本文關鍵詞：中國證券行業(yè)宏觀審慎監(jiān)管研究　出處：《湖南大學》2012年博士論文　論文類型：學位論文

  更多相關文章： 證券行業(yè) 順周期性 風險傳染 宏觀審慎監(jiān)管

【摘要】：美國金融危機爆發(fā)并席卷全球后,世界各國紛紛推出大規(guī)模的救市方案、經濟刺激計劃,制訂并實施新的金融監(jiān)管改革法案,以拯救陷于崩潰邊緣的金融體系,處置并防范系統(tǒng)性金融風險。全球金融監(jiān)管機構也加強了國際金融監(jiān)管改革的合作與協(xié)調,新巴塞爾資本協(xié)議(“巴塞爾Ⅲ”)應運而生。針對此次金融危機暴露出來的金融體系順周期性、金融機構風險傳染性等特征,“巴塞爾Ⅲ”著力通過構建宏觀審慎金融監(jiān)管框架以防范系統(tǒng)性金融風險,增強金融體系的穩(wěn)健性。“巴塞爾Ⅲ”提出的宏觀審慎金融監(jiān)管框架立足于商業(yè)銀行監(jiān)管,但是在西方國家混業(yè)經營、功能性監(jiān)管的金融體系里,宏觀審慎監(jiān)管的對象涉及整個金融體系。對于實行金融分業(yè)經營、機構監(jiān)管的我國來說,在全球金融監(jiān)管改革縱深推進、國內金融機構綜合經營步伐加快的背景下,構建涵蓋銀行、證券和保險等金融體系的宏觀審慎監(jiān)管框架將是我國金融監(jiān)管改革的重要內容。 作為資本市場的主要中介機構和重要的機構投資者,證券公司在追求利潤最大化的過程中,其經營管理行為無疑也存在和商業(yè)銀行類似的順周期性特征。凈資本比率是證券公司風險業(yè)務的集中反映,以我國45家證券公司為樣本建立的面板數(shù)據模型進行的回歸分析表明,我國證券公司凈資本比率存在明顯的順周期性。證券公司的自營、經紀、資產管理等業(yè)務也存在順周期性特征,而公允價值會計計量方法以及外部信用評級則加劇了證券公司的順周期性。同時,運用Copula函數(shù)對我國8家主要上市證券公司股價收益率進行的相關性分析發(fā)現(xiàn),我國證券公司股價收益率之間存在明顯的上尾相依性與下尾相依性,這表明我國證券公司之間存在明顯的風險傳染性。雖然從相關研究文獻以及本文的實證研究結果來看,目前我國資本市場的“托賓Q”效應以及財富效應并不明顯,但是其對于拓寬企業(yè)融資渠道、提高資本配置效率以及產業(yè)結構優(yōu)化等方面的功能不可替代。因此加強宏觀審慎監(jiān)管,緩解證券公司的順周期性、防止證券行業(yè)風險傳染與擴散對于增強證券行業(yè)穩(wěn)健性,維護資本市場穩(wěn)定、健康發(fā)展進而促進宏觀經濟穩(wěn)定運行具有非常重要的現(xiàn)實必要性。 借鑒“巴塞爾Ⅲ”提出的宏觀審慎監(jiān)管有關措施,我國應抓緊構建并完善證券行業(yè)宏觀審慎監(jiān)管框架。首先,要構建宏觀審慎監(jiān)管框架,即構建統(tǒng)一的宏觀審慎金融監(jiān)管機構；通過實施逆周期凈資本監(jiān)管機制、動態(tài)調整風險資本準備、實行動態(tài)杠桿率、建立證券市場穩(wěn)定基金、改革公允價值會計準則、加強對信用評級機構的監(jiān)管等措施緩解證券行業(yè)的順周期性；通過加強對重點機構的監(jiān)管、加強證券行業(yè)危機預警與壓力測試、健全投資者保護機制、加強表外業(yè)務監(jiān)管、加快金融市場建設等措施防范證券行業(yè)風險傳染與擴散。此外,還應加強證券行業(yè)的自律管理,完善證券公司合作機制、建立明確的懲罰機制以及加強監(jiān)管信息披露,降低宏觀審慎監(jiān)管過程中的交易成本。 總體而言,目前對證券行業(yè)實施宏觀審慎監(jiān)管的相關工具與機制的研究尚處于探索與完善階段。本文立足于后金融危機時期全球金融監(jiān)管改革的大背景,借鑒“巴塞爾Ⅲ”有關宏觀審慎監(jiān)管措施,力圖為構建我國證券行業(yè)宏觀審慎監(jiān)管的基本框架、完善證券公司監(jiān)管制度提供政策建議。
[Abstract]:The United States and the outbreak of the financial crisis swept the world, all the countries in the world have launched a massive bailout plan, economic stimulus plan, formulate and implement the new financial regulatory reform bill, to save a financial system on the verge of collapse, and disposal to prevent systemic financial risks. The global financial regulatory agencies to strengthen cooperation and coordination of international financial regulatory reform and the new Basel Capital Accord ("Basel III") came into being. The procyclicality of the financial crisis exposed in the financial system, financial institutions, the risk of infectious and other features, "Basel III" efforts by building to prevent systemic financial risks of macro Prudential financial regulatory framework, strengthening the soundness of the financial system. "Basel III" proposed macro Prudential Financial Regulatory Framework Based on the supervision of commercial banks in western countries, but mixed operation, functional supervision of the financial system In the system, the object of macro prudential regulation relates to the entire financial system. For the implementation of financial management, China's institutions, in the global financial regulatory reform, comprehensive management of domestic financial institutions to speed up the pace of the construction background, covering banking, securities and insurance and other financial macro prudential regulatory framework will be an important content China's financial regulatory reform.
As the main capital market intermediaries and important institutional investors, securities companies in the pursuit of profit maximization process, its management behavior is also commercial banks and similar Pro cyclical features. Net capital ratio is the business of securities companies risk concentration reflected in 45 securities companies in China for regression panel data sample model analysis shows that China's securities companies net capital ratios are significantly procyclical. Securities companies proprietary trading, brokerage, asset management and other business procyclical, and fair value accounting method and external credit rating will exacerbate procyclicality of securities companies at the same time. Using Copula function, analysis of China's 8 major listed securities company stock return rate correlation, China's securities companies between stock returns are obvious on the tail Dependency and tail dependence, which indicates the presence of significant risk of infectious among securities companies in China. Although the relevant literature and the results of empirical research, at present, China's capital market "Tobin Q" effect and the wealth effect is not obvious, but to broaden the financing channels for enterprises to improve the allocation of capital the efficiency and optimization of industrial structure and the irreplaceable function. Therefore strengthen macro prudential supervision, securities companies alleviate the procyclicality of the securities industry, to prevent the risk of infection and spread of the securities industry to enhance the robustness, maintain the stability of the capital market, and promote the healthy development of economic stability has very important realistic necessity.
From the "Basel III" put forward relevant measures of macro prudential regulation, China should pay close attention to the construction and perfection of the securities industry macro prudential regulatory framework. Firstly, to construct the macro prudential regulatory framework, namely the construction of unified macro Prudential Financial supervision institutions; through the implementation of countercyclical net capital regulation mechanism, dynamic adjustment of venture capital to implement dynamic leverage to establish a stable funds rate, stock market reform, fair value accounting, strengthen the supervision of credit rating agencies and other measures to alleviate the securities industry procyclicality; by strengthening the focus on supervision, strengthen the securities industry crisis warning and pressure test, improve investor protection mechanism, strengthen the supervision of OBSA, speeding up the construction of financial markets. Measures to prevent the risk of infection and spread of the securities industry. In addition, we should strengthen the self-discipline management of the securities industry, improve the securities company cooperation mechanism, Establish a clear mechanism of punishment and strengthen the disclosure of regulatory information to reduce transaction costs in the process of macro prudential supervision.
Overall, the present research on the securities industry related to the implementation of macro Prudential tools and the mechanism is still in the exploration and improvement stage. This paper is based on the background of the global financial regulatory reform after the financial crisis, from the "Basel III" macro prudential measures, so as to construct the basic framework of China's securities industry macro prudential supervision and provide policy suggestions to improve the supervision system of the securities company.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前5條

1 于立,肖興志;規(guī)制理論發(fā)展綜述[J];財經問題研究;2001年01期

2 葛家澍;關于會計計量的新屬性——公允價值[J];上海會計;2001年01期

3 皮天雷,趙天榮;羊群行為理論:一個研究綜述[J];云南財貿學院學報;2005年02期

4 雷華;規(guī)制經濟學理論研究綜述[J];當代經濟科學;2003年06期

5 蔣海,劉少波;銀行資本監(jiān)管理論及其新進展[J];當代經濟科學;2003年03期

相關碩士學位論文 前1條

1 劉利;凈資本監(jiān)管體制對券商財務管理的影響初探[D];上海交通大學;2007年

，

本文編號：1406200