試方法(針對系統(tǒng)性風(fēng)險時間維度)和基于CCA調(diào)整的三部門資產(chǎn)負(fù)債表關(guān)聯(lián)法(針對系統(tǒng)性風(fēng)險橫截面維度)。 對于宏觀審慎監(jiān)管框架的主體之一,本文主要是提出了三種系統(tǒng)性風(fēng)險測度方法對我國金融體系系統(tǒng)性風(fēng)險進(jìn)行測算。首先,第四章介紹了簡式法,主要實現(xiàn)過程如下：通過構(gòu)建包含銀行和政府監(jiān)管當(dāng)局的兩期微觀模型得出金融機(jī)構(gòu)的系統(tǒng)性期望損失是度量其系統(tǒng)性風(fēng)險貢獻(xiàn)的指標(biāo)；鑒于系統(tǒng)性危機(jī)發(fā)生的低頻性和監(jiān)測需要前瞻性等,本文通過常規(guī)時期的金融機(jī)構(gòu)邊際期望損失和杠桿率對其進(jìn)行預(yù)測。實證過程中,本文通過變換危機(jī)定義區(qū)間、邊際期望損失指標(biāo)及預(yù)測樣本對預(yù)測效果進(jìn)行穩(wěn)健性檢驗。其次,第五章提出了綜合法,主要實現(xiàn)過程如下：在簡式法的基礎(chǔ)上,通過DCC-GARCH和蒙特卡洛模擬方法對我國金融機(jī)構(gòu)的系統(tǒng)性期望損失進(jìn)行單期和多期預(yù)測,并以此給出我國金融體系的系統(tǒng)性風(fēng)險兩個維度的測算。其中時間維度的測算指標(biāo)為金融體系預(yù)測60期發(fā)生系統(tǒng)性危機(jī)的概率,由于其波動性較大、不穩(wěn)定,不適宜作為監(jiān)測指標(biāo)；而橫截面維度測算指標(biāo)是以系統(tǒng)性期望損失為基礎(chǔ)構(gòu)建的SRISK%指標(biāo),其測算結(jié)果較為有效,并得出我國部分大型商業(yè)銀行系統(tǒng)性風(fēng)險水平最高,大部分股份制商業(yè)銀行都表現(xiàn)出較強(qiáng)的系統(tǒng)重要性,城市商業(yè)銀行的系統(tǒng)性風(fēng)險水平最低。文中還得出系統(tǒng)重要性水平與邊際期望損失、杠桿率和資產(chǎn)規(guī)模等因素相關(guān),且杠桿率是最重要的因素。最后,第六章提出了結(jié)構(gòu)法,主要實現(xiàn)過程如下：利用Merton期權(quán)定價公式得到的系統(tǒng)性違約距離和平均違約距離給出系統(tǒng)性風(fēng)險的時間維度測算結(jié)果；利用各銀行的違約距離結(jié)合有向無環(huán)圖技術(shù)得到的基于DAG的資產(chǎn)加權(quán)風(fēng)險外溢性指標(biāo)和基于方程分解的資產(chǎn)加權(quán)風(fēng)險外溢性指標(biāo)給出系統(tǒng)性風(fēng)險橫截面維度測算結(jié)果。結(jié)論發(fā)現(xiàn)：從時間維度看,我國銀行體系系統(tǒng)性風(fēng)險在2007年9月以后顯著增加,且在2008年10月達(dá)到最大值,之后逐漸下降,但危機(jī)后仍然高于危機(jī)前；從橫截面維度看,大型國有商業(yè)銀行的系統(tǒng)重要性最高、股份制商業(yè)銀行次之、城市商業(yè)銀行的系統(tǒng)重要性相對較低。本文從方法分類、測算結(jié)果、指標(biāo)設(shè)計及測算復(fù)雜度等方面對以上三種測算方法進(jìn)行了詳細(xì)地對比。 對于宏觀審慎監(jiān)管框架的主體之二,本文沿著先分析發(fā)達(dá)國家影子銀行體系,再探討我國影子銀行體系的思路進(jìn)行研究。在分析發(fā)達(dá)國家影子銀行體系時,本文主要研究了影子銀行信用中介過程、基于此中介過程的影子銀行監(jiān)管原因分析、影子銀行的監(jiān)測和監(jiān)管。影子銀行中介過程通過為貸款發(fā)起、貸款倉儲、ABS發(fā)行、ABS倉儲、ABS CDO發(fā)行、ABS中介和批發(fā)融資等七個環(huán)節(jié)行使類似于傳統(tǒng)銀行的信用、期限、流動性轉(zhuǎn)換功能,且本質(zhì)上將風(fēng)險資產(chǎn)轉(zhuǎn)移成風(fēng)險不敏感的高流動性負(fù)債(類貨幣)。本文基于影子銀行發(fā)行的類貨幣負(fù)債(主要原因在于私人部門的流動性和信用擔(dān)保,且存在信息不對稱及信息摩擦)基礎(chǔ)之上構(gòu)建了包含效率水平的金融機(jī)構(gòu)、傳統(tǒng)銀行和影子銀行的三個金融機(jī)構(gòu)風(fēng)險決策模型來解釋需要對影子銀行進(jìn)行監(jiān)管的理由。模型發(fā)現(xiàn),由于影子銀行發(fā)行的負(fù)債為風(fēng)險非敏感性,其承擔(dān)了超過了發(fā)行風(fēng)險敏感負(fù)債的有效率金融機(jī)構(gòu)水平的資產(chǎn)風(fēng)險、杠桿率及流動性風(fēng)險。另外,相對于傳統(tǒng)銀行來說影子銀行不受資本金監(jiān)管,這導(dǎo)致了在正常時期影子銀行承擔(dān)了比傳統(tǒng)銀行更高的資產(chǎn)風(fēng)險、杠桿率及流動性風(fēng)險。因此,需要對影子銀行進(jìn)行監(jiān)管。監(jiān)管的前提是對影子銀行的系統(tǒng)性風(fēng)險進(jìn)行監(jiān)測,為此可以通過逐步深入的方法：對整個影子銀行體系的運行特征進(jìn)行宏觀認(rèn)識和把握：識別影子銀行體系的系統(tǒng)性風(fēng)險因子和監(jiān)管套利；對影子銀行體系的系統(tǒng)性風(fēng)險和(或)監(jiān)管套利詳細(xì)評估。在對影子銀行體系的監(jiān)測之后,需要從以下五個領(lǐng)域?qū)τ白鱼y行進(jìn)行監(jiān)管：常規(guī)銀行體系和影子銀行體系的相互作用；貨幣市場基金；除貨幣市場基金以外的其它影子銀行實體；證券化；證券借貸和回購。發(fā)達(dá)國家的影子銀行體系在表現(xiàn)形式、融資模式、運行機(jī)制、規(guī)模、投資標(biāo)的及杠桿率等方面和我國有較大的不同,因此需要針對性地研究我國的影子銀行體系。研究發(fā)現(xiàn),我國影子銀行體系的最重要組成部分是銀行表外理財業(yè)務(wù),且由于以下三個原因?qū)е缕渥罱鼛啄暄杆贁U(kuò)張：投資者財富的增加、收入差距的拉大以及有限的保值增值投資渠道等因素促使了對銀行理財產(chǎn)品的需求快速增加；實體經(jīng)濟(jì)尤其是中小企業(yè)對資金需求已經(jīng)遠(yuǎn)遠(yuǎn)超過有限的銀行信貸；銀行監(jiān)管套利動機(jī)驅(qū)使銀行理財產(chǎn)品的迅速發(fā)展。銀行表外理財業(yè)務(wù)飛速發(fā)展是我國利率市場化的外在表現(xiàn)。銀行理財產(chǎn)品業(yè)務(wù)的風(fēng)險包括期限錯配導(dǎo)致的流動性風(fēng)險、影子銀行中介機(jī)構(gòu)的通道風(fēng)險、資產(chǎn)池對應(yīng)的信用風(fēng)險、銀行理財產(chǎn)品缺乏托管的操作風(fēng)險、以及銀行對其理財產(chǎn)品的隱形擔(dān)保所承擔(dān)的聲譽風(fēng)險和市場風(fēng)險。因此,應(yīng)對我國影子銀行的以上風(fēng)險進(jìn)行相應(yīng)的監(jiān)管,宜疏不宜堵。 對于宏觀審慎監(jiān)管框架的目的研究,本文主要側(cè)重于研究宏觀審慎工具及其協(xié)調(diào)機(jī)制。本文利用IMF對各個國家實施的宏觀審慎工具的調(diào)查數(shù)據(jù)分析了宏觀審慎工具的類型、使用方法及有效性,并基于此探討了我國的宏觀審慎監(jiān)管實踐。宏觀審慎工具主要包括信貸相關(guān)、流動性相關(guān)和資本金相關(guān)等三類,使用方法一般是多種工具聯(lián)合使用方式、不針對具體目標(biāo)的使用方式以及相機(jī)抉擇的使用方式。經(jīng)濟(jì)發(fā)展程度低、金融部門規(guī)模小、固定匯率制度及資本流動沖擊大的國家使用宏觀審慎工具的頻率更高。對宏觀審慎工具有效性的研究發(fā)現(xiàn)大部分宏觀審慎工具是有效的�；谝陨辖Y(jié)論,本文探討了我國宏觀審慎工具針對房地產(chǎn)價格風(fēng)險的有效性,并提出了相應(yīng)的政策建議。 在研究宏觀審慎工具的協(xié)調(diào)機(jī)制時,本文先研究了宏觀審慎工具的傳導(dǎo)機(jī)制及宏觀審慎政策與貨幣政策的相互作用。與貨幣政策的傳導(dǎo)機(jī)制不同的是,宏觀審慎政策的傳導(dǎo)機(jī)制與宏觀審慎工具以及金融周期相關(guān)。三種緊縮的宏觀審慎政策工具都能有效地進(jìn)行傳導(dǎo),且市場參與者的預(yù)期因素在其中起著非常重要的作用。寬松的宏觀審慎政策傳導(dǎo)機(jī)制,應(yīng)區(qū)分危機(jī)時期和非危機(jī)時期：非危機(jī)時期緊縮的宏觀審慎政策是有效的,且傳導(dǎo)機(jī)制和緊縮的宏觀審慎政策完全相反；危機(jī)時期的寬松宏觀審慎政策依賴于“棘輪效應(yīng)”存在的程度。當(dāng)“棘輪效應(yīng)”存在時,寬松的宏觀審慎政策是有效的；當(dāng)“棘輪效應(yīng)”不存在時,寬松的宏觀審慎政策的實施效果類似于衰退時期的貨幣政政策,效果并不理想。另外,預(yù)期因素使得寬松的貨幣政策具有一定的有效性。宏觀審慎政策和貨幣政策是相互作用的：宏觀審慎政策的執(zhí)行有利于危機(jī)時期的貨幣政策的傳導(dǎo),且避免其陷入0下界風(fēng)險；貨幣政策通過影響借款抵押限制、銀行風(fēng)險承擔(dān)渠道、資產(chǎn)價格負(fù)外部性和匯率負(fù)外部性,從而影響金融穩(wěn)定。本文利用中國銀行業(yè)數(shù)據(jù)研究了銀行的風(fēng)險承擔(dān)渠道,并基于此分析了貨幣政策與宏觀審慎政策的協(xié)調(diào)問題。
[Abstract]:The global financial crisis since twenty-first Century and the recent outbreak of the sovereign debt crisis in developed countries are all related to regulatory failure. The essential reason is that every country before the crisis has adhered to the prudent and prudent micro prudential supervision concept of the whole financial system by the sound of a single financial institution. In fact, the operation of financial institutions is often more than that. The strong negative externality is especially true when the financial institution is overly associated with the outside world and participates in more complex derivatives trading, which is especially true. In view of the major defects in financial regulation, the new regulatory concept emerges as the times require, which is reflected in the introduction of Basel III and the change in the regulatory framework of various national regulatory authorities. Therefore, it can be said that macro prudential supervision is undoubtedly the most fascinating topic in the current field of financial practice. Although China's financial system has not suffered a direct impact in the international financial crisis, its financial system still has a large systematic risk of risk, specifically in China's high house prices, the shadow banking system and the local government. In the past 5-10 years, China's interest rate marketization reform, exchange rate marketization reform, the transformation of economic growth mode and new urbanization, financial opening, and market reform led by financial holding companies are bound to bring a greater impact on the financial stability. Therefore, the macro prudence of China is studied. The regulatory framework has a very important practical significance, which is the theme of this study.
This article reviews the relevant literatures about the macro prudential regulatory framework at home and abroad, mainly covering the classification of systematic risk measurement, the shadow banking system, the macro Prudential tool practice and the coordination of macro Prudential policy. The paper then introduces the transformation of the regulatory concept of Basel I to Basel III and introduces the macro trial to the macro trial. Prudential framework. The macro prudential regulatory framework consists of five elements: macro Prudential objectives, systematic risk monitoring, shadow banking system, macro Prudential tools, institutional arrangements and policy coordination. The latter is the risk monitoring of the traditional financial system, and the latter is the risk monitoring of the broader financial system. The last two elements are the purpose of the framework, which belongs to the category of prevention and supervision of the system risk. In this paper, the macro pressure testing method is also introduced in the macro Prudential framework (for the systematic risk time dimension). And CCA based adjustment of the three sector balance sheet correlation method (for systemic risk cross-sectional dimensions).
For one of the main bodies of the macro prudential regulatory framework, this paper mainly proposes three systematic risk measurement methods to measure the systemic risk of our financial system. First, the fourth chapter introduces the simplified method. The main realization process is as follows: through the construction of two micro models including the bank and the government regulatory authorities, the financial institutions are obtained. Systematic expectation loss is an index to measure the contribution of systemic risk. In view of the low frequency of systemic crisis and the prospect of monitoring, this paper forecasts the marginal expectation loss and leverage ratio of the regular period financial institutions. In the empirical process, the definition interval of transformation crisis is passed, marginal expectation loss refers to Secondly, the fifth chapter puts forward the comprehensive method, and the main realization process is as follows: on the basis of the simplified method, the systematic expectation loss of our financial institutions is predicted by DCC-GARCH and Monte Carlo simulation method, and the system of our financial system is given. The measurement index of the time dimension is the probability of predicting the systemic crisis in the 60 phase of the financial system, because of its large volatility, instability and unsuitable as the monitoring index, and the measurement index of the cross section dimension is the SRISK% index based on the systematic expected loss as the basis, and its calculation results are more effective. The system risk level of some large commercial banks in China is the highest, and most of the joint-stock commercial banks show strong systematic importance. The systematic risk level of urban commercial banks is the lowest. The paper also concludes that the system importance is related to the marginal expectation loss, the leverage ratio and the asset scale, and the leverage ratio. It is the most important factor. Finally, the sixth chapter puts forward the structure method. The main implementation process is as follows: the systematic default distance and the average default distance obtained by the Merton option pricing formula give the calculation results of the time dimension of systematic risk, and use the default distance of each bank to get the capital based on the DAG based on the acyclic graph technology. The results of systematic risk cross section are given by weighted risk spillover index and asset weighted risk spillover index based on equation decomposition. Conclusion: from the time dimension, the systemic risk of China's banking system increased significantly after September 2007, and reached the maximum in October 2008, and then gradually declined, but the crisis was declining. It is still higher than before the crisis; from the cross section dimension, the system importance of the large state-owned commercial banks is the highest, the joint stock commercial banks are second, and the systematic importance of the urban commercial banks is relatively low. The above three methods are discussed in detail from the classification of the methods, the calculation results, the index design and the calculation complexity. Ratio.
Two of the main body of the macro prudential regulatory framework, this paper studies the shadow banking system in the developed countries. In the analysis of the shadow banking system in developed countries, this paper mainly studies the process of the shadow banking credit intermediary, and the reasons for the shadow banking supervision based on this intermediary process. Analysis, shadow banking monitoring and supervision. The shadow banking intermediary process has seven links, such as loans, loan warehousing, ABS distribution, ABS storage, ABS CDO distribution, ABS intermediary and wholesale financing, which are similar to the traditional banks' credit, time limit, liquidity conversion function, and essentially transfer risk assets into risk insensitive high liquidity. Liability (class money). Based on the type of currency debt issued by the shadow Bank (mainly due to the liquidity of the private sector and credit guarantee, and the existence of information asymmetry and information friction), a financial institution including the efficiency level is constructed, and the three financial institutions of the traditional banks and the shadow banks are used to explain the needs of the financial institutions. The reason for the regulation of shadow banks is that, as the debt issued by the shadow bank is unsensitive to risk, it undertakes asset risk, leverage and liquidity risk beyond the level of efficient financial institutions that issue risk sensitive liabilities. In addition, shadow banks are not subject to capital regulation, compared with the traditional banks. It leads to the higher risk, leverage and liquidity risk of the shadow banks in the normal period. Therefore, the shadow banking needs to be supervised. The premise of the supervision is to monitor the systematic risks of the shadow banks, so that the running characteristics of the shadow banking system can be carried out through a gradual and in-depth method. To recognize the systemic risk factors and regulatory arbitrage of the shadow banking system; the systematic risk and / or regulatory arbitrage of the shadow banking system. After monitoring the shadow banking system, the shadow banking system needs to be monitored from the following five areas: the conventional banking system and the shadow banking system The interaction of the system; money market funds; other shadow banking entities other than the money market fund; securitization; securities lending and repurchase. The shadow banking system of developed countries is quite different from that of our country in the form, financing mode, operating mechanism, scale, investment standard and leverage ratio. The research shows that the most important part of the shadow banking system in China is that the bank's financial management is the most important part of the banking system, and the following three reasons lead to the rapid expansion of its recent years: the increase of investor wealth, the widening of the income gap and the limited value and value added investment channels. The demand for banking financial products has increased rapidly; the real economy, especially the small and medium-sized enterprises, has far exceeded the limited bank credit, and the bank supervision arbitrage motivates the rapid development of the bank's financial products. The rapid development of the bank's external financial services is the external manifestation of the interest rate marketization in China. Risk includes liquidity risk caused by mismatch of time limit, channel risk of shadow banking agency, credit risk of asset pool, lack of managed operational risk of bank financial products, reputation risk and market risk of bank's stealth guarantee for its financial products. Therefore, deal with the above risks of China's shadow banking. The appropriate supervision should not be blocked.
For the purpose of macro prudential regulatory framework, this paper mainly focuses on the study of macro Prudential tools and their coordination mechanisms. This paper analyses the types, methods and effectiveness of macro Prudential tools, using the survey data of macro Prudential tools implemented by IMF in various countries, and discusses the practice of macro prudential supervision in China based on this. The macro Prudential tools mainly include three types of credit related, liquidity related and capital related. The use method is generally used by various tools, not the use of specific targets and the use of discretion. The economic development is low, the financial sector is a small model, the fixed exchange rate system and capital flows have a large impact. The use of macro Prudential tools is higher in the country. A study of the effectiveness of macro Prudential tools has found that most macro Prudential tools are effective. Based on the above conclusions, this paper discusses the effectiveness of China's macro Prudential tools on real estate price risks and puts forward corresponding policy recommendations.
In the study of the coordination mechanism of macro Prudential tools, this paper first studies the transmission mechanism of macro Prudential tools and the interaction between macro Prudential policy and monetary policy. Different from the transmission mechanism of monetary policy, the transmission mechanism of macro Prudential policy is related to the macro Prudential tool and the financial cycle. Three kinds of austerity macro prudence. Policy tools can be carried out effectively, and the expected factors of market participants play a very important role. Loose macro Prudential policy transmission mechanism should distinguish between crisis period and non crisis period: the macro Prudential policy in non crisis period is effective, and the transmission mechanism and tight macro Prudential policy are complete. On the contrary, the loose macro Prudential policy in the crisis period depends on the extent of the "ratchet effect". When the ratcheting effect exists, the loose macro Prudential policy is effective; when the ratcheting effect does not exist, the effect of the loose macro Prudential policy is similar to the monetary policy of the recession period, and the effect is not satisfactory. In addition, the expected factors make the loose monetary policy effective. Macro Prudential policy and monetary policy interact: the implementation of macro Prudential policy is conducive to the transmission of monetary policy in the crisis period and avoids the risk of falling into the 0 lower boundary; monetary policy affects the risk of bank risk by affecting the loan mortgage restrictions. The negative externality of the asset price and the negative externality of the exchange rate affect the financial stability. This paper uses the data of China's banking industry to study the banks' risk bearing channels, and analyzes the coordination between monetary policy and macro Prudential policy based on this.
【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.1

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