本文選題：金融宏觀審慎監(jiān)管　切入點：系統(tǒng)性風險　出處：《南開大學》2012年博士論文　論文類型：學位論文

【摘要】：2007年美國次貸危機引發(fā)的國際金融危機，對現行金融監(jiān)管體系是一次巨大沖擊。目前距離危機爆發(fā)已四年有余，盡管一些國家出現了經濟復蘇跡象，但全球經濟尚未從陰影中走出，何時能夠完全擺脫危機陰影，還有待時日檢驗。國際金融危機使人們看到了長期以來被嚴重忽視的影子銀行體系的巨大破壞力，影子銀行自身具有的高風險和脆弱性，加上外部監(jiān)管的缺失和不受存款保險及央行最后貸款人的保護，使得其在近三十年間極大地推動金融發(fā)展的同時，累積了巨大風險。與此同時，中央銀行雖然承擔了維護金融穩(wěn)定的職責，但是一直以來對金融市場的有效性持樂觀態(tài)度，以為只要保證價格水平的穩(wěn)定，金融體系就可以通過自我調節(jié)實現穩(wěn)定。其他監(jiān)管當局更多的實施微觀審慎監(jiān)管，關注于金融機構的個體風險，卻忽略了金融風險跨業(yè)、跨境、跨機構的傳染及金融系統(tǒng)內生的順周期性。因此，后危機時代，世界各主要經濟體在對本次危機不斷反思的過程中，得出一個普遍共識，即危機產生和蔓延的重要監(jiān)管層面原因在于旨在防范系統(tǒng)性風險、維護金融穩(wěn)定的金融宏觀審慎監(jiān)管的缺失。于是，作為完善金融監(jiān)管體系的核心環(huán)節(jié)，構建金融宏觀審慎監(jiān)管政策框架就成為了一項迫在眉睫的重要任務。在巴塞爾銀行監(jiān)管委員會、國際貨幣基金組織、金融穩(wěn)定理事會、國際清算銀行等國際組織的帶頭下，，各國政府陸續(xù)啟動了大規(guī)模的金融監(jiān)管體系改革，特別是2010年以來，在構建金融宏觀審慎監(jiān)管政策框架方面取得了積極進展。監(jiān)管理念的這一重大調整和改革，對于全球金融穩(wěn)定和經濟發(fā)展具有深遠意義。 中國金融系統(tǒng)雖然在本次危機中受到的沖擊較小，但是不容忽視的是，目前中國金融體系內存在著大量影子銀行業(yè)務，系統(tǒng)性風險不斷積聚并在機構之間擴散蔓延，分業(yè)的微觀審慎監(jiān)管模式已不能適應混業(yè)經營的現實及滿足金融創(chuàng)新的需要。構建金融宏觀審慎監(jiān)管框架，對中國金融監(jiān)管體制改革同樣具有重要意義，有助于提高金融系統(tǒng)的穩(wěn)定性，減少宏觀經濟波動的風險。 本文通過對國內外金融宏觀審慎監(jiān)管的相關文獻進行回顧梳理，總結了目前最新的研究進展，分別從監(jiān)管的必要性、監(jiān)管目標、監(jiān)管組織架構三個方面，對金融宏觀審慎監(jiān)管進行了深入的理論和實證分析。監(jiān)管必要性上，探討了影子銀行的運作機制和自身的脆弱性，指出由于金融宏觀審慎監(jiān)管缺失而助長了影子銀行體系的崩塌，是導致金融危機爆發(fā)的監(jiān)管根源。監(jiān)管目標上，分別從截面維度和時間維度實證檢驗了我國商業(yè)銀行的系統(tǒng)性風險溢價和順周期性，并對各自的影響因素進行度量。監(jiān)管組織架構上，論述了中央銀行在金融宏觀審慎監(jiān)管體系中的地位和作用，以及承擔起維護金融穩(wěn)定的職能可能面臨的困難與挑戰(zhàn)。此外，在實踐層面，關注了我國影子銀行體系的發(fā)展現狀和風險隱患，及我國監(jiān)管機構在金融宏觀審慎監(jiān)管改革中所做的探索和努力，同時充分借鑒國際組織和各主要經濟體的實踐經驗，為我國的金融監(jiān)管改革以啟示。本文的主要結構、內容以及研究思路如下： 第一章為導言部分，介紹了論文的研究背景意義、研究思路方法、創(chuàng)新和不足等，并回顧了金融宏觀審慎監(jiān)管的最新學術成果，為之后的研究做理論上的鋪墊。 第二章對金融宏觀審慎監(jiān)管進行全面介紹，從概念界定、理念演進、監(jiān)管的必要性、目標框架等方面詳細勾畫了金融宏觀審慎監(jiān)管框架的主要內容。 第三章指出金融危機爆發(fā)的監(jiān)管層面原因，著重探討了影子銀行的作用機制和風險脆弱性，并關注了我國影子銀行的發(fā)展現狀和風險隱患。 第四章分別從金融宏觀審慎監(jiān)管的截面維度和時間維度對中國商業(yè)銀行的風險狀況進行了實證研究。測量了部分商業(yè)銀行的系統(tǒng)性風險溢價，驗證內在順周期行為，并考察了銀行主要指標變量對系統(tǒng)性風險的影響程度。 第五章分析了中央銀行在金融宏觀審慎監(jiān)管中的地位和作用。認為中央銀行在行使金融宏觀審慎監(jiān)管權時具有諸多優(yōu)勢，應賦予其更大的系統(tǒng)性監(jiān)管職能，確保其金融宏觀審慎監(jiān)管的主體地位。 第六章充分借鑒國際社會在金融宏觀審慎監(jiān)管改革上取得的進展和成就，對比中國目前在該領域的探索與實踐，為今后的改革總結經驗、做出啟示。
[Abstract]:In 2007 the U.S. subprime mortgage crisis triggered a global financial crisis, the current financial supervision system is a huge impact. At present from the outbreak of the crisis has been more than four years, although some countries show signs of economic recovery, but the global economy has not yet come out from the shadows, will be able to completely get rid of the shadow of the crisis, remains to be seen. The international financial crisis has made the inspection people see the enormous damage has long been serious neglect of the shadow banking system, the shadow banking has its own high risk and vulnerability, and lack of external supervision and is not protected by the deposit insurance and the lender of last resort, which greatly promote the financial development in recent thirty years and accumulated tremendous risk. At the same time, although the central bank assumes the responsibility to maintain financial stability, but has been on the effectiveness of the financial market is optimistic, as long as To ensure the stability of the price level, the financial system can be realized through self-regulation. Stable implementation of other regulatory authorities more micro prudential supervision, individual risk focus on financial institutions, but ignore the financial risk of cross industry, cross-border, pro cyclical financial system and infectious students across organizations. Therefore, the post crisis era. The world's major economies in the process of the crisis of continuous reflection, reach a consensus, an important reason is the supervision level and the spread of the crisis is to guard against systemic risk, lack of safeguarding financial stability of financial macro prudential regulation. Then, as the key link to improve the system of financial supervision, financial construction the macro Prudential policy framework has become an important task in imminent. The Basel Committee on banking supervision, the International Monetary Fund, the financial stability Council, the Qing Dynasty The bank and other international organizations to take the lead, governments have started the reform of financial supervision system in large scale, especially since 2010, has made positive progress in the construction of financial macro Prudential policy framework. The regulatory philosophy of the major adjustment and reform, is of far-reaching significance to global financial stability and economic development.
China despite the financial system in this crisis has little impact, but can not be ignored is that the current China financial system there are lots of shadow banking system, risk accumulation and spread between institutions, micro prudential supervision mode already can not adapt to separate mixed reality and meet the needs of financial innovation construction of financial macro prudential regulatory framework, it is important for Chinese reform of financial supervision, help to improve the stability of the financial system, reduce the risk of macroeconomic fluctuations.
This article through to the domestic and foreign financial macro prudential supervision of the relevant literature reviews, summarizes the latest research progress, respectively from the necessity of supervision, supervision, supervision of the three aspects of organizational structure, the financial macro prudential supervision of deeply theoretical and empirical analysis. The necessity of supervision, discusses the fragile the operation mechanism of shadow banking and the financial macro Prudential pointed out that due to lack of supervision and contributed to the collapse of shadow banking system, is the result of regulation of the root of the financial crisis. The regulatory target, respectively from the cross section and time dimension of empirical test of systemic risk premium and pro cyclicality of commercial banks in China, and the the impact of each factor to measure supervision structure, discusses the status and role of the central bank in the financial macro prudential supervision system, and undertake the maintenance of gold The difficulties and challenges of financial stability functions may face. In addition, in practice, pay attention to the current development situation and the risks of shadow banking system in China, and China's regulators in macro Prudential Financial Regulatory Reform in the exploration and efforts, and make full use of international organizations and major economies experience for our country, the reform of financial supervision with inspiration. The main structure of this paper, the following contents and research ideas:
The first chapter is introduction. It introduces the background, significance, research methods, innovations and shortcomings of the paper, and reviews the latest academic achievements of financial macro prudential supervision, laying a theoretical foundation for future research.
The second chapter gives a comprehensive introduction to macro prudential supervision in finance, and outlines the main contents of macro prudential supervision framework in terms of concept definition, evolution of ideas, necessity of regulation and target framework.
The third chapter points out the regulatory reasons for the outbreak of the financial crisis, focuses on the function mechanism and risk vulnerability of the shadow banking, and focuses on the development status and potential risks of the shadow banking in China.
The fourth chapter from the cross section and time dimension of financial macro prudential supervision of commercial banks China the risk situation of empirical research. The systematic risk premium of commercial banks to measure the internal validation cyclical behavior, and the influence degree of the main indicators of bank variables on systemic risk.
The fifth chapter analyzes the status and role of the central bank in the macro prudential supervision of the financial sector. It holds that the central bank has many advantages when exercising the macro prudential regulatory power of the financial sector. It should give more systematic regulatory functions to ensure its dominant position in macro prudential supervision.
The sixth chapter makes full use of the progress and achievements made by the international community in the financial macro prudential supervision reform, compares China's current exploration and practice in this field, and summarizes the experience and inspiration for the future reform.

【學位授予單位】：南開大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.1

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