【摘要】：2007-2009年全球金融危機肇始于美國次級貸款人對住房抵押貸款的大范圍違約,而危機在金融體系內(nèi)的蔓延則要歸因于銀行間市場出現(xiàn)流動性枯竭。流動性枯竭使得銀行間市場在金融機構(gòu)間平滑流動性的基本功能受到嚴(yán)重破壞,大量賴此獲取流動性的影子銀行機構(gòu)被迫清算資產(chǎn),導(dǎo)致金融資產(chǎn)出現(xiàn)賤價銷售(Fire-Sale)。資產(chǎn)價格大幅下跌產(chǎn)生的負(fù)外部性以及逐日盯市(Mark-to-market)的會計制度使得一些銀行等金融機構(gòu)陷入破產(chǎn)的境地。危機過后,學(xué)術(shù)界開始反思銀行間市場在此次危機中所起的作用,以期通過借助一些監(jiān)管措施來防范此類的再次發(fā)生。盡管此次全球金融危機對中國的影響較小,然而內(nèi)在的經(jīng)驗教訓(xùn)確實值得我們深思與學(xué)習(xí)。本文沿著這一方向進行思考,試圖系統(tǒng)研究銀行間市場影響金融穩(wěn)定的內(nèi)在機制。具體而言,本文集中于考察銀行間市場影響金融穩(wěn)定的三個關(guān)鍵機制：風(fēng)險分擔(dān)、市場約束與風(fēng)險傳染。當(dāng)金融體系面臨沖擊時,風(fēng)險分擔(dān)有利于維護金融穩(wěn)定,而市場約束與風(fēng)險傳染則會放大沖擊的影響,有礙于金融穩(wěn)定的維持。本文首先通過文獻梳理闡明三大機制的內(nèi)在邏輯,然后重點放在尋找相關(guān)機制的經(jīng)驗證據(jù),特別是中國背景下的經(jīng)驗證據(jù)�；谝粋�理想的自然實驗場景,本文為風(fēng)險分擔(dān)機制提供了實證支持；依據(jù)我國銀行業(yè)面板數(shù)據(jù),運用工具變量估計方法,本文研究發(fā)現(xiàn)我們銀行間市場存在市場約束；借助“錢荒”提供的事件研究基礎(chǔ),本文發(fā)現(xiàn)了銀行間市場風(fēng)險傳染的證據(jù)。
[Abstract]:The global financial crisis began in 2007-2009 when U.S. subprime lenders defaulted extensively on home mortgages, and the contagion of the crisis in the financial system was due to the drying up of liquidity in the interbank market. The depletion of liquidity has seriously undermined the basic function of interbank markets to smooth liquidity among financial institutions. A large number of shadow banking institutions that rely on this liquidity have been forced to liquidate their assets, which has led to the occurrence of low-price sales (Fire-Sale) of financial assets. The negative externalities of the sharp fall in asset prices and the Mark-to-market accounting system put some banks and other financial institutions into bankruptcy. After the crisis, academia began to reflect on the role of interbank markets in the crisis, with a view to preventing such recurrence through regulatory measures. Although the impact of the global financial crisis on China is small, the inherent lessons are indeed worth pondering and learning. This paper tries to systematically study the internal mechanism of the influence of interbank market on financial stability by thinking along this direction. Specifically, this paper focuses on the three key mechanisms of interbank market affecting financial stability: risk sharing, market constraints and risk contagion. When the financial system is faced with shocks, risk sharing is conducive to maintaining financial stability, while market constraints and risk contagion will amplify the impact of the impact and hinder the maintenance of financial stability. This paper first clarifies the internal logic of the three mechanisms through literature review, and then focuses on finding empirical evidence of the relevant mechanisms, especially in the context of China. Based on an ideal natural experimental scenario, this paper provides empirical support for the mechanism of risk sharing, according to the panel data of China's banking industry, using the tool variable estimation method, this paper finds that there are market constraints in our inter-bank market. This paper finds evidence of risk contagion in the inter-bank market with the help of the event research basis provided by the money shortage.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.33

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