【摘要】：2007年爆發(fā)的金融危機(jī)深刻地改變了人們對(duì)于金融因素在整個(gè)經(jīng)濟(jì)體系中有關(guān)作用的認(rèn)識(shí),并促使金融實(shí)務(wù)界和理論界在金融監(jiān)管、貨幣政策以及金融與經(jīng)濟(jì)的作用機(jī)制等領(lǐng)域進(jìn)行多方面的反思與革新。在金融監(jiān)管方面,金融危機(jī)所產(chǎn)生的巨大破壞力引發(fā)了全球范圍內(nèi)金融監(jiān)管理念的重大轉(zhuǎn)變,危機(jī)之前寬松化、自由化的監(jiān)管方向得到較大程度的逆轉(zhuǎn)。在這樣的背景下,各國(guó)監(jiān)管當(dāng)局紛紛出臺(tái)更為嚴(yán)厲的監(jiān)管措施,并隨著巴塞爾協(xié)議Ⅲ的推出開(kāi)始著手建立更為嚴(yán)格和全面的監(jiān)管框架。立足于單個(gè)機(jī)構(gòu)穩(wěn)健性的微觀審慎監(jiān)管已經(jīng)不能滿足新的形勢(shì)下風(fēng)險(xiǎn)管理的要求,以整體視角將全部金融體系納入監(jiān)管范圍的宏觀審慎監(jiān)管理念已經(jīng)日漸興起并慢慢開(kāi)始走向規(guī)范。微觀審慎監(jiān)管需要宏觀審慎監(jiān)管的引導(dǎo),宏觀審慎監(jiān)管需要微觀審慎監(jiān)管的支持,兩類監(jiān)管需要更多的搭配與更好的融合已經(jīng)成為當(dāng)前監(jiān)管理念的共識(shí),而如何將微觀審慎監(jiān)管與宏觀審慎監(jiān)管更好的結(jié)合起來(lái)以預(yù)防和控制系統(tǒng)性風(fēng)險(xiǎn)的爆發(fā)和傳染也正是目前人們最為關(guān)注的經(jīng)濟(jì)話題之一。在貨幣政策方面,舊有的框架正在遭受越來(lái)越多的挑戰(zhàn),貨幣政策框架的轉(zhuǎn)型與升級(jí)已經(jīng)迫在眉睫。危機(jī)之前以物價(jià)穩(wěn)定為主的最終目標(biāo)正在遭受越來(lái)越多的質(zhì)疑,貨幣政策也應(yīng)該適度關(guān)注金融穩(wěn)定問(wèn)題已經(jīng)慢慢成為新的共識(shí)。進(jìn)一步的,如果貨幣政策確實(shí)應(yīng)該關(guān)注金融穩(wěn)定的話,貨幣政策應(yīng)該如何與宏觀審慎監(jiān)管的框架更好的融合?以利率為主的單一工具調(diào)控體系能否在新的環(huán)境下較好的行使貨幣政策的職能?新的政策工具能否被開(kāi)發(fā)出來(lái)?既有的政策工具能否發(fā)揮更好的效力?傳導(dǎo)機(jī)制是否已經(jīng)在既有認(rèn)識(shí)的基礎(chǔ)上發(fā)生了某些或大或小的改變?等等這一系列重大的理論問(wèn)題都有待我們更為深入的研究。然而仔細(xì)梳理目前有關(guān)宏觀審慎政策的有關(guān)研究我們卻發(fā)現(xiàn),立足于整個(gè)宏觀審慎框架對(duì)其監(jiān)管理念、最終目標(biāo)、構(gòu)成要素、工具構(gòu)成以及框架實(shí)施等方面做全景式分析的研究較多,但是圍繞著宏觀審慎的目標(biāo)來(lái)深入的挖掘其某一類政策工具的角色定位、傳導(dǎo)機(jī)制、實(shí)施框架等方面內(nèi)容的研究卻較為缺乏。實(shí)際上,在目前宏觀審慎的監(jiān)管理念與實(shí)施框架已經(jīng)慢慢走向成熟的背景下,這類工作往往卻具有更為現(xiàn)實(shí)而重大的意義,因?yàn)楹暧^審慎政策的本質(zhì)實(shí)際上就是一套政策合集,它在具體實(shí)施的過(guò)程中是由一個(gè)個(gè)更為具體的子政策框架構(gòu)成,而不同的子政策也往往具有較大的差異性。因此,籠統(tǒng)地以整個(gè)政策合集為對(duì)象來(lái)討論它的政策構(gòu)建與實(shí)施容易陷入泛泛而談的窘境,這反而不如將精力集中于某一類子政策上對(duì)其深入挖掘更為具體和明晰。正是出于這樣的考慮,本文試圖選擇杠桿率這一具有較長(zhǎng)歷史的政策工具進(jìn)行研究,通過(guò)對(duì)杠桿率的決定機(jī)制、杠桿率管理的相關(guān)影響、杠桿率管理的指標(biāo)選擇、風(fēng)險(xiǎn)評(píng)估、政策校準(zhǔn)、與其他政策的關(guān)系以及機(jī)制設(shè)計(jì)等方面進(jìn)行深入挖掘,最終來(lái)構(gòu)建一個(gè)圍繞著杠桿率這一政策工具為核心的合理可行的管理框架。杠桿率指標(biāo)作為一種橫跨貨幣政策、微觀審慎監(jiān)管與宏觀審慎監(jiān)管的政策工具,我相信關(guān)于它的深入挖掘?qū)τ诟黝愓叩膶?shí)施必將具有非常重大的啟示意義。同時(shí),在巴塞爾協(xié)議Ⅲ新引進(jìn)的杠桿率要求即將開(kāi)始在全球范圍內(nèi)正式施行的關(guān)鍵時(shí)期,相信本文關(guān)于杠桿率管理框架的探討對(duì)于巴塞爾協(xié)議中杠桿率監(jiān)管的相關(guān)方面也必將具有較大的參考價(jià)值。為完成杠桿率管理框架的構(gòu)建,本論文分為9章依次展開(kāi)論述。首先,我們?cè)诘?章討論了本論文研究的背景與研究目的,揭示了本論文的研究意義、研究?jī)?nèi)容以及主要的創(chuàng)新和不足。然后在第2章我們首先對(duì)本文中所使用杠桿率以及杠桿率管理框架的涵義進(jìn)行了明確的界定,然后又圍繞著我們所關(guān)注的幾個(gè)核心問(wèn)題回顧了相關(guān)的研究文獻(xiàn)。之后,為探究杠桿率周期的變化規(guī)律以及杠桿率變化對(duì)經(jīng)濟(jì)的各類影響,我們?cè)诘?章首先從長(zhǎng)期的視角對(duì)總杠桿率水平的演變狀況進(jìn)行了回顧和梳理,然后還分別針對(duì)居民部門、非金融企業(yè)部門、金融部門以及政府部門的杠桿率變化狀況進(jìn)行了結(jié)構(gòu)性分析。之后,我們還討論了次貸危機(jī)以后全球范圍內(nèi)的杠桿率變化狀況。此外,在本章的末尾我們還重點(diǎn)總結(jié)了杠桿率周期與經(jīng)濟(jì)周期演變關(guān)系、去杠桿過(guò)程的相關(guān)經(jīng)驗(yàn),并用描述性的方法詳細(xì)分析了杠桿率的變化對(duì)產(chǎn)出、物價(jià)水平以及投資等宏觀經(jīng)濟(jì)變量的影響,從而先從定性方面對(duì)杠桿率在經(jīng)濟(jì)周期中的角色進(jìn)行了揭示。在從定性方面回顧了杠桿率周期演變和其對(duì)經(jīng)濟(jì)影響的基礎(chǔ)上,第4章我們開(kāi)始從定量方面探討杠桿率內(nèi)生決定機(jī)制這一核心問(wèn)題。為此,我們首先在一個(gè)抽象的抵押品資產(chǎn)市場(chǎng)上探討了杠桿率的均衡決定過(guò)程,之后交代了杠桿率周期理論的背景,并在此基礎(chǔ)上構(gòu)建了一個(gè)杠桿率周期分析框架以分析杠桿率變動(dòng)所產(chǎn)生的一系列微觀層面的影響,而且在本章的最后基于這些分析我們還以美國(guó)的次貸危機(jī)為例對(duì)杠桿率周期機(jī)制的運(yùn)用過(guò)程進(jìn)行了具體的闡述,并對(duì)杠桿率周期管理的相關(guān)問(wèn)題進(jìn)行了一些思考。在第4章之后,為最終完成杠桿率管理框架的構(gòu)建,我們還在第5章從演變歷程與理論推演兩個(gè)角度對(duì)杠桿率管理可能產(chǎn)生的影響進(jìn)行了詳細(xì)的探討。從已有的杠桿率實(shí)施經(jīng)驗(yàn)來(lái)看,雖然各國(guó)在實(shí)施的過(guò)程中面臨了很多的難題和不確定性,但是總體來(lái)講杠桿率管理政策已經(jīng)取得了較為理想的效果。在此之后,為便于從理論上討論杠桿率管理的影響,我們從信用供給端與信用需求端兩個(gè)角度來(lái)分別展開(kāi)分析。在供給端我們基于Kiema和Jokivuolle(2014)的模型構(gòu)建了一個(gè)包含風(fēng)險(xiǎn)加權(quán)資本充足率與杠桿率雙重資本要求的理論模型,在完全競(jìng)爭(zhēng)的銀行業(yè)市場(chǎng)結(jié)構(gòu)下討論了杠桿率監(jiān)管對(duì)資產(chǎn)價(jià)格以及風(fēng)險(xiǎn)狀況的影響。通過(guò)分析我們發(fā)現(xiàn),杠桿率監(jiān)管的引入能夠促使整個(gè)銀行業(yè)朝著風(fēng)險(xiǎn)專業(yè)化經(jīng)營(yíng)的方向發(fā)展,如果監(jiān)管杠桿率的水平設(shè)定比較合理的話杠桿率監(jiān)管的引入確實(shí)可以抑制資產(chǎn)價(jià)格的上漲,并且還可以降低整個(gè)銀行業(yè)的風(fēng)險(xiǎn)狀況,即杠桿率管理政策存在著“價(jià)格效應(yīng)”與“風(fēng)險(xiǎn)效應(yīng)”。這就從理論上說(shuō)明了我們可以通過(guò)對(duì)杠桿率的控制有效預(yù)防杠桿率周期的產(chǎn)生和發(fā)展。但是如果杠桿率的監(jiān)管水平設(shè)定的過(guò)低或過(guò)高都會(huì)對(duì)經(jīng)濟(jì)體系產(chǎn)生不利的影響,因此,這也要求我們必須非常審慎地設(shè)定杠桿率的監(jiān)管水平以最大程度地平衡監(jiān)管的收益和成本。而在信用需求端,我們通過(guò)構(gòu)建一個(gè)簡(jiǎn)單的包含融資約束的跨期優(yōu)化模型,以貸款價(jià)值比(LTV)上限管理為例來(lái)探討了在信用需求端實(shí)施杠桿率管理的理論效果。經(jīng)過(guò)求解與對(duì)均衡狀態(tài)的分析我們發(fā)現(xiàn),貸款價(jià)值比上限管理政策除了可以直接作用于資產(chǎn)杠桿率即存在“直接效應(yīng)”之外,還會(huì)對(duì)抵押品需求產(chǎn)生正向的影響,即還具有“信用需求效應(yīng)”。另外,在此部分我們還從定性方面討論了信用需求端杠桿率管理的影響,指出了杠桿率的定性管理可以通過(guò)“稀缺性效應(yīng)”與“結(jié)構(gòu)性效應(yīng)”對(duì)抵押品市場(chǎng)產(chǎn)生多種影響。在這些討論的基礎(chǔ)上,我們?cè)诘?章和第7章正式開(kāi)始了杠桿率管理框架的構(gòu)建工作。為此,我們?cè)诘?章先對(duì)杠桿率管理的政策含義及其構(gòu)成要素進(jìn)行明確界定,并詳細(xì)討論了杠桿率指標(biāo)的選取與測(cè)算問(wèn)題。之后我們又從杠桿率角度構(gòu)建了對(duì)系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行評(píng)估的框架,此外在本章的最后兩節(jié)我們還對(duì)杠桿率管理工具的選擇以及設(shè)定與調(diào)整進(jìn)行了詳細(xì)的討論,以便為杠桿率管理工具自身的充分運(yùn)用提供指導(dǎo)。在完成這些工作的基礎(chǔ)上,我們?cè)诘?章開(kāi)始將杠桿率管理框架的構(gòu)建與實(shí)施拓展到杠桿率政策與其他政策之間的關(guān)系這一層面,基于杠桿率工具的交叉性特征,我們首先著重對(duì)杠桿率政策與風(fēng)險(xiǎn)加權(quán)資本充足率、貨幣政策、財(cái)政政策這三大政策的關(guān)系進(jìn)行了深入的探討,在此之后還對(duì)杠桿率政策的機(jī)制設(shè)計(jì)問(wèn)題進(jìn)行了論證。這樣,在本章的最后一部分,我們最終提出了杠桿率管理的政策框架,從而就初步完成了本論文構(gòu)建杠桿率管理框架的主要目的。在完成了這些主要工作之后,最后我們?cè)诘?章主要討論杠桿率管理框架在中國(guó)的運(yùn)用這一問(wèn)題。沿著第6章與第7章所構(gòu)建的杠桿率管理框架,在此章中我們分析了中國(guó)各部門的杠桿率水平并從杠桿率的視角對(duì)我國(guó)當(dāng)前的系統(tǒng)性風(fēng)險(xiǎn)狀況進(jìn)行評(píng)估,回顧了我國(guó)銀行業(yè)杠桿率監(jiān)管的演變歷程和實(shí)施狀況,并試圖運(yùn)用杠桿率周期機(jī)制對(duì)A股和樓市最近一輪的周期運(yùn)行給出一個(gè)杠桿率視角的解釋。除此之外,我們還對(duì)我國(guó)銀行業(yè)以及房地產(chǎn)市場(chǎng)杠桿率管理的政策效果進(jìn)行了實(shí)證檢驗(yàn)。通過(guò)對(duì)實(shí)證結(jié)果的分析我們發(fā)現(xiàn),自從我國(guó)銀行業(yè)引入杠桿率監(jiān)管政策以及房地產(chǎn)市場(chǎng)引入第二套房首付比上限動(dòng)態(tài)變動(dòng)政策以來(lái),我國(guó)的信貸增長(zhǎng)得到了較好的控制,而且銀行的風(fēng)險(xiǎn)承擔(dān)行為也受到了較好的約束,應(yīng)該說(shuō)我國(guó)杠桿率政策的實(shí)證結(jié)果較好的支持了本文前幾章對(duì)于杠桿率管理效果的論證,同時(shí)也說(shuō)明我國(guó)應(yīng)該進(jìn)一步加強(qiáng)信用供給端和需求端的杠桿率管理以更好的預(yù)防系統(tǒng)性風(fēng)險(xiǎn)的產(chǎn)生和傳播。在第8章的末尾,我們還在第6、7章的基礎(chǔ)上結(jié)合我國(guó)的實(shí)際情況討論了我國(guó)杠桿率管理框架的構(gòu)建問(wèn)題并提出了若干政策啟示。最后,在第9章,我們對(duì)本論文的全部?jī)?nèi)容進(jìn)行了總結(jié)并提出了若干有待解決的問(wèn)題和進(jìn)一步的研究方向。
[Abstract]:The financial crisis, which broke out in 2007, has profoundly changed people's understanding of the role of financial factors in the whole economic system, and promoted the financial practice and theorists to rethink and innovate in many fields, such as financial supervision, monetary policy and the mechanism of financial and economic action. In financial supervision, the financial crisis is produced. In this context, the regulatory authorities of various countries have introduced more stringent regulatory measures and started more stringent with the introduction of the Basel Agreement III. Micro prudential supervision, based on the robustness of individual institutions, has been unable to meet the requirements of risk management under the new situation. Macro prudential supervision concept of integrating the whole financial system into the scope of supervision with a holistic perspective has been rising and slowly beginning to go to the standard. Micro prudential supervision needs macro Prudential supervision. The guidance of the management, macro prudential supervision needs the support of micro prudential supervision. The two types of supervision need more collocation and better integration has become the consensus of the current regulatory concept, and how to combine micro prudential supervision and macro prudential supervision better to prevent and control the outbreak and infection of system risk is also the present person. One of the most important economic topics of concern is that in monetary policy, the old framework is facing more and more challenges, the transition and upgrading of the monetary policy framework are imminent. The final target of price stability before the crisis is being questioned more and more, and the currency policy should also give moderate attention to the problem of financial stability. It is a new consensus. Further, if monetary policy should pay attention to financial stability, how should monetary policy be better integrated with the framework of macro prudential supervision? Can an interest rate based single tool control system be able to perform the function of monetary policy better in the new environment and whether new policy tools can be opened? Can the existing policy tools play a better role? Does the transmission mechanism have undergone some or small or small changes on the basis of understanding? And so on, this series of major theoretical issues need to be further studied. Now, based on the macro Prudential framework, there are many studies on the panoramic analysis of its supervision concept, the ultimate goal, the constituent elements, the composition of the tools and the implementation of the framework, but the research on the role of the role, the transmission mechanism and the framework of the implementation of a certain kind of policy tools around the macro Prudential goal. In fact, in the context of the current macro prudential regulatory concept and implementation framework, this kind of work is often more realistic and significant, because the essence of the macro Prudential policy is in fact a set of policies, which are more specific in the process of implementation. The sub policy framework is composed of different sub policies, and the different sub policies often have great differences. Therefore, it is easier to discuss its policy construction and implementation in general. In this regard, this paper tries to choose a policy tool with a long history of leverage ratio, through a thorough excavation of the decision mechanism of leverage ratio, the related influence of leverage ratio management, the index selection of leverage rate management, risk assessment, policy calibration, the relationship with other policies and mechanism design. Building a reasonable and feasible management framework centered around the policy tool of leverage ratio. Leverage index as a policy tool across monetary policy, micro prudential supervision and macro prudential supervision, I believe it will have great implications for the implementation of various policies. The newly introduced leverage ratio of Searl Protocol III requires a critical period of implementation in the global scope. It is believed that the discussion of leverage management framework in this paper will also have great reference value for the related aspects of leverage rate regulation in Basel agreement. In order to complete the construction of the bar rate management framework, this paper is divided into 9 chapters. First, in the first chapter, we discuss the background and research purpose of this paper, and reveal the significance of the research, the content and the main innovation and deficiency in this paper. Then in the second chapter, we define the meaning of leverage ratio and leverage ratio management framework in this paper, and then circumference. In the third chapter, we reviewed and combed the evolution of the total leverage ratio from a long-term perspective, and then respectively aimed at the residents' department. A structural analysis of the changes in leverage ratio in the non financial sector, the financial sector and the government sector. After that, we also discussed the global change of leverage after the subprime crisis. In addition, at the end of this chapter, we also focused on the relationship between the cycle of leverage and the evolution of the economic cycle, the phase of the deleveraging process. The effects of leverage rate changes on the macroeconomic variables such as output, price level and investment are analyzed with a descriptive approach, and the role of leverage ratio in the economic cycle is revealed qualitatively. The qualitative aspects of the cycle evolution of leverage ratio and its economic impact are reviewed in the qualitative aspect, Fourth In chapter, we begin to discuss the core problem of the endogenous decision mechanism of leverage ratio in quantitative terms. For this reason, we first discuss the equilibrium determination process of leverage ratio in an abstract collateral asset market, and then explain the background of the leverage cycle theory, and build a framework of leverage cycle analysis on this basis for analysis. At the end of this chapter, we also take the subprime mortgage crisis in the United States as an example to illustrate the application process of the leverage rate cycle mechanism, and consider some problems related to the cycle management of leverage ratio. After the fourth chapter, it is finally completed. We also discuss the possible influence of leverage ratio management in the fifth chapter from the two angles of evolution and theoretical deduction. From the experience of leverage rate implementation, although many difficult problems and uncertainties are faced by countries in the process of implementation, the leverage ratio management is generally speaking. In order to discuss the effect of leverage management in theory, we analyze the effect of the credit supply side and the credit demand side in two angles. At the supply side, we build a risk weighted capital adequacy ratio and the horizontal bar based on the model of Kiema and Jokivuolle (2014). The theoretical model of the double capital requirement of the rod rate is to discuss the effect of leverage rate regulation on asset prices and risk conditions under a fully competitive banking market structure. Through analysis we find that the introduction of leverage regulation can promote the whole banking industry to develop in the direction of risk specialization, if the level of leverage ratio is regulated. The introduction of a more reasonable level of leverage regulation can indeed inhibit the rise in asset prices and also reduce the risk of the entire banking sector, that is, the "price effect" and "risk effects" in leverage management policies, which theoretically shows that we can effectively prevent leverage by controlling leverage. But if the level of leverage is too low or too high to have an adverse impact on the economy, it also requires that we have to carefully set the level of leverage to maximize the balance of revenue and costs. A simple cross term optimization model containing financing constraints is taken as an example of the loan value ratio (LTV) upper limit management as an example to explore the theoretical effect of leveraging management at the credit demand side. In addition to the direct effect, it also has a positive impact on the demand for collateral, that is, the "credit demand effect". In addition, in this part, we also discuss the influence of the credit demand end leverage management in the qualitative aspect, and point out that the qualitative management of the leverage ratio can be used by the "scarcity effect" and "structural effect" to the collateral. On the basis of these discussions, we formally started the construction of the leverage ratio management framework in the sixth and seventh chapters. Therefore, in the sixth chapter, we first clearly defined the policy implications and the components of leverage ratio management, and discussed the problem of the selection and calculation of the bar rate index in detail. In the last two sections of this chapter, we also discuss the selection and setting and adjustment of leverage management tools in detail so as to provide guidance for the full use of leverage management tools. On the basis of the completion of these work, we are seventh This chapter begins with the construction and implementation of leverage ratio management framework to the relationship between leverage policy and other policies. Based on the cross characteristics of leverage ratio tools, we first focus on the relationship between the three policies of leverage ratio policy and risk weighted capital adequacy ratio, monetary policy and fiscal policy. After this, we also demonstrate the mechanism design of leverage ratio policy. In the last part of this chapter, we finally put forward the policy framework of leverage ratio management, thus completing the main purpose of the framework of leverage ratio management in this paper. After the completion of these main tasks, we are finally in the eighth chapter. This paper discusses the application of leverage ratio management framework in China. Along the sixth and seventh chapters, the leverage ratio management framework is constructed. In this chapter, we analyze the level of leverage ratio in various sectors of China and evaluate the current systemic risk situation in China from the perspective of leverage ratio and review the evolution of China's banking lever rate regulation. The process and implementation situation, and try to use the leverage cycle mechanism to explain the recent cycle of A shares and the real estate market cycle. In addition, we also have an empirical test on the policy effect of leverage management in China's banking industry and the real estate market. China's credit growth has been well controlled since the introduction of leverage regulation policy and the introduction of the second suite down payment ratio in the real estate market, and the bank's risk bearing behavior has been well constrained. The first chapters of the article demonstrate the effect of leverage management, and also show that China should further strengthen the leverage management of the credit supply side and the demand side in order to better prevent the generation and dissemination of systemic risk. At the end of the eighth chapter, we also discuss China's leverage management on the basis of the actual situation in China on the basis of chapter 6,7. Finally, in the ninth chapter, we summarize the whole contents of this thesis.
【學(xué)位授予單位】：中國(guó)人民大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832
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本文編號(hào)：2157766