区域性商业银行风险及监管创新
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摘要
金融危机之后,国际社会对既有金融监管体系进行了深刻的反思。政策制定者和学术界一致认为对单个金融机构的有效监管是必要的,但这并不能保障整个金融体系的稳定。为防范系统性金融风险,维护金融稳定,一国必须将宏观审慎监管纳入金融监管框架。在我国,中国人民银行、中国银行业监督管理委员会等监管当局及学术界也在进行宏观审慎监管方面的探索。从现有研究来看,我国既有的宏观审慎监管工具、政策主要是针对相对较大的银行业金融机构制定的。在我国银行业资产占金融体系总资产90%的背景下,银行业系统性风险将会对整个金融体系、经济体系产生重大影响。目前17家全国性商业银行的风险关联性是学者们关注的重点,而对144家城市商业银行的风险特征及风险外溢效应的研究相对较少。
近些年,我国区域性商业银行规模快速扩张,多家城市商业银行实现跨区域经营,部分城市商业银行成功上市,甚至有的城市商业银行已经在海外设立分支机构。城市商业银行已经是我国金融体系和经济发展中不可缺少的组成部分。那么城市商业银行发展具有哪些风险特征,这些风险是否会发生外溢,对商业银行体系乃至整个金融系统影响有多大,是否应将其纳入宏观审慎监管框架。围绕上述问题,本文运用理论分析和实证研究相结合的方法对区域性商业银行的发展现状、业务范围、风险特征、风险传染做了分析,在此基础上,综合运用金融不稳定理论、金融监管理论、银行之间风险传染理论等研究了我国宏观审慎监管向下拓展和延伸的可能性与必要性。
全文共七章：
第一章对本文的研究思路、研究内容、可能的创新点和不足做了说明。第二章对本文使用的金融不稳定理论、银行间风险传染理论、金融监管理论做了梳理。
第三章和第四章分析了我国区域性商业银行风险的特殊性。其中第三章主要通过实证分析研究了我国区域性商业银行的发展现状和发展过程中面临的风险特征。分析发现目前区域性商业银行主要经营资产业务、负债业务、中间业务等传统的业务,它通过同业存款、同业拆借、债券融资、债券投资、支付结算、票据贴现和转贴现、银团贷款、信用证等业务和其他银行发生关联。在发展过程中主要存在市场定位趋同化、资本补充渠道有限、中间业务落后、两级分化严重等问题。从风险层面看,资产质量不高、抗风险能力较差、盈利能力低是区域性商业银行面临的主要微观风险,巨额地方融资平台贷款是其面临的主要宏观风险。第四章主要分析了区域性商业银行风险外溢效应。该章首先对区域性商业银行风险传染路径做了分析,在此基础上基于银行间同业拆借数据运用矩阵法测度了我国区域性商业银行的风险传染效应。结果发现,在单银行诱导因素下,区域性商业银行会对全国性股份制商业银行发生不同程度的风险传染；在多银行诱导因素组下,区域性商业银行会对大型商业银行发生不同程度的风险传染。
第五章和第六章分析了我国宏观审慎监管框架向下延伸的必要性与可能性。其中第五章介绍了次贷危机之后各界对金融监管的反思及对宏观审慎监管的认识。在此基础上,通过对国内外区域性商业银行发生风险的案例分析,提出了在我国金融深化过程中,对我国宏观审慎监管进行拓展和延伸的必要性。第六章介绍了目前各国普遍实行的宏观审慎监管框架与基本原则。以美国和欧洲为例介绍了被普遍使用的宏观审慎工具。最后根据我国金融系统中风险的特殊性,提出了我国宏观审慎监管实际中存在的问题。第七章在总结全文的基础上,对我国宏观审慎监管框架向区域性商业银行的拓展和延伸提出了相应的政策建议。
论文主要在以下几个方面有所创新：第一,在对2008年全球金融危机金融不稳定和金融监管的反思基础上,研究了区域性商业银行风险外溢对我国银行体系稳定的影响,提出在我国宏观审慎监管设计中,需要进行有针对性的监管设计思路,并拓展了一般性宏观审慎监管框架；第二,在研究区域银行间风险传染时,拓展了矩阵法的使用范围,突破了以往研究时大多使用该方法测度银行风险传染的局限性。本文尝试将其用于分析区域性商业银行对全国性商业银行的风险外溢效应,其结论具有较好的解释性；第三,在政策建议中,提出我国金融稳定机制、宏观审慎监管机制和机构的设计上要考虑到本土性问题,除了风险阻断机制外,对商业银行要根据其规模进行差别化评级,推行杠杆管理,构建预警机制等。
After the financial crisis, the international community has made a deep reflection on the financial regulatory system. The policy makers and academics all agreed that the effective supervision on a financial institution is necessary, but which does not guarantee the stability of the entire financial system. In order to prevent systemic financial risks and maintain the stability of financial system, macro-prudential supervision must be included in the financial regulatory framework. In China, the People's Bank of China, China Banking Regulatory Commission and other regulatory authorities and academia have been exploring macro-prudential regulation. From the existing researches, the macro-prudential regulatory tools and policies have been formulated for relatively large banking financial institutions. Banking assets accounted for90%of the total assets of the financial system, if the banking systemic risk happened, that will have a significant impact on the entire financial system and the economy. The scholars have paid attention to the risk from the association of17national commercial banks. Relatively, the risk characteristics and the spillover effects of144city commercial banks have not been noted.
In recent years, the scale of regional commercial banks have expanded rapidly, a number of city commercial banks do cross-regional business, some of the city commercial banks successfully listed, and even some city commercial banks have set up branches overseas. The city commercial banks have been an integral part of the financial system and the economic development. What risk characteristics have been faced in the development of city commercial banks? Does the risk will spill out? What is the extent of impact on the commercial banking system and the whole financial system? Whether is it included in the framework of macro-prudential supervision. Around these problems, this paper analyzes the current development, business scope, risk characteristics, and the risk of infection of regional commercial banks with methods of theoretical analysis and empirical research. On this basis, we studied the possibility and necessity of expanding and extending of the macro-prudential supervision by the integrated use of the theories of financial instability, financial regulation, and the infection risk among banks.
The full text has seven chapters:
The first chapter has instructions on the research ideas, content, innovation and inadequate. The second chapter combs the theories used, including the theory of financial instability, inter-bank contagion, financial regulation.
Chapters III and IV have an analysis to the particularity of the risk faced by regional commercial bank. Chapter III studies the status and the risk characteristics during the development of regional commercial banks by empirical analysis.We find that regional commercial banks mainly do assets business, liability business and middle business, through interbank deposits, lending, bond financing, investments in bonds, payment and settlement, bills discount and rediscount, syndicated loans, letters of credit, they relate with other banks. In the development, regional commercial banks face that market positioning is similar, capital replenishment channels are limited, intermediate business is behind, polarization is serious. From the risk, which asset quality is not high, poor ability to resist risks, and low profitability is the main micro risks faced by the regional commercial banks, the huge local financing platform loans are their main macroeconomic risks.The fourth chapter analyzes the spillover effects of regional commercial bank risk. Firstly, It analysis the infection path of risk faced by regional of the commercial bank risk. Measuring the contagion effect of risk by the use of matrix method based on the inter-bank lending data. It was found that with a single bank-induced factor, regional commercial banks have an infection to the national joint-stock commercial banks in different degrees; with multi-bank-induced factor, regional commercial banks have an infection to large commercial banks in different degrees.
Chapters V and VI analysis the necessity and possibility of China's macro-prudential regulatory framework extending downward. Chapter V describes the reflection of the subprime mortgage crisis and understanding of the macro-prudential supervision. According to the analysis of the risk of regional commercial banks at home and abroad, the authors suggest that it is necessary to expand and extend the macro-prudential supervision in process of financial deepening in China. Chapter VI describes the framework and basic principles of macro-prudential regulatory. The widespread use of macro-prudential tools is introduced with examples of the United States and Europe. Finally, according to the special nature of the risks in the financial system in China, the problem of the application of macro-prudential supervision is researched. Chapter VII concludes the paper by giving suggestions on the extending of China's macro-prudential regulatory framework to regional commercial banks.
The main originalities of this paper are as follows:
First, on the basis of the reflection of financial instability and financial regulation after the2008global financial crisis, the author studies the impact on banking system stability of the risk spillover of regional commercial bank in China, suggests that the targeted ideas are needed in the design of China's macro-prudential supervision. Second, the author expands the scope of the use of the matrix method in interbank risk infection by applying the method on the analysis of the risk spillover of regional commercial bank to national bank. Third, the author suggests that we need to take into account local issues in the design of macro-prudential supervision mechanisms. In addition to risk blocking mechanism, we need to grade commercial banks according to their size, implement leveraged management, and build early warning mechanism.
近些年,我国区域性商业银行规模快速扩张,多家城市商业银行实现跨区域经营,部分城市商业银行成功上市,甚至有的城市商业银行已经在海外设立分支机构。城市商业银行已经是我国金融体系和经济发展中不可缺少的组成部分。那么城市商业银行发展具有哪些风险特征,这些风险是否会发生外溢,对商业银行体系乃至整个金融系统影响有多大,是否应将其纳入宏观审慎监管框架。围绕上述问题,本文运用理论分析和实证研究相结合的方法对区域性商业银行的发展现状、业务范围、风险特征、风险传染做了分析,在此基础上,综合运用金融不稳定理论、金融监管理论、银行之间风险传染理论等研究了我国宏观审慎监管向下拓展和延伸的可能性与必要性。
全文共七章：
第一章对本文的研究思路、研究内容、可能的创新点和不足做了说明。第二章对本文使用的金融不稳定理论、银行间风险传染理论、金融监管理论做了梳理。
第三章和第四章分析了我国区域性商业银行风险的特殊性。其中第三章主要通过实证分析研究了我国区域性商业银行的发展现状和发展过程中面临的风险特征。分析发现目前区域性商业银行主要经营资产业务、负债业务、中间业务等传统的业务,它通过同业存款、同业拆借、债券融资、债券投资、支付结算、票据贴现和转贴现、银团贷款、信用证等业务和其他银行发生关联。在发展过程中主要存在市场定位趋同化、资本补充渠道有限、中间业务落后、两级分化严重等问题。从风险层面看,资产质量不高、抗风险能力较差、盈利能力低是区域性商业银行面临的主要微观风险,巨额地方融资平台贷款是其面临的主要宏观风险。第四章主要分析了区域性商业银行风险外溢效应。该章首先对区域性商业银行风险传染路径做了分析,在此基础上基于银行间同业拆借数据运用矩阵法测度了我国区域性商业银行的风险传染效应。结果发现,在单银行诱导因素下,区域性商业银行会对全国性股份制商业银行发生不同程度的风险传染；在多银行诱导因素组下,区域性商业银行会对大型商业银行发生不同程度的风险传染。
第五章和第六章分析了我国宏观审慎监管框架向下延伸的必要性与可能性。其中第五章介绍了次贷危机之后各界对金融监管的反思及对宏观审慎监管的认识。在此基础上,通过对国内外区域性商业银行发生风险的案例分析,提出了在我国金融深化过程中,对我国宏观审慎监管进行拓展和延伸的必要性。第六章介绍了目前各国普遍实行的宏观审慎监管框架与基本原则。以美国和欧洲为例介绍了被普遍使用的宏观审慎工具。最后根据我国金融系统中风险的特殊性,提出了我国宏观审慎监管实际中存在的问题。第七章在总结全文的基础上,对我国宏观审慎监管框架向区域性商业银行的拓展和延伸提出了相应的政策建议。
论文主要在以下几个方面有所创新：第一,在对2008年全球金融危机金融不稳定和金融监管的反思基础上,研究了区域性商业银行风险外溢对我国银行体系稳定的影响,提出在我国宏观审慎监管设计中,需要进行有针对性的监管设计思路,并拓展了一般性宏观审慎监管框架；第二,在研究区域银行间风险传染时,拓展了矩阵法的使用范围,突破了以往研究时大多使用该方法测度银行风险传染的局限性。本文尝试将其用于分析区域性商业银行对全国性商业银行的风险外溢效应,其结论具有较好的解释性；第三,在政策建议中,提出我国金融稳定机制、宏观审慎监管机制和机构的设计上要考虑到本土性问题,除了风险阻断机制外,对商业银行要根据其规模进行差别化评级,推行杠杆管理,构建预警机制等。
After the financial crisis, the international community has made a deep reflection on the financial regulatory system. The policy makers and academics all agreed that the effective supervision on a financial institution is necessary, but which does not guarantee the stability of the entire financial system. In order to prevent systemic financial risks and maintain the stability of financial system, macro-prudential supervision must be included in the financial regulatory framework. In China, the People's Bank of China, China Banking Regulatory Commission and other regulatory authorities and academia have been exploring macro-prudential regulation. From the existing researches, the macro-prudential regulatory tools and policies have been formulated for relatively large banking financial institutions. Banking assets accounted for90%of the total assets of the financial system, if the banking systemic risk happened, that will have a significant impact on the entire financial system and the economy. The scholars have paid attention to the risk from the association of17national commercial banks. Relatively, the risk characteristics and the spillover effects of144city commercial banks have not been noted.
In recent years, the scale of regional commercial banks have expanded rapidly, a number of city commercial banks do cross-regional business, some of the city commercial banks successfully listed, and even some city commercial banks have set up branches overseas. The city commercial banks have been an integral part of the financial system and the economic development. What risk characteristics have been faced in the development of city commercial banks? Does the risk will spill out? What is the extent of impact on the commercial banking system and the whole financial system? Whether is it included in the framework of macro-prudential supervision. Around these problems, this paper analyzes the current development, business scope, risk characteristics, and the risk of infection of regional commercial banks with methods of theoretical analysis and empirical research. On this basis, we studied the possibility and necessity of expanding and extending of the macro-prudential supervision by the integrated use of the theories of financial instability, financial regulation, and the infection risk among banks.
The full text has seven chapters:
The first chapter has instructions on the research ideas, content, innovation and inadequate. The second chapter combs the theories used, including the theory of financial instability, inter-bank contagion, financial regulation.
Chapters III and IV have an analysis to the particularity of the risk faced by regional commercial bank. Chapter III studies the status and the risk characteristics during the development of regional commercial banks by empirical analysis.We find that regional commercial banks mainly do assets business, liability business and middle business, through interbank deposits, lending, bond financing, investments in bonds, payment and settlement, bills discount and rediscount, syndicated loans, letters of credit, they relate with other banks. In the development, regional commercial banks face that market positioning is similar, capital replenishment channels are limited, intermediate business is behind, polarization is serious. From the risk, which asset quality is not high, poor ability to resist risks, and low profitability is the main micro risks faced by the regional commercial banks, the huge local financing platform loans are their main macroeconomic risks.The fourth chapter analyzes the spillover effects of regional commercial bank risk. Firstly, It analysis the infection path of risk faced by regional of the commercial bank risk. Measuring the contagion effect of risk by the use of matrix method based on the inter-bank lending data. It was found that with a single bank-induced factor, regional commercial banks have an infection to the national joint-stock commercial banks in different degrees; with multi-bank-induced factor, regional commercial banks have an infection to large commercial banks in different degrees.
Chapters V and VI analysis the necessity and possibility of China's macro-prudential regulatory framework extending downward. Chapter V describes the reflection of the subprime mortgage crisis and understanding of the macro-prudential supervision. According to the analysis of the risk of regional commercial banks at home and abroad, the authors suggest that it is necessary to expand and extend the macro-prudential supervision in process of financial deepening in China. Chapter VI describes the framework and basic principles of macro-prudential regulatory. The widespread use of macro-prudential tools is introduced with examples of the United States and Europe. Finally, according to the special nature of the risks in the financial system in China, the problem of the application of macro-prudential supervision is researched. Chapter VII concludes the paper by giving suggestions on the extending of China's macro-prudential regulatory framework to regional commercial banks.
The main originalities of this paper are as follows:
First, on the basis of the reflection of financial instability and financial regulation after the2008global financial crisis, the author studies the impact on banking system stability of the risk spillover of regional commercial bank in China, suggests that the targeted ideas are needed in the design of China's macro-prudential supervision. Second, the author expands the scope of the use of the matrix method in interbank risk infection by applying the method on the analysis of the risk spillover of regional commercial bank to national bank. Third, the author suggests that we need to take into account local issues in the design of macro-prudential supervision mechanisms. In addition to risk blocking mechanism, we need to grade commercial banks according to their size, implement leveraged management, and build early warning mechanism.
引文
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1 2011年银监会年报.
2 不含交通银行,交通银行被归入大型商业银行。
3 2012年银监会年报
4 数据来源：中国银监会2012年境内银行金融机构资产负债情况表
1 2011年银监会年报
2 数据来源：中国银监会2012年商业银行主要监管指标情况表
1 数据来源：根据《中国金融年鉴2009》整理
1 《商业银行法》第3条。
1 2009-2012年天津银行年报。银监会公布的商业银行主要监管指标表。
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1 中国金融稳定报告2012年,第117页。
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2 吴军：余融稳定内涵综述及框架分析,外国经济与管理,2005年第3期。
3 2005年《中国金融稳定报告》,中国金融出版社。
Andrew Crockett:The Theory and Practice of Financial Stability, De Economist 144, No.4,1996.
1 李正辉、曾德利：金融稳定性评估体系的发展与方法论的演进,统计与决策,2009年第4期。
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1 肖崎：流动性、杠杆率与金融稳定,金融发展研究,2010年第10期。
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1 2011年银监会年报.
2 不含交通银行,交通银行被归入大型商业银行。
3 2012年银监会年报
4 数据来源：中国银监会2012年境内银行金融机构资产负债情况表
1 2011年银监会年报
2 数据来源：中国银监会2012年商业银行主要监管指标情况表
1 数据来源：根据《中国金融年鉴2009》整理
1 《商业银行法》第3条。
1 2009-2012年天津银行年报。银监会公布的商业银行主要监管指标表。
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1 中国金融稳定报告2012年,第117页。
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