本文選題：銀行系統(tǒng)性風(fēng)險(xiǎn)　切入點(diǎn)：宏觀審慎　出處：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：由美國次貸危機(jī)引發(fā)的全球金融危機(jī)凸顯了關(guān)注系統(tǒng)性風(fēng)險(xiǎn),維護(hù)金融穩(wěn)定的重要性,因此,國際社會對危機(jī)的爆發(fā)與蔓延進(jìn)行深入剖析與反思以尋求防范系統(tǒng)性風(fēng)險(xiǎn)的有效方法。在諸多危機(jī)動因和引發(fā)根源的分析結(jié)論中,一個基本共識就是：金融監(jiān)管體系嚴(yán)重滯后于金融發(fā)展是危機(jī)產(chǎn)生和蔓延的關(guān)鍵性因素。當(dāng)前,各國監(jiān)管者對金融機(jī)構(gòu)進(jìn)行的微觀審慎監(jiān)管關(guān)注的是單個機(jī)構(gòu)的經(jīng)營狀況與風(fēng)險(xiǎn),并不足以防范金融機(jī)構(gòu)間的關(guān)聯(lián)性和金融體系的順周期性引發(fā)的系統(tǒng)性風(fēng)險(xiǎn),因而,著眼于整個金融體系的宏觀審慎監(jiān)管成為改革的方向。近年來,我國金融體系整體運(yùn)行比較穩(wěn)健,在此次危機(jī)中受到的沖擊也比較小,但也存在著不容忽視的系統(tǒng)性風(fēng)險(xiǎn)隱患。銀行業(yè)在我國金融體系中占據(jù)核心地位,銀行的穩(wěn)定至關(guān)重要,因此,借鑒國際經(jīng)驗(yàn),從宏觀審慎的角度研究銀行系統(tǒng)性風(fēng)險(xiǎn)的生成機(jī)制與監(jiān)管措施是具有前瞻性意義的。 本文遵循提出問題、分析問題和解決問題的基本思路,采用理論分析與實(shí)證分析相結(jié)合的方法進(jìn)行研究。文章首先綜述了國內(nèi)外關(guān)于系統(tǒng)性風(fēng)險(xiǎn)的研究現(xiàn)狀,在此基礎(chǔ)上分析了銀行系統(tǒng)性風(fēng)險(xiǎn)的內(nèi)涵、本質(zhì)特征和理論成因。接著從宏觀審慎監(jiān)管的兩個維度,即截面維度和時間維度研究了銀行系統(tǒng)性風(fēng)險(xiǎn)的生成機(jī)制和評估方法：在截面維度,闡述了系統(tǒng)重要性機(jī)構(gòu)尤其是關(guān)聯(lián)性在銀行系統(tǒng)性風(fēng)險(xiǎn)的生成與擴(kuò)散中的關(guān)鍵作用,并研究了評估銀行系統(tǒng)性風(fēng)險(xiǎn)的矩陣法和網(wǎng)絡(luò)模型法及其應(yīng)用；在時間維度,實(shí)證分析了我國銀行信貸的順周期性,研究了銀行體系的內(nèi)在順周期性及其經(jīng)營規(guī)則的順周期性引發(fā)系統(tǒng)性風(fēng)險(xiǎn)的內(nèi)在機(jī)制,并構(gòu)建了一個評估銀行系統(tǒng)性風(fēng)險(xiǎn)的指標(biāo)體系。最后,結(jié)合宏觀審慎監(jiān)管的國際研究成果和我國銀行業(yè)的現(xiàn)實(shí),提出防范系統(tǒng)性風(fēng)險(xiǎn)的政策建議。
[Abstract]:The global financial crisis triggered by the subprime mortgage crisis in the United States highlights the importance of paying attention to systemic risks and maintaining financial stability. The international community deeply analyzes and reflects on the outbreak and spread of the crisis in order to seek effective methods to prevent systemic risk. A basic consensus is that the serious lag of the financial regulatory system behind the financial development is the key factor for the emergence and spread of the crisis. The microprudential supervision of financial institutions by national regulators is concerned with the operating conditions and risks of individual institutions and is not sufficient to guard against systemic risks arising from the interconnectedness of financial institutions and the pro-cyclical nature of the financial system. Macro prudential supervision focusing on the entire financial system has become the direction of reform. In recent years, the overall financial system of our country has been relatively stable, and the impact of this crisis has been relatively small. However, there are systemic risks which can not be ignored. The banking industry occupies a core position in our financial system, and the stability of the banks is very important. Therefore, to learn from international experience, It is prospective to study the generation mechanism and regulatory measures of systemic risk in banks from the perspective of macro-prudence. This paper follows the basic ideas of putting forward problems, analyzing problems and solving problems, and adopts the method of combining theoretical analysis with empirical analysis. Firstly, this paper summarizes the current research situation of systemic risk at home and abroad. On this basis, this paper analyzes the connotation, essential characteristics and theoretical causes of bank systemic risk, and then analyzes the two dimensions of macro-prudential supervision. That is, the section dimension and the time dimension study the generation mechanism and the evaluation method of the bank systemic risk. In the cross section dimension, it expounds the key role of systemically important institutions, especially the relevance, in the generation and diffusion of the bank systemic risk. This paper also studies the matrix method and network model method to evaluate the systemic risk of banks and their applications, and empirically analyzes the procyclicality of bank credit in China in the time dimension. This paper studies the inherent procyclicality of the banking system and the inherent mechanism of the procyclicality of the banking system, and constructs an index system to evaluate the systemic risk of the bank. Combined with the international research results of macro-prudential supervision and the reality of China's banking industry, this paper puts forward some policy suggestions to prevent systemic risk.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.1;F831.1

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