摘要
二十一世纪以来的全球性金融危机和最近爆发的发达国家主权债务危机都和监管失灵有关,其本质原因在于危机前各个国家均秉承单个金融机构稳健则整个金融体系稳健的微观审慎监管理念。而实际上,金融机构的运营往往具有较强的负外部性,尤其在该金融机构与外界过度关联且参与较多复杂衍生品交易而导致杠杆率过高时,更是如此。鉴于金融监管的重大缺陷,新的监管理念便应运而生,这集中体现在Basel Ⅲ的推出及各个国家监管当局对自身监管格局的改革。因此,可以说宏观审慎监管无疑是当前金融实践领域最引人入胜的话题。中国金融体系虽然在国际金融危机中没有遭受直接的冲击,但其金融体系仍然存在较大的系统性风险隐患,具体表现在中国的高房价、影子银行体系和地方政府融资平台等。向前5-10年,中国的利率市场化改革、汇率市场化改革、经济增长方式转变及新型城镇化、金融开放、金融控股公司主导下的混业经营等新的制度变革和市场改革必将给金融稳定带来较大的冲击。因此,研究中国的宏观审慎监管框架有着很重要的现实意义,这正是本文的研究主题所在。
本文首先对国内外关于宏观审慎监管框架的相关文献进行述评,主要涵盖系统性风险测度的分类、影子银行体系、宏观审慎工具实践和宏观审慎政策的协调等方面。紧接着,本文介绍了Basel Ⅰ至Basel Ⅲ的监管理念转变并以此引入宏观审慎监管框架。宏观审慎监管框架包含五个要素：宏观审慎监管的目标、系统性风险监测、影子银行体系、宏观审慎工具、制度安排和政策协调。其中,宏观审慎监管的目标是框架的前提,系统性风险监测和影子银行体系则为框架的主体,前者是对传统金融体系的风险监测,后者则为更广义金融体系的风险监测。最后两个要素则是框架的目的,其属于对系统风险进行防范和监管的范畴。本文在宏观审慎监管框架中还着重介绍了宏观压力测试方法(针对系统性风险时间维度)和基于CCA调整的三部门资产负债表关联法(针对系统性风险横截面维度)。
对于宏观审慎监管框架的主体之一,本文主要是提出了三种系统性风险测度方法对我国金融体系系统性风险进行测算。首先,第四章介绍了简式法,主要实现过程如下：通过构建包含银行和政府监管当局的两期微观模型得出金融机构的系统性期望损失是度量其系统性风险贡献的指标；鉴于系统性危机发生的低频性和监测需要前瞻性等,本文通过常规时期的金融机构边际期望损失和杠杆率对其进行预测。实证过程中,本文通过变换危机定义区间、边际期望损失指标及预测样本对预测效果进行稳健性检验。其次,第五章提出了综合法,主要实现过程如下：在简式法的基础上,通过DCC-GARCH和蒙特卡洛模拟方法对我国金融机构的系统性期望损失进行单期和多期预测,并以此给出我国金融体系的系统性风险两个维度的测算。其中时间维度的测算指标为金融体系预测60期发生系统性危机的概率,由于其波动性较大、不稳定,不适宜作为监测指标；而横截面维度测算指标是以系统性期望损失为基础构建的SRISK%指标,其测算结果较为有效,并得出我国部分大型商业银行系统性风险水平最高,大部分股份制商业银行都表现出较强的系统重要性,城市商业银行的系统性风险水平最低。文中还得出系统重要性水平与边际期望损失、杠杆率和资产规模等因素相关,且杠杆率是最重要的因素。最后,第六章提出了结构法,主要实现过程如下：利用Merton期权定价公式得到的系统性违约距离和平均违约距离给出系统性风险的时间维度测算结果；利用各银行的违约距离结合有向无环图技术得到的基于DAG的资产加权风险外溢性指标和基于方程分解的资产加权风险外溢性指标给出系统性风险横截面维度测算结果。结论发现：从时间维度看,我国银行体系系统性风险在2007年9月以后显著增加,且在2008年10月达到最大值,之后逐渐下降,但危机后仍然高于危机前；从横截面维度看,大型国有商业银行的系统重要性最高、股份制商业银行次之、城市商业银行的系统重要性相对较低。本文从方法分类、测算结果、指标设计及测算复杂度等方面对以上三种测算方法进行了详细地对比。
对于宏观审慎监管框架的主体之二,本文沿着先分析发达国家影子银行体系,再探讨我国影子银行体系的思路进行研究。在分析发达国家影子银行体系时,本文主要研究了影子银行信用中介过程、基于此中介过程的影子银行监管原因分析、影子银行的监测和监管。影子银行中介过程通过为贷款发起、贷款仓储、ABS发行、ABS仓储、ABS CDO发行、ABS中介和批发融资等七个环节行使类似于传统银行的信用、期限、流动性转换功能,且本质上将风险资产转移成风险不敏感的高流动性负债(类货币)。本文基于影子银行发行的类货币负债(主要原因在于私人部门的流动性和信用担保,且存在信息不对称及信息摩擦)基础之上构建了包含效率水平的金融机构、传统银行和影子银行的三个金融机构风险决策模型来解释需要对影子银行进行监管的理由。模型发现,由于影子银行发行的负债为风险非敏感性,其承担了超过了发行风险敏感负债的有效率金融机构水平的资产风险、杠杆率及流动性风险。另外,相对于传统银行来说影子银行不受资本金监管,这导致了在正常时期影子银行承担了比传统银行更高的资产风险、杠杆率及流动性风险。因此,需要对影子银行进行监管。监管的前提是对影子银行的系统性风险进行监测,为此可以通过逐步深入的方法：对整个影子银行体系的运行特征进行宏观认识和把握：识别影子银行体系的系统性风险因子和监管套利；对影子银行体系的系统性风险和(或)监管套利详细评估。在对影子银行体系的监测之后,需要从以下五个领域对影子银行进行监管：常规银行体系和影子银行体系的相互作用；货币市场基金；除货币市场基金以外的其它影子银行实体；证券化；证券借贷和回购。发达国家的影子银行体系在表现形式、融资模式、运行机制、规模、投资标的及杠杆率等方面和我国有较大的不同,因此需要针对性地研究我国的影子银行体系。研究发现,我国影子银行体系的最重要组成部分是银行表外理财业务,且由于以下三个原因导致其最近几年迅速扩张：投资者财富的增加、收入差距的拉大以及有限的保值增值投资渠道等因素促使了对银行理财产品的需求快速增加；实体经济尤其是中小企业对资金需求已经远远超过有限的银行信贷；银行监管套利动机驱使银行理财产品的迅速发展。银行表外理财业务飞速发展是我国利率市场化的外在表现。银行理财产品业务的风险包括期限错配导致的流动性风险、影子银行中介机构的通道风险、资产池对应的信用风险、银行理财产品缺乏托管的操作风险、以及银行对其理财产品的隐形担保所承担的声誉风险和市场风险。因此,应对我国影子银行的以上风险进行相应的监管,宜疏不宜堵。
对于宏观审慎监管框架的目的研究,本文主要侧重于研究宏观审慎工具及其协调机制。本文利用IMF对各个国家实施的宏观审慎工具的调查数据分析了宏观审慎工具的类型、使用方法及有效性,并基于此探讨了我国的宏观审慎监管实践。宏观审慎工具主要包括信贷相关、流动性相关和资本金相关等三类,使用方法一般是多种工具联合使用方式、不针对具体目标的使用方式以及相机抉择的使用方式。经济发展程度低、金融部门规模小、固定汇率制度及资本流动冲击大的国家使用宏观审慎工具的频率更高。对宏观审慎工具有效性的研究发现大部分宏观审慎工具是有效的。基于以上结论,本文探讨了我国宏观审慎工具针对房地产价格风险的有效性,并提出了相应的政策建议。
在研究宏观审慎工具的协调机制时,本文先研究了宏观审慎工具的传导机制及宏观审慎政策与货币政策的相互作用。与货币政策的传导机制不同的是,宏观审慎政策的传导机制与宏观审慎工具以及金融周期相关。三种紧缩的宏观审慎政策工具都能有效地进行传导,且市场参与者的预期因素在其中起着非常重要的作用。宽松的宏观审慎政策传导机制,应区分危机时期和非危机时期：非危机时期紧缩的宏观审慎政策是有效的,且传导机制和紧缩的宏观审慎政策完全相反；危机时期的宽松宏观审慎政策依赖于“棘轮效应”存在的程度。当“棘轮效应”存在时,宽松的宏观审慎政策是有效的；当“棘轮效应”不存在时,宽松的宏观审慎政策的实施效果类似于衰退时期的货币政政策,效果并不理想。另外,预期因素使得宽松的货币政策具有一定的有效性。宏观审慎政策和货币政策是相互作用的：宏观审慎政策的执行有利于危机时期的货币政策的传导,且避免其陷入0下界风险；货币政策通过影响借款抵押限制、银行风险承担渠道、资产价格负外部性和汇率负外部性,从而影响金融稳定。本文利用中国银行业数据研究了银行的风险承担渠道,并基于此分析了货币政策与宏观审慎政策的协调问题。
The global financial crisis since the twenty-first century and the recent sovereign debt crisis across the developed countries can all be somewhat attributed to regulatory failures. The essential reason lies in the micro-prudential regulatory philosophy taken by the pre-crisis countries that sound individual financial institutions make a sound financial system as a whole. In fact, operations of a financial institution often generate large negative externalities, especially when it's over-connected with the outside world and involved in complex derivatives trading with excessive leverage. In response to the significant deficiencies in the financial regulation, a new regulatory concept comes into being, and is reflected in the Basel III and the reform of the regulatory pattern by the national regulatory authorities. Therefore, we can say that the macro-prudential regulation is a most fascinating topic in the financial sector. Although China's financial system has not suffered direct losses in the global financial crisis, there are still systemic risk problems. The high house prices, shadow banking system and local government financing platform, for instance, are all risk factors in China's financial system. Forward5-10years, a series of prospective reform in China, including its interest rate and exchange rate liberalization, transformation of its economic growth mode, new urbanization, financial openness, and mixed operations under financial holding company, is bound to challenge its financial stability. In that sense, a study on the macro-prudential regulatory framework in China, which is right the theme of this dissertation, has great practical significance.
This dissertation starts with a review of domestic and foreign literature on the macro-prudential regulatory framework, mainly covering the measures of systemic risk, the shadow banking system, the macro-prudential tools practice and macro-prudential policy coordination. Thereafter, it describes the regulatory "philosophy evolution from Basel I to Basel III and thus introduces the concept of macro-prudential regulation. The macro-prudential regulatory framework consists of five elements:objectives, systemic risk measure, shadow banking system, macro-prudential instruments, institutional arrangements and policy coordination. The objective is the premise of the macro-prudential framework. Systemic risk measure and shadow banking system are the main body of the framework, of which the former is risk monitoring on the traditional financial system, while the latter is risk monitoring on the broader financial system. The last two elements are the purpose of the macro-prudential framework, designed to prevent and regulate systemic risk. This part also covers macro stress testing methods (addressing the time dimension of systemic risk) and CCA-based adjustment of balance sheet in three sectors (addressing the cross-sectional dimension).
For one main body of the macro-prudential regulation framework, this dissertation devotes a large part to explore the measure of systemic risk in our financial system in three ways. Chapter four introduces the reduced form, which works as follows:a two-period microscopic model of banks and regulatory authorities is built to find out that the systemic expected loss of a financial institution is a measure of its contribution to systemic risk. In view of the low-frequency of the systemic crisis and the fact that monitoring has to be forward-looking, the marginal expected loss and the leverage ratio in the normal time are used to predict the systemic expected loss. The robustness of the prediction is empirically checked by varying the crisis definition, the indicators of marginal expected loss and the prediction sample. Chapter five introduces the integrated method, which works as follows:on the basis of the reduced form, DCC-GARCH and Monte Carlo simulation are used to measure the systemic expected loss of China's financial institutions in single or more periods, and to estimate the systemic risk of China's financial system in both dimensions. The estimate indicator in the time dimension is the probability of a systemic crisis in the financial system in60-period prediction. Due to its volatility and instability, this indicator is unsuitable for monitor indicators. The estimate indicator in the cross-sectional dimension is SRISK%:some of the large commercial banks in China face the highest level of systemic risk; most of the joint-stock commercial banks show strong systemic importance; the city commercial banks have the lowest level of systemic risk. The level of systemic importance, marginal expected loss and leverage are correlated to asset size, and leverage is the most important factor. Chapter six introduces structure method, which works as follows:in the time dimension, systemic default distance and average default distance are given with Merton option pricing formula; in the cross-sectional dimension, asset-weighted spillover risk indicators based on Directed Acyclic Graph(DAG) and based on the equation decomposition are given, with the default distance of the sample banks. It finds that the systemic risk of our banking system experienced a significant increase after September2007, peaked in October2008, and then decreased gradually, but still higher than before the crisis. Regarding the systemic importance of China's banks, large state-owned commercial banks are the most important, followed by joint-stock commercial banks, and city commercial banks the least important. In the end, an all-round comparison is made among those three methods, in terms of classification, measure results, indicators and calculation complexity.
For the other main body of the macro-prudential regulation framework, this dissertation first gives an analysis of the shadow banking system in the developed countries and then discusses the shadow banking system in China. It analyzes the credit intermediation and the regulation of shadow banking in the developed countries. The shadow banking credit intermediation consists of seven steps (Mortgage Origination, Mortgage Warehousing, ABS Issuance, ABS Warehousing, ABS CDO Issuance, ABS Intermediation and Wholesale Funding). By these seven steps, it realizes credit, term, and liquidity transformation and essentially tranfers risky assets into high-liquid liabilities that are risk-insensitive. In this part, based on the monetary liabilities (mainly due to liquidity and credit guarantees in the private sector, as well as information asymmetry and information friction) issued by the shadow banking, a Risk Decision Model containing efficiency financial institutions, traditional banks and shadow banks is built to explain the reasons for the need to regulate the shadow banking. For one thing, the shadow banks issue risk-insensitive liabilities, and thus take more asset risk, leverage risk and liquidity risk than the efficiency financial institutions which issue risk-sensitive liabilities. For another thing, different from the regular banking which receives capital regulation, the shadow banking is unregulated. As a result, in normal times, the shadow banks take higher asset risk, leverage risk and liquidity risk than the regular banks. Therefore, we need to strengthen supervision on the shadow banking. The steps to monitor shadow banking system include: Scanning and mapping of the overall shadow banking system; Identification of the aspects of the shadow banking system posing systemic risk or regulatory arbitrage concerns; Detailed assessment of systemip risk and/or regulatory arbitrage concerns. Supervision of systemic risk in the shadow banking system should target at five areas: the spill-over effect between the regular banking system and the shadow banking system, money market funds (MMFs), other shadow banking entities, securitization, secured financing contracts such as repos and securities lending. The shadow banking system in developed countries are quite different from that in China, for instance, in structure, financing model, operating mechanism, scale, investment targets and leverage. The bank's off-balance sheet wealth management business is the most important part of China's shadow banking system, and there are three main reasons for its rapid growth in recent years. First, from the capital pool, there is a rapid increase in demand for financial products by investors, due to the increase in wealth and in income gap and the limited investment channels. From the asset pool, the demand for funds by the real economy, especially small and medium-sized enterprises, has gone far beyond the limited bank loans. From the bank side, the regulatory arbitrage motivates the rapid growth of financial products. Overall, the rapid growth in financial products is an external expression of the interest rate liberalization in China. Bank financial products business poses risks, such as liquidity risk caused by maturity mismatch, channel risk of shadow banking intermediaries, the credit risk of the asset pool, operational risk due to lack of custodian for its financial products, as well as reputation risk and market risk due to implicit guarantee on its financial products. On the whole, China's shadow banking should be regulated in a targeted way, and it should not be blocked but guided.
For the objective of the macro-prudential regulation framework, this research focuses on the macro-prudential instruments and their coordination. IMF survey data is used to analyze the category, application and effectiveness of the instrumnets. Based on this analysis, practice on the macro-prudential regulation in China is discussed. The most commonly used macro-prudential instruments can be categorized as credit-related instruments, liquidity-related instruments and capital-related instruments. These tools are usually used in combination, not targeted at specific objectives, and based on the discretion. In general, macro-prudential tools are more frequently employed in the countries which have a low level of economic development, a small-sized financial sector, and a fixed exchange rate regime and which are subject to large capital flows. The research also finds that most of the macro-prudential tools are effective. On the basis of those results, this part also explores some macro-prudential tools that may be effective in response to China's real 'estate price risk.
Finally, discussion on the coordination mechanism of macro-prudential insruments starts with the transmission of macro-prudential policy and the interaction between macro-prudential policy and monetary policy. Different from monetary policy, the transmission of macro-prudential policy is related to the tools used and the financial cycle. The tightening macro-prudential policies can all be effectively transmissed, expectation of market participants playing a very important role. The transmission of loose macro-prudential policy differs in crisis time and non-crisis time. In non-crisis time, loose macro-prudential policy is effective and its transmission is opposite to tightening macro-prudential policy. In times of crisis, loose macro-prudential policy depends on the existence of the "ratcheting-up effect". It is effective when the "ratcheting-up effect" exists; otherwise, it is similar to the monetary policy during the recession, and not much effective. The expectation factor gives loose monetary policy certain validity. The macro-prudential policy and monetary policy interact with each other:the macro-prudential policy is conducive to the transmission of monetary policy in times of crisis, protecting its policy rate against lower-bound constraint; meanwhile, monetary policy affects financial stability through its effect on the borrower's mortgage limit, banks' risk-taking channel, and the negative externalities of asset prices and exchange rate. This research explores the bank's risk-taking channel, using data on China's banking, and discusses the coordination between monetary policy and macro-prudential policy.
引文
① 三级资本由1996年的《资本协议市场风险补充规定》首次提出。
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