本文選題：商業(yè)銀行 + 系統(tǒng)危機(jī)　； 參考：《西南財(cái)經(jīng)大學(xué)》2012年博士論文

【摘要】：2008年9月雷曼兄弟公司的突然破產(chǎn),引發(fā)了一場全球性的金融危機(jī),學(xué)術(shù)界對引起金融危機(jī)原因的研究眾多,而本文認(rèn)為對此次危機(jī)的研究不能離開銀行這一主體,危機(jī)從根本上來說是一次銀行系統(tǒng)危機(jī)。許多在危機(jī)爆發(fā)之前具有合格資本充足率的大銀行,在危機(jī)中紛紛陷入困境,由此巴塞爾委員會(huì)推出了巴塞爾Ⅲ。那么,是否通過改革資本監(jiān)管的相關(guān)規(guī)制,就能從根本上控制系統(tǒng)性風(fēng)險(xiǎn),并且避免此類銀行業(yè)危機(jī)?規(guī)制下自由競爭的銀行體系能否規(guī)避銀行系統(tǒng)危機(jī)?政府在銀行的經(jīng)營管理中又應(yīng)該扮演怎樣的角色?關(guān)于這些問題的研究具有重要的現(xiàn)實(shí)意義。 本文認(rèn)為,對微觀銀行來說合理的財(cái)務(wù)行為,并不一定帶來合理的宏觀結(jié)果,甚至有可能導(dǎo)致宏觀性的銀行系統(tǒng)危機(jī),個(gè)體理性所帶來的整體非理性,是研究此次銀行系統(tǒng)危機(jī)無法回避的重要因素。因此,本文的總體研究思路是：從分析商業(yè)銀行在雙重資本約束下的微觀財(cái)務(wù)行為模式入手,探討銀行個(gè)體理性造成整體非理性的原因,論證規(guī)制能否規(guī)避銀行系統(tǒng)危機(jī),并提出銀行體系管理方面的政策建議。 自由競爭的商業(yè)銀行在經(jīng)濟(jì)資本和監(jiān)管資本雙重約束下追求期望收益最大化。經(jīng)濟(jì)資本約束是銀行內(nèi)部約束,具有高度的風(fēng)險(xiǎn)敏感性,在經(jīng)濟(jì)繁榮期和衰退期波動(dòng)巨大。在繁榮期,經(jīng)濟(jì)資本約束很低,自由競爭的商業(yè)銀行的個(gè)體理性選擇是信貸擴(kuò)張以獲取較高的收益,但當(dāng)所有的銀行都這樣選擇時(shí)極易形成泡沫化的金融風(fēng)險(xiǎn),導(dǎo)致整體非理性；在衰退期,銀行的個(gè)體理性選擇是去杠桿化以保障銀行的安全性,但當(dāng)所有的銀行都這樣選擇時(shí)則極易形成集中拋售下的螺旋式緊縮,再次導(dǎo)致整體非理性。因此,商業(yè)銀行自由競爭的特性和經(jīng)濟(jì)資本波動(dòng)導(dǎo)致了個(gè)體理性無法帶來整體理性,這是銀行系統(tǒng)危機(jī)爆發(fā)的根本原因。 以資本監(jiān)管為核心的規(guī)制在解決整體非理性問題時(shí)存在極大的局限性。如果監(jiān)管資本和經(jīng)濟(jì)資本趨同,則將和經(jīng)濟(jì)資本一起造成不同時(shí)期的整體非理性現(xiàn)象；如果兩者存在風(fēng)險(xiǎn)敏感性的差異,則銀行的個(gè)體理性選擇將是監(jiān)管資本套利,不僅降低監(jiān)管效率,甚至有可能帶來更高的風(fēng)險(xiǎn),造成整體非理性；如果實(shí)施逆周期相機(jī)選擇的監(jiān)管資本要求,不僅在繁榮期存在較高成本以及可能出現(xiàn)新的類銀行融資體系,在衰退期經(jīng)濟(jì)資本約束發(fā)生主要作用時(shí),監(jiān)管資本要求的降低也無法解決整體非理性的問題。監(jiān)管資本無法解決整體非理性問題的根本原因在于：監(jiān)管資本這種外部治理機(jī)制和內(nèi)部治理機(jī)制產(chǎn)生了沖突。由于規(guī)制具有外部性,故同樣無法解決銀行系統(tǒng)危機(jī)問題。另外,規(guī)制的普遍性特征,導(dǎo)致了監(jiān)管當(dāng)局難以有效的利用歷史數(shù)據(jù)來正確設(shè)置規(guī)制模型參數(shù),規(guī)制的穩(wěn)定性特征導(dǎo)致了規(guī)制改革過程過于漫長,缺乏靈活性。因此,以資本監(jiān)管為核心的規(guī)制無法規(guī)避銀行系統(tǒng)危機(jī)。 規(guī)制下自由競爭的銀行體系無法規(guī)避系統(tǒng)危機(jī),因此必須有一個(gè)能夠?qū)崿F(xiàn)整體理性的機(jī)構(gòu)對銀行的行為實(shí)施控制,這個(gè)機(jī)構(gòu)就是政府。本文認(rèn)為一個(gè)合理的銀行體系應(yīng)該包含自由競爭、規(guī)制和政府直接控制三項(xiàng)要素,其中政府直接控制主要是針對個(gè)體理性選擇下出現(xiàn)的整體非理性情況,而不是代替銀行實(shí)施風(fēng)險(xiǎn)管理。 本文共分六章,內(nèi)容如下： 第一章,緒論。提出本文的研究背景：個(gè)體理性帶來的整體非理性導(dǎo)致了銀行系統(tǒng)危機(jī),進(jìn)而對經(jīng)濟(jì)造成了嚴(yán)重破壞。目前,很少有文獻(xiàn)通過分析微觀銀行財(cái)務(wù)行為來研究銀行系統(tǒng)危機(jī),而在雙重資本約束框架下分析微觀銀行行為的文獻(xiàn)更是幾乎沒有。因此,本文提出在雙重資本約束下分析微觀銀行財(cái)務(wù)行為,進(jìn)而探討銀行系統(tǒng)危機(jī)的研究思路。 第二章,商業(yè)銀行財(cái)務(wù)行為概述。商業(yè)銀行的財(cái)務(wù)行為可以描述為：在一定的約束條件下,追求期望收益最大化。雖然銀行經(jīng)營的約束條件有很多,但是目前的主要約束是資本約束,包括經(jīng)濟(jì)資本約束和監(jiān)管資本約束,前者是銀行自身的內(nèi)部要求,而后者則是外部要求。 第三章,資本約束下的最優(yōu)化理論模型。在第二章的基礎(chǔ)上,建立雙重資本約束條件下追求期望收益最大化的最優(yōu)規(guī)劃模型,來解釋銀行財(cái)務(wù)行為。這一理論模型對目前許多先進(jìn)銀行所使用的RAROC標(biāo)準(zhǔn),以及監(jiān)管資本套利行為,都可以進(jìn)行較好的解釋。 第四章,經(jīng)濟(jì)資本波動(dòng)及其對銀行系統(tǒng)危機(jī)的影響。通過對美國銀行業(yè)經(jīng)濟(jì)資本的實(shí)證研究,分析第三章雙重資本約束下最優(yōu)規(guī)劃模型中的經(jīng)濟(jì)資本約束,提出經(jīng)濟(jì)資本約束的非穩(wěn)定性造成了銀行系統(tǒng)危機(jī),而這種非穩(wěn)定性則源于商業(yè)銀行的自由競爭。實(shí)證研究發(fā)現(xiàn)：主要商業(yè)銀行的經(jīng)濟(jì)資本隨著時(shí)間變化發(fā)生較大波動(dòng)；主要商業(yè)銀行之間其波動(dòng)呈現(xiàn)出共同變化的趨勢；主要商業(yè)銀行的經(jīng)濟(jì)資本和貨幣總量對資產(chǎn)價(jià)格產(chǎn)生顯著的影響。 第五章,資本監(jiān)管和規(guī)制的局限性。結(jié)合第三章雙重資本約束下最優(yōu)規(guī)劃模型,分析監(jiān)管資本約束,提出包括巴塞爾協(xié)議在內(nèi)的所有規(guī)制都無法規(guī)避銀行系統(tǒng)危機(jī)。規(guī)制的一個(gè)重要特點(diǎn)是外部性,它是一種外部治理機(jī)制,極易和銀行的內(nèi)部治理機(jī)制產(chǎn)生沖突,這種沖突是規(guī)制無法從根本上規(guī)避系統(tǒng)危機(jī)的最主要原因。另外,規(guī)制的普遍性特征和規(guī)制的穩(wěn)定性同樣限制了規(guī)制作用的發(fā)揮。 第六章,結(jié)論。第四章和第五章的研究表明：規(guī)制下自由競爭的銀行體系無法解決銀行系統(tǒng)危機(jī)問題。因此需要一種限制整體非理性的力量來規(guī)避銀行系統(tǒng)危機(jī),而政府是目前最有效的選擇。自由競爭的市場機(jī)制是資源配置的根本性方法,規(guī)制也是銀行系統(tǒng)不可或缺的組成部分,政府直接控制則是重要的補(bǔ)充,這種控制是針對具有個(gè)體理性而整體非理性特征的宏觀性金融風(fēng)險(xiǎn)的監(jiān)控,而不是單純的代替銀行實(shí)施風(fēng)險(xiǎn)管理。 本文的創(chuàng)新點(diǎn)主要包括： 一、提出銀行系統(tǒng)危機(jī)具有個(gè)體理性而整體非理性特征,并從銀行業(yè)的微觀財(cái)務(wù)行為入手,研究整個(gè)銀行業(yè)系統(tǒng)性危機(jī)；以雙重資本約束為核心的最優(yōu)規(guī)劃模型來解釋銀行的微觀財(cái)務(wù)行為,在此框架中解釋RAROC指標(biāo)和監(jiān)管資本套利,并提出監(jiān)管資本有效約束概念。 二、通過實(shí)證方法驗(yàn)證經(jīng)濟(jì)資本的波動(dòng)性,銀行間經(jīng)濟(jì)資本變動(dòng)的共同趨勢,以及經(jīng)濟(jì)資本對資產(chǎn)價(jià)格的影響,并在此基礎(chǔ)上論證了銀行的自由競爭和經(jīng)濟(jì)資本的波動(dòng),導(dǎo)致了銀行的個(gè)體理性無法帶來整體非理性,進(jìn)而產(chǎn)生銀行系統(tǒng)危機(jī)。在驗(yàn)證銀行間經(jīng)濟(jì)資本變動(dòng)共同趨勢的實(shí)證方法上,對傳統(tǒng)的因子分析技術(shù)進(jìn)行了適當(dāng)調(diào)整,分離出趨勢因子。 三、在雙重約束的分析框架下,著重分析了監(jiān)管資本是一種外部治理機(jī)制,這種機(jī)制和以經(jīng)濟(jì)資本約束為代表的銀行內(nèi)部治理機(jī)制產(chǎn)生了沖突,這種沖突是資本監(jiān)管無法規(guī)避銀行系統(tǒng)危機(jī)最主要的原因；歸納總結(jié)了規(guī)制的外部性、普遍性、穩(wěn)定性等特點(diǎn),提出資本監(jiān)管乃至所有的規(guī)制都無法從根本上規(guī)避銀行系統(tǒng)危機(jī)；提出自由競爭、規(guī)制、政府直接控制三者相互結(jié)合的銀行體系。
[Abstract]:The sudden bankruptcy of Lehman brothers in September 2008 led to a global financial crisis. There were many studies on the causes of the financial crisis in the academic world. This paper believed that the study of the crisis could not leave the bank. The crisis was fundamentally a banking system crisis. Many of them were qualified before the outbreak of the crisis. The large banks in the capital adequacy ratio have been in trouble during the crisis. Thus, the Basel committee introduced Basel III. Then, whether through the reform of the regulation of capital supervision, it is possible to control systemic risk fundamentally and avoid such a banking crisis, and can the banking system under the regulation of free competition avoid the banking system crisis? What role should the government play in the management of banks? It is of great practical significance to study these issues.
This paper holds that the reasonable financial behavior for micro banks does not necessarily bring about reasonable macro results, and may even lead to macro banking system crisis. The overall irrationality brought by individual rationality is an important factor which can not be avoided in the study of the banking system crisis. Therefore, the overall research idea of this paper is: from the analysis of the analysis The commercial bank, starting with the micro financial behavior mode under the constraint of double capital, discusses the reason that the individual rationality of the bank causes the whole irrational, proves whether the regulation can avoid the banking system crisis, and puts forward the policy suggestions on the management of the bank system.
Free competitive commercial banks pursue the maximization of expected returns under the dual constraints of economic capital and regulatory capital. Economic capital constraints are internal constraints of the banks, have high risk sensitivity, and have great volatility during the period of economic prosperity and recession. In the boom period, the economic capital constraints are very low, and the individual rationality of the free competitive commercial banks is selected. The choice is credit expansion to gain a higher profit, but when all banks choose such a choice, it is very easy to form a bubble financial risk, which leads to the overall irrational. In a recession, the individual rational choice of the bank is deleveraging to ensure the security of the bank, but when all the banks choose such a choice, it is very easy to form a centralized selling. The spiral contraction leads to the whole irrationality again. Therefore, the characteristics of the free competition and the fluctuation of the economic capital lead to the reason that the individual rationality can not bring the whole rationality, which is the fundamental reason for the crisis of the banking system.
The regulation with capital supervision as the core has great limitations in solving the whole irrational problem. If the regulatory capital and economic capital converge, it will cause the whole irrational phenomenon in different periods with the economic capital; if there is a difference in the risk sensitivity, the individual rational choice of the bank will be the regulatory capital set. It not only reduces the efficiency of supervision, and may even bring higher risks to the overall irrational. If the regulatory capital requirements of the counter cyclical camera are implemented, there is not only a high cost and a new type of bank financing system in the boom period, but also the regulatory capital requirements in the recession period of economic capital constraints. The fundamental reason that the regulatory capital can not solve the whole irrational problem lies in the conflict between the external governance mechanism and the internal governance mechanism, which can not solve the problem of the banking system crisis. It is difficult for the regulatory authorities to effectively use historical data to correctly set the parameters of the regulation model. The stability characteristics of the regulation lead to the long and unflexible process of regulation reform. Therefore, the regulation of capital supervision can not avoid the crisis of the banking system.
The banking system under the regulation of free competition can not avoid the system crisis, so there must be an organization that can realize the whole rationality to control the behavior of the bank. This institution is the government. This paper holds that a reasonable banking system should include three elements: free competition, regulation and government direct control, of which the government controls direct control. It is mainly aimed at the overall irrational situation that arises from individual rational choice, rather than replacing bank risk management.
This article is divided into six chapters, and the contents are as follows:
The first chapter, introduction, puts forward the research background of this article: the overall irrationality brought by the individual reason leads to the banking system crisis, and then causes serious damage to the economy. At present, few literature studies the banking system crisis through the analysis of the financial behavior of micro banks, and the analysis of the behavior of micro banks under the dual capital constraint framework. There is little to offer. Therefore, this paper proposes to analyze the financial behavior of micro banks under dual capital constraints, and further explore the research ideas of banking system crisis.
The second chapter, a summary of the financial behavior of commercial banks. The financial behavior of commercial banks can be described as: seeking the maximization of expected earnings under certain constraints. Although there are many constraints on bank management, the main constraints are capital constraints, including economic capital constraints and regulatory capital constraints, the former is the bank itself. Internal requirements, while the latter are external requirements.
The third chapter, the optimal theoretical model under the capital constraint. On the basis of the second chapter, the optimal planning model, which seeks to maximize the expected returns under double capital constraints, is set up to explain the financial behavior of the bank. This theoretical model can be used for the RAROC standards used by many advanced banks and the supervision of capital arbitrage. A good explanation.
The fourth chapter, economic capital fluctuation and its impact on the banking system crisis. Through the empirical study of the economic capital of the American banking industry, this paper analyzes the economic capital constraints in the third chapter of the optimal planning model under double capital constraints, and puts forward that the instability of the economic capital constraint causes the banking system crisis, and this instability derives from the business. The empirical study found that the economic capital of the main commercial banks fluctuated with time, and the fluctuation between the main commercial banks showed a trend of common change; the economic capital and the total amount of money of the main commercial banks had a significant influence on the asset price.
The fifth chapter, the limitations of capital regulation and regulation, combined with the optimal planning model of third chapters under double capital constraints, analyzes regulatory capital constraints, and proposes that all regulations, including the Basel agreement, can not avoid the banking system crisis. The important characteristic of the regulation is externality, it is an external governance mechanism, and is very easy to be in the bank. The conflict is the main reason that the regulation can not fundamentally avoid the system crisis. In addition, the universal characteristics of regulation and the stability of regulation also restrict the exertion of the regulation function.
The sixth chapter, conclusion. The study of the fourth and fifth chapters shows that the banking system of free competition under regulation can not solve the problem of banking system crisis. Therefore, it is necessary to limit the overall irrational force to avoid the crisis of the banking system, and the government is the most effective choice at present. The market mechanism of free competition is the fundamental part of the allocation of resources. Law, regulation is also an integral part of the banking system, and direct government control is an important supplement. This control is the monitoring of macro financial risks with individual rationality and the overall irrational characteristics, rather than simply replacing the bank with risk management.
The innovation of this article mainly includes:
First, it puts forward that the banking system crisis has the individual rationality and the overall irrational characteristics, and starts with the micro financial behavior of the banking industry to study the systemic crisis of the whole banking industry, and the optimal planning model with double capital constraints as the core to explain the bank's micro financial behavior, and to explain the RAROC index and the regulatory capital arbitrage in this framework. The concept of effective regulation of regulatory capital is proposed.
Two, we verify the volatility of economic capital, the common trend of economic capital change between banks and the impact of economic capital on asset prices through empirical methods, and on this basis demonstrate that the free competition of banks and the fluctuation of economic capital lead to the individual rationality of the bank to bring the overall irrationality, and then the banking system is dangerous. In the empirical method of verifying the common trend of inter bank economic capital changes, we adjusted the traditional factor analysis technology and separated the trend factors.
Three, under the framework of double constraints, it is emphatically analyzed that regulatory capital is an external governance mechanism. This mechanism conflicts with the internal governance mechanism of banks represented by economic capital constraints. This conflict is the main reason why capital supervision can not evade the banking system crisis; summarizes and summarizes the externality of regulation. The characteristics of nature, stability, and so on, the capital supervision and even all regulations can not fundamentally avoid the banking system crisis, and put forward free competition, regulation, and the government directly control the three combination of the bank system.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.33

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