本文選題：金融結(jié)構(gòu) + 金融系統(tǒng)風(fēng)險　； 參考：《南開大學(xué)》2014年博士論文

【摘要】：20)08年全球金融危機已經(jīng)有5年多時間,從最近的觀察和文獻(xiàn)研究看金融危機依然沒有結(jié)束。中國經(jīng)濟(jì)和金融市場發(fā)展也面臨國內(nèi)外經(jīng)濟(jì)金融變化的巨大挑戰(zhàn)。中國為保持經(jīng)濟(jì)穩(wěn)定和增長,推動經(jīng)濟(jì)結(jié)構(gòu)調(diào)整已經(jīng)成為大勢所趨。另外,全球金融危機的影響依然在深化,2012年以來中國網(wǎng)絡(luò)金融迅猛發(fā)展對國內(nèi)金融行業(yè)也已經(jīng)構(gòu)成越來越顯著的沖擊。同時,中國推動的金融市場化改革對以銀行為主導(dǎo)的金融體系的穩(wěn)定也必然產(chǎn)生一定沖擊。 正是基于以上種種問題的考慮,本文認(rèn)為當(dāng)前中國金融系統(tǒng)風(fēng)險既具有一般性特征,又具有自身結(jié)構(gòu)性特征所決定的特殊性,也具有中國金融發(fā)展的歷史階段性特征。所以,在預(yù)防我國金融系統(tǒng)風(fēng)險方面,已有的發(fā)達(dá)國家金融系統(tǒng)風(fēng)險的研究并不能提供有效解釋和針對性建議。因此,本文試圖在金融系統(tǒng)風(fēng)險一般性研究基礎(chǔ)上,系統(tǒng)比較中美兩國的金融結(jié)構(gòu)差異,進(jìn)而基于中美兩國金融結(jié)構(gòu)的差異性,深入研究中美兩國金融風(fēng)險形成機制上的差異；最后就金融總體風(fēng)險的測量對象、機制和具體技術(shù)差異進(jìn)行比較分析。 美國金融危機中暴露出金融系統(tǒng)性風(fēng)險的來源在于：第一,經(jīng)濟(jì)結(jié)構(gòu)的長期變化,經(jīng)濟(jì)過度虛擬化；第二,經(jīng)過30多年的金融自由化和深化發(fā)展,形成以金融市場為主導(dǎo)的金融結(jié)構(gòu),從微觀來看金融創(chuàng)新方面以證券化、衍生為顯著特征,1990年代以來杠桿化融資被普遍使用。從金融脆弱性和不穩(wěn)定性理論來看,這使美國金融穩(wěn)定性變得很脆弱,因為金融總體發(fā)展既缺乏足夠堅實的實體經(jīng)濟(jì)支撐,又因為杠桿化微觀機制加劇了金融不穩(wěn)定。以上這些研究對中國金融穩(wěn)定研究是具有參考價值和借鑒意義的。但是,中國金融發(fā)展起點、路徑、政府干預(yù)程度和當(dāng)前迅猛出現(xiàn)的新金融,使我國金融不穩(wěn)定的具體機制不同于美國等發(fā)達(dá)國家,必須對金融結(jié)構(gòu)上的差異對金融不穩(wěn)定的影響,給予足夠的關(guān)注。 目前,各研究對金融結(jié)構(gòu)的認(rèn)識基本趨于一致,但也存在差異。因為,本文著重抓住中美金融結(jié)構(gòu)核心特征差異,所以我們接受金融融資結(jié)構(gòu)的基本認(rèn)識,一國金融結(jié)構(gòu)是由現(xiàn)存的金融工具與金融機構(gòu)之和構(gòu)成的,其中包括金融中介各分支結(jié)構(gòu)的集中度、現(xiàn)存金融機構(gòu)和金融工具的經(jīng)營方式、相對規(guī)模和經(jīng)營特征等。本文認(rèn)為金融結(jié)構(gòu)是一個不斷演進(jìn)的過程的認(rèn)識。 本文認(rèn)為美國金融系統(tǒng)性風(fēng)險,受其金融結(jié)構(gòu)變化決定,主要來自于金融衍生品市場和金融創(chuàng)新,在銀行體系與華爾街金融衍生產(chǎn)品沒有全面關(guān)聯(lián)時,證券市場的系統(tǒng)危機不會演變成信用體系的危機,例如1987年美國證券市場危機。在1999年分業(yè)經(jīng)營管制被打破后,商業(yè)銀行機構(gòu)也從各個維度卷入金融衍生創(chuàng)新活動中,華爾街證券市場危機就外溢到信用體系中來,這就是2008年美國次貸危機的現(xiàn)實。 與美國金融結(jié)構(gòu)演進(jìn)路徑、結(jié)構(gòu)特征和金融風(fēng)險特征相比。中國金融系統(tǒng)首先一直是以銀行為主導(dǎo)的,盡管證券市場得到很大發(fā)展,但是從各方面數(shù)據(jù)來看商業(yè)銀行依然是中國金融體系的核心。中國金融業(yè)從1980年代以來經(jīng)歷了多次改革,受個階段中國經(jīng)濟(jì)體制改革和開放的影響,中國的金融業(yè)結(jié)構(gòu)在不斷演化過程中,以銀行也為核心的金融業(yè)的脆弱性也呈現(xiàn)出階段性特征和中國金融結(jié)構(gòu)性特征。當(dāng)前,中國金融系統(tǒng)性風(fēng)險體現(xiàn)在銀行系統(tǒng)結(jié)構(gòu)方面,其脆弱性突出顯露在區(qū)域性中小商業(yè)銀行方面,本文從區(qū)域性中小商業(yè)銀行在中國金融結(jié)構(gòu)中脆弱地位的基礎(chǔ)上展開中國金融系統(tǒng)性風(fēng)險研究。 中國金融系統(tǒng)性風(fēng)險經(jīng)歷了階段性的變化,當(dāng)前更集中在中小商業(yè)銀行方面：(1)過去1998年以來商業(yè)銀行改革后,由城市商業(yè)銀行改制而來的區(qū)域性商業(yè)銀行發(fā)展速度比較快；(2)地方土地財政、房地產(chǎn)信貸、地方融資平臺相互復(fù)雜交織,從已公開的資料看區(qū)域性商業(yè)銀行擔(dān)負(fù)了相當(dāng)比例的地方政府債務(wù)融資；(3)區(qū)域性中小商業(yè)銀行與其它銀行等金融機構(gòu)之間形成大量業(yè)務(wù)聯(lián)系,其資產(chǎn)負(fù)債結(jié)構(gòu)的變化,對通過這些鏈條對整個金融系統(tǒng)造成不可估量的沖擊；(4)受全球經(jīng)濟(jì)危機沖擊,中國舊的經(jīng)濟(jì)增長方式明顯不可維持,經(jīng)濟(jì)結(jié)構(gòu)調(diào)整已成必然,財政、金融改革已經(jīng)在推動,利率市場化是大勢所趨,金融業(yè)競爭加劇,對區(qū)域性中小商業(yè)銀行形成不小沖擊；(5)網(wǎng)絡(luò)金融這匹金融黑馬對傳統(tǒng)金融機構(gòu)形成明顯沖擊,對區(qū)域性中小銀行沖擊更大。 因此,在設(shè)計中國宏觀審慎監(jiān)管和政策原則,以及設(shè)計壓力測試需要充分考慮中國金融結(jié)構(gòu)特征基礎(chǔ)上的金融系統(tǒng)性風(fēng)險,具體表現(xiàn)在：首先,我國金融系統(tǒng)性風(fēng)險的來源在不同歷史階段發(fā)生了顯著變化,從國有企業(yè)債務(wù)惡化,到證券市場泡沫的風(fēng)險傳遞,再到中國房地產(chǎn)業(yè)和地方土地財政密切關(guān)聯(lián)；其次,系統(tǒng)重要的金融機構(gòu)并不一定是大銀行,而可能是具有系統(tǒng)重要作用的中小商業(yè)銀行,在壓力測試設(shè)計上要高度關(guān)注。 本文的總體架構(gòu)如下：首先論文對中美金融結(jié)構(gòu)差異進(jìn)行了比較；其次,構(gòu)建了一個基本的一般均衡動態(tài)模型來解釋金融結(jié)構(gòu)是如何發(fā)展演變的,并綜合提出構(gòu)建了一個涵蓋金融結(jié)構(gòu)、金融風(fēng)險以及銀行壓力測試的理論分析框架；第三,論文指出了對商業(yè)銀行進(jìn)行壓力測試的設(shè)計以及宏觀審慎監(jiān)管的設(shè)計方面,都必須需要考慮到金融結(jié)構(gòu)差異的根本性影響。本文在金融結(jié)構(gòu)理論、系統(tǒng)性風(fēng)險理論基礎(chǔ)上,詳細(xì)比較了中美兩國銀行業(yè)壓力測試的原則、方法。最后,本文針對中國金融系統(tǒng)風(fēng)險的形成特征,提出中國宏觀審慎政策和監(jiān)管的一般性設(shè)計原則和針對區(qū)域性商業(yè)銀行的壓力測試思路和特殊工具。
[Abstract]:20) the global financial crisis for 08 years has been over 5 years. From the recent observation and literature research, the financial crisis remains unfinished. The development of China's economic and financial markets is also facing great challenges of economic and financial changes both at home and abroad. The impact of the financial crisis is still deepening. Since 2012, the rapid development of China's network finance has also been a more and more significant impact on the domestic financial industry. At the same time, the reform of the financial market driven by China is bound to have a definite impact on the stability of the banking oriented financial system.
It is based on the above problems that the present risk of China's financial system is not only characterized by general characteristics, but also characterized by its own structural characteristics as well as the historical characteristics of China's financial development. Therefore, the financial system risks of the developed countries in the prevention of the risk of the financial system in China Therefore, this paper tries to compare the financial structural differences between China and the United States on the basis of the general research on the risk of financial systems, and further study the differences in the financial risk formation mechanism between China and the United States on the basis of the differences in the financial structure of the two countries. Finally, the financial overall situation is discussed. Risk measurement objects, mechanisms and specific technical differences are compared.
In the US financial crisis, the sources of systemic risk exposed in the financial crisis are: the first, the long-term changes in the economic structure, the excessive virtualization of the economy. Second, after 30 years of financial liberalization and deepened development, the financial market led financial structure has been formed. From the microcosmic perspective, the financial innovation is characterized by securitisation, 19 Leveraged financing has been widely used since 90s. From the theory of financial fragility and instability, this has made the financial stability of the United States fragile, because the overall financial development is not enough solid economic support, but also because the micro mechanism of leverage intensifies the financial instability. These studies have studied the stability of China's financial stability. However, the starting point, the path, the level of government intervention and the current rapid emergence of new finance in China make the specific mechanism of financial instability in China different from that of the developed countries such as the United States and other developed countries. It is necessary to pay enough attention to the impact of financial structural differences on the instability of gold and finance.
At present, the understanding of the financial structure is basically consistent, but there are differences. Because this article focuses on the core characteristics of the financial structure of China and the United States, so we accept the basic understanding of the financial structure, the financial structure of one country is composed of the existing financial instruments and the financial intermediaries, including the financial intermediaries. The concentration of the branch structure, the operating mode of the existing financial institutions and financial instruments, the relative scale and the operating characteristics, etc. This article holds that the financial structure is an evolving process of understanding.
This paper holds that the financial systemic risk in the United States is determined by the changes in its financial structure, mainly from the financial derivatives market and financial innovation. In the absence of a comprehensive association between the banking system and the financial derivatives of Wall Street, the system crisis of the securities market will not evolve into a crisis of the credit system, such as the US securities market crisis in 1987, at 1999. After the break of the annual division of business management, the commercial banks were involved in the financial derivative activities from various dimensions. The crisis of the Wall Street securities market was overflowing into the credit system, which was the reality of the American subprime crisis in 2008.
Compared with the evolution path, structural characteristics and financial risk characteristics of the American financial structure, China's financial system has been dominated by banks. Although the securities market has been greatly developed, the commercial banks are still the core of the Chinese financial system from all aspects of data. China's financial industry has undergone many changes since 1980s. In the course of the continuous evolution of China's financial structure, the fragility of the financial sector, which is the core of the bank, is also characterized by stage characteristics and Chinese financial structural characteristics. At present, the systemic risk of China's financial system is reflected in the structure of the banking system and its vulnerability is prominent. On the basis of the vulnerability of regional small and medium commercial banks in China's financial structure, the study of China's financial systemic risk is carried out in the area of small and medium commercial banks.
China's financial systemic risk has undergone a phased change, which is more concentrated in the middle and small commercial banks. (1) after the reform of commercial banks since the past 1998, the regional commercial banks developed by the urban commercial banks have developed faster. (2) the local land finance, real estate credit, and local financing platforms are intertwined with each other. From the public information, the regional commercial banks assume a considerable proportion of local government debt financing; (3) the regional small and medium commercial banks and other banks and other financial institutions have formed a large number of business contacts, the changes in their assets and liabilities structure, and the inestimable impact on the whole financial system through these chains; (4) With the impact of the global economic crisis, the old economic growth mode of China is obviously unsustainable, economic structure adjustment has become inevitable, financial reform has been promoted, interest rate marketization is the trend of the situation, the competition of the financial industry is aggravated, and the regional small and medium commercial banks are not small. (5) the financial black horse of network finance is to the traditional financial institution. The formation of a significant impact on regional small and medium banks greater impact.
Therefore, in the design of China's macro prudential supervision and policy principles and the design of pressure testing, the financial systemic risks on the basis of the characteristics of the Chinese financial structure are fully taken into account. The specific manifestation is: first, the source of the financial systemic risk has changed significantly in different historical stages, from the deterioration of the debt of the state-owned enterprises to the securities. The risk transfer of the market bubble is closely related to the Chinese real estate industry and the local land finance. Secondly, the important financial institutions of the system are not necessarily large banks, but may be the important small and medium commercial banks with the important role of the system, and should pay high attention to the pressure test design.
The overall framework of this paper is as follows: first, the thesis compares the financial structural differences between China and the United States. Secondly, a basic general equilibrium dynamic model is constructed to explain how the financial structure is developed and how to build a theoretical analysis framework covering financial structure, financial risk and bank pressure test. Third, the paper points out that the design of pressure testing for commercial banks and the design of macro prudential supervision must take into account the fundamental influence of financial structural differences. On the basis of financial structure theory and systematic risk theory, this paper compares the principles and methods of pressure testing in China and the United States in detail. In view of the characteristics of the formation of the risk of China's financial system, the general design principles of China's macro Prudential policy and supervision and the pressure testing ideas and special tools for regional commercial banks are proposed.

【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832;F837.12

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