本文關(guān)鍵詞： 系統(tǒng)性金融風(fēng)險(xiǎn) 測(cè)度 傳染 預(yù)警 宏觀審慎政策　出處：《東北財(cái)經(jīng)大學(xué)》2014年博士論文　論文類型：學(xué)位論文

【摘要】：進(jìn)入21世紀(jì),全球系統(tǒng)性金融風(fēng)險(xiǎn)持續(xù)醞釀與發(fā)酵,最終由于2008年次貸問(wèn)題的爆發(fā)而升級(jí)成金融危機(jī)并迅速向全球擴(kuò)散,成為自上世紀(jì)30年代以來(lái)最嚴(yán)重的一次金融危機(jī)。反思這次金融危機(jī),雖然仍然有許多爭(zhēng)論、諸多難題懸而未決,但是有一個(gè)根本性的共識(shí)已經(jīng)毋庸置疑,那就是要深化對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)的認(rèn)識(shí),掌握其規(guī)律與本質(zhì),防范與化解系統(tǒng)性金融風(fēng)險(xiǎn),謹(jǐn)防未來(lái)爆發(fā)新的金融危機(jī)。金融危機(jī)是系統(tǒng)性金融風(fēng)險(xiǎn)累積到一定程度后的集中爆發(fā),具有較強(qiáng)的隱蔽性與復(fù)雜性,因此對(duì)金融危機(jī)爆發(fā)時(shí)間的準(zhǔn)確預(yù)測(cè)將是十分困難的。然而可以肯定的是,系統(tǒng)性金融風(fēng)險(xiǎn)在升級(jí)成為金融危機(jī)以前,都經(jīng)歷過(guò)較長(zhǎng)的風(fēng)險(xiǎn)累積過(guò)程,“緩積急釋”是系統(tǒng)性金融風(fēng)險(xiǎn)的一個(gè)顯著特征,雖然這種累積過(guò)程也是十分隱蔽的,但是通過(guò)深入研究與監(jiān)測(cè),我們完全可以認(rèn)識(shí)與捕捉這種累積的過(guò)程,進(jìn)而采取有效的措施去限制風(fēng)險(xiǎn)的累積并釋放過(guò)度累積的風(fēng)險(xiǎn)。在此背景下,對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)進(jìn)行不斷深入研究日益成為實(shí)務(wù)工作者與學(xué)術(shù)界共同關(guān)注的主題。 另外,在我國(guó)金融業(yè)不斷改革進(jìn)步的過(guò)程中,我國(guó)金融失衡的特點(diǎn)也逐漸顯現(xiàn),金融脫媒深化、銀行業(yè)比重過(guò)大、金融部門(mén)杠桿率過(guò)高、期限錯(cuò)配與流動(dòng)性風(fēng)險(xiǎn)共存、影子銀行監(jiān)管不到位、地方融資平臺(tái)的違約風(fēng)險(xiǎn)上升等因素進(jìn)一步加劇了金融體系的脆弱性。與此同時(shí),隨著金融自由化與虛擬化程度的不斷提升,我國(guó)金融脫離實(shí)體經(jīng)濟(jì)的特點(diǎn)逐漸顯現(xiàn),大量資金游離于實(shí)體經(jīng)濟(jì)以外,部分銀行機(jī)構(gòu)在眼前短期利益的驅(qū)使下,大肆拆入資金,借銀行理財(cái)、信托投資的名義在金融圈里“空轉(zhuǎn)”,大玩“錢(qián)生錢(qián)”的虛擬游戲,令原本流動(dòng)性充裕的國(guó)內(nèi)金融業(yè)深陷“缺錢(qián)”境地,更令很多實(shí)體企業(yè)尤其是小微企業(yè)嚴(yán)重“失血”,我國(guó)金融業(yè)這種“脫實(shí)向虛”,過(guò)度虛擬化的特點(diǎn)不僅會(huì)給宏觀經(jīng)濟(jì)造成不可估量的負(fù)面影響,還會(huì)讓金融業(yè)自身陷入巨大危機(jī)之中,進(jìn)一步導(dǎo)致系統(tǒng)性風(fēng)險(xiǎn)的累積。因此,結(jié)合現(xiàn)階段我國(guó)金融環(huán)境與背景,對(duì)我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)進(jìn)行深入研究就顯得尤為重要。 立足上述背景,本文從金融體系脆弱性理論與金融失衡的事實(shí)出發(fā),多維度的探討新形勢(shì)下我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)的測(cè)度、傳染與防范問(wèn)題。本文將定量研究方法與定性分析方法相結(jié)合,緊密圍繞著兩條主線展開(kāi)研究：第一,對(duì)我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)特性的研究,本文從金融部門(mén)風(fēng)險(xiǎn)水平、行業(yè)與區(qū)域傳染性等角度對(duì)我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)進(jìn)行系統(tǒng)性分析,力圖較為全面的把握我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)的主要特性；第二,對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)的防范研究,在前文特性分析的基礎(chǔ)上的,本文從預(yù)警機(jī)制、宏觀審慎政策角度分析如何監(jiān)測(cè)系統(tǒng)性金融風(fēng)險(xiǎn)的累積以及如何采取有效措施去遏制系統(tǒng)性金融風(fēng)險(xiǎn)水平的上升及其傳染性的增強(qiáng),本文的主要結(jié)論如下： 首先,對(duì)系統(tǒng)性金融風(fēng)險(xiǎn)形成與累積的研究表明,金融脆弱性是引發(fā)系統(tǒng)性金融風(fēng)險(xiǎn)形成的內(nèi)在原因,金融失衡是造成我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)水平上升的外在原因。二者共同作用,共同演化導(dǎo)致系統(tǒng)性金融風(fēng)險(xiǎn)的不斷累積。從現(xiàn)實(shí)分析,過(guò)高的投資比重、經(jīng)濟(jì)周期的波動(dòng)、資產(chǎn)價(jià)格的頻繁波動(dòng)、過(guò)度的地方政府債務(wù)、影子銀行體系的快速擴(kuò)張、房地產(chǎn)泡沫的持續(xù)累積以及杠桿率的快速升高成為現(xiàn)階段引發(fā)我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)不斷累積的主要因素。 其次,本文引入或有權(quán)益法去測(cè)度我國(guó)金融部門(mén)整體風(fēng)險(xiǎn)水平。結(jié)果表明,從違約概率看,絕大多數(shù)時(shí)間內(nèi)我國(guó)金融部門(mén)發(fā)生違約情況的概率接近為0,但是次貸危機(jī)期間,我國(guó)金融部門(mén)的違約概率迅速上升,但仍不足以引發(fā)金融危機(jī)。同時(shí)本文強(qiáng)調(diào),要重點(diǎn)關(guān)注這種違約概率突然上升的特點(diǎn)。此外,結(jié)合風(fēng)險(xiǎn)調(diào)整的資產(chǎn)負(fù)債表分析,我國(guó)金融部門(mén)已經(jīng)實(shí)質(zhì)性的受到美國(guó)金融危機(jī)的負(fù)面影響。整體上,我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)正在不斷累積。 再次,本文從理論上分析了關(guān)聯(lián)性與系統(tǒng)性風(fēng)險(xiǎn)的關(guān)系,并以此為視角,考察了我國(guó)金融行業(yè)間的風(fēng)險(xiǎn)傳染特性。結(jié)果表明,美國(guó)金融危機(jī)爆發(fā)后,我國(guó)金融機(jī)構(gòu)間的傳染性顯著增強(qiáng)。具體而言,銀行業(yè)的整體傳染性最強(qiáng),證券業(yè)次之,保險(xiǎn)及其他行業(yè)傳染性最弱。同時(shí)本文發(fā)現(xiàn),平穩(wěn)時(shí)期,各行業(yè)內(nèi)部機(jī)構(gòu)之間的相互傳染影響占主流,而在金融危機(jī)期間,跨行業(yè)機(jī)構(gòu)間的相互傳染影響得到了顯著的提升。其中,銀行業(yè)對(duì)其他行業(yè)造成的傳染影響顯著增強(qiáng),而證券行業(yè)則更多的受到了傳染性影響,這說(shuō)明在發(fā)生危機(jī)時(shí),銀行業(yè)負(fù)外部性的溢出效應(yīng)明顯。 進(jìn)一步,通過(guò)對(duì)我國(guó)區(qū)域間系統(tǒng)性金融風(fēng)險(xiǎn)的傳染特性研究,本文發(fā)現(xiàn),我國(guó)的系統(tǒng)性金融風(fēng)險(xiǎn)在區(qū)域間存在明顯的非對(duì)稱傳染特性。具體而言,實(shí)施傳染的地區(qū)主要為東部經(jīng)濟(jì)發(fā)達(dá)的省份,同時(shí)這些省份較少受到其他省份的傳染性影響。而受到傳染影響的地區(qū)主要為經(jīng)濟(jì)發(fā)展模式較為單一的省份。這些省份由于經(jīng)濟(jì)發(fā)展模式單一,且對(duì)外省依存度較高,使得其更容易受到其他地區(qū)的影響。 接下來(lái),本文從預(yù)警機(jī)制角度分析了系統(tǒng)性金融風(fēng)險(xiǎn)的防范問(wèn)題。本文構(gòu)建了反映我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)累積情況的壓力指數(shù),并分析其走勢(shì),同時(shí)引入動(dòng)態(tài)模型平均(DMA)方法證明其對(duì)我國(guó)金融壓力指數(shù)具有較好預(yù)測(cè)能力。進(jìn)一步,本文分析了復(fù)雜適應(yīng)性系統(tǒng)條件下,金融風(fēng)險(xiǎn)預(yù)警機(jī)制的應(yīng)用。 最后,本文從宏觀審慎政策角度剖析了系統(tǒng)性金融風(fēng)險(xiǎn)的防范問(wèn)題。本文以宏觀審慎政策的結(jié)構(gòu)框架入手對(duì)我國(guó)宏觀審慎政策進(jìn)行了目標(biāo)、工具以及制定安排等方面的分析。同時(shí)使用風(fēng)險(xiǎn)“分?jǐn)偂钡姆椒▽?duì)上市銀行類金融機(jī)構(gòu)的系統(tǒng)重要性進(jìn)行識(shí)別。結(jié)果表明,我國(guó)上市銀行的系統(tǒng)重要性水平與其規(guī)模有著密切聯(lián)系,四大國(guó)有商業(yè)銀行對(duì)系統(tǒng)風(fēng)險(xiǎn)的貢獻(xiàn)度最強(qiáng),其次是全國(guó)性股份制商業(yè)銀行,而城商行最弱。此外,我國(guó)銀行類金融機(jī)構(gòu)的系統(tǒng)重要性指數(shù)呈現(xiàn)明顯的周期性特征。與此同時(shí),本文發(fā)現(xiàn),除了規(guī)模因素,上市銀行的可替代性、復(fù)雜性、關(guān)聯(lián)性也與其系統(tǒng)重要性密切相關(guān)。最后,本文對(duì)我國(guó)宏觀審慎政策工具的有效性進(jìn)行了檢驗(yàn),結(jié)果表明,在所有審慎監(jiān)管政策工具中,存款準(zhǔn)備金率是最顯著有效的宏觀審慎政策工具,我國(guó)事實(shí)上已建立起以差別準(zhǔn)備金動(dòng)態(tài)調(diào)整為核心的逆周期調(diào)控機(jī)制。而其他政策工具都在某些方面存在不足,需要更多政策工具的配合使用,此外,我國(guó)銀行業(yè)的個(gè)體差異性要求宏觀審慎政策工具應(yīng)具有更強(qiáng)的針對(duì)性。 綜上所述,金融脆弱性是引發(fā)系統(tǒng)性金融風(fēng)險(xiǎn)形成的內(nèi)在原因,金融失衡是造成我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)水平不斷上升的外在原因。二者共同作用,共同演化導(dǎo)致系統(tǒng)性金融風(fēng)險(xiǎn)的不斷累積。我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)的特性表明,現(xiàn)階段我國(guó)不會(huì)爆發(fā)大規(guī)模的金融危機(jī),但是,系統(tǒng)性金融風(fēng)險(xiǎn)的不斷累積卻是不爭(zhēng)的事實(shí)。與之相伴的是,我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)在金融行業(yè)間的傳染性在增強(qiáng),銀行類金融機(jī)構(gòu)的負(fù)外部性明顯。而我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)在區(qū)域間存在顯著的非對(duì)稱傳染效應(yīng),尤其要注意經(jīng)濟(jì)結(jié)構(gòu)單一地區(qū)的風(fēng)險(xiǎn)防范問(wèn)題。通過(guò)對(duì)我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)的防范研究,本文認(rèn)為,我國(guó)應(yīng)該構(gòu)建與完善具有官方指導(dǎo)意義的反映系統(tǒng)性金融風(fēng)險(xiǎn)累積的前瞻性指標(biāo)體系。而先進(jìn)的預(yù)測(cè)技術(shù)的引入可以提升我國(guó)系統(tǒng)性金融風(fēng)險(xiǎn)的預(yù)警水平。同時(shí),我國(guó)需進(jìn)一步完善宏觀審慎政策體系,強(qiáng)化對(duì)系統(tǒng)重要性金融機(jī)構(gòu)的監(jiān)管,提升宏觀審慎政策工具的效果,發(fā)揮好宏觀審慎政策工具的逆周期調(diào)節(jié)作用。
[Abstract]:In the 21st century , the global systemic financial risk continues to ferment and ferment , and finally , due to the outbreak of the sub - loan problem in 2008 , it has become the most serious financial crisis since the 1930s . In addition , in the process of the reform and progress of financial industry in our country , the characteristics of China ' s financial imbalance have gradually appeared , the financial disintermediation is deepened , the proportion of the banking industry is too large , the financial department ' s leverage ratio is too high , the period mismatch and the liquidity risk coexist , the shadow banking supervision is not in place , the local financing platform ' s default risk rises and so on . Therefore , combining the financial environment and background of our country , it is very important to study the systematic financial risks in our country . Based on the analysis of the characteristics of systemic financial risks in China , this paper analyzes how to monitor the accumulation of systemic financial risks and how to take effective measures to curb the rise of systemic financial risks and how to take effective measures to curb the rise of systemic financial risks and how to take effective measures to curb the rise of systemic financial risks . First , the study on the formation and accumulation of systematic financial risks shows that financial fragility is the internal cause of systemic financial risk formation . The financial imbalance is the external cause of the rise of systemic financial risks in our country . The combination of both causes the accumulation of systemic financial risks . From the analysis of reality , the excessive investment proportion , the fluctuation of the economic cycle , the frequent fluctuation of asset price , the excessive local government debt , the rapid expansion of shadow banking system , the continuous accumulation of real estate bubble and the rapid rise of leverage ratio have become the main factors that have caused the accumulation of systematic financial risks in China . Secondly , this paper introduces or has the equity method to measure the whole risk level of China ' s financial sector . The results show that the probability of default is close to zero in most of the time , but during the sub - loan crisis , the probability of default of the financial sector of our country rises rapidly , but it is still insufficient to trigger the financial crisis . In addition , the financial sector of our country has been materially affected by the financial crisis of the United States . Thirdly , this paper analyzes the relationship between the correlation and the systematic risk from the theory , and makes a study on the risk contagion characteristic among the financial industry in our country . The result shows that the contagion effect between the financial institutions of our country is stronger after the outbreak of the American financial crisis . Further , through the study of the infection characteristics of systematic financial risk in our country , this paper finds that the systematic financial risks in our country have obvious asymmetric infection characteristics among the regions . In particular , the affected areas are mainly in the eastern economically developed provinces , while those provinces are less affected by the infectious effects of other provinces . These provinces are mainly the provinces with relatively single economic development patterns . These provinces are more vulnerable to the influence of other regions due to the single economic development model and the higher dependence of the external provinces . Next , this paper analyzes the prevention of systemic financial risks from the angle of early warning mechanism . This paper constructs a pressure index that reflects the accumulation of systemic financial risks in China , and analyzes its trend . At the same time , the dynamic model average ( DMA ) method is introduced to prove that it has better forecasting ability to China ' s financial pressure index . Furthermore , this paper analyses the application of financial risk early warning mechanism under the condition of complex adaptive system . At the same time , this paper tries to analyze the importance of systemic financial risk from macro - prudential policy . At the same time , this paper makes an analysis on the importance of macro - prudential policy in China . In conclusion , the financial fragility is the internal cause of the formation of systemic financial risks . The financial imbalance is the external cause of the rise of systemic financial risks in our country . The characteristics of the systematic financial risks in China show that China should build and perfect the forward - looking index system which can reflect the accumulation of systemic financial risks .

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.59

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2 喬桂明;;貨幣危機(jī)預(yù)警理論及實(shí)證比較研究——兼對(duì)中國(guó)的模擬分析及啟示[J];財(cái)經(jīng)研究;2006年11期

3 胡燕京,高會(huì)麗;因子分析:中國(guó)的金融風(fēng)險(xiǎn)及應(yīng)對(duì)策略[J];財(cái)貿(mào)研究;2002年05期

4 高海燕;金融風(fēng)險(xiǎn)預(yù)警系統(tǒng)的動(dòng)態(tài)信息融合方法[J];電腦與信息技術(shù);1999年01期

5 南旭光;孟衛(wèi)東;;基于等比例危險(xiǎn)模型的金融危機(jī)預(yù)警[J];重慶大學(xué)學(xué)報(bào)(自然科學(xué)版);2007年05期

6 潘林偉;吳婭玲;;系統(tǒng)重要性金融機(jī)構(gòu)監(jiān)管的國(guó)際經(jīng)驗(yàn)及對(duì)我國(guó)的啟示[J];南方金融;2011年05期

7 張?jiān)?孫剛;金融危機(jī)預(yù)警系統(tǒng)的理論透析與實(shí)證分析[J];國(guó)際金融研究;2003年10期

8 馬君潞;呂劍;;人民幣匯率制度與金融危機(jī)發(fā)生概率——基于Probit和Logit模型的實(shí)證分析[J];國(guó)際金融研究;2007年09期

9 巴曙松;王t熲，

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