保险业顺周期性监管研究
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摘要
顺周期性是全球金融危机的重要原因之一，最初产生于以风险为基础的资本充足率制度。我国保险业正在推进以风险为基础的第二代偿付能力监管制度建设（简称―偿二代‖），顺周期性监管是宏观审慎监管背景下―偿二代‖必须解决的重大课题。顺周期性是一种放大金融市场波动的正向反馈机制，分为市场自我反馈的内生顺周期性和监管制度的外生顺周期性。作为宏观审慎监管的对象，保险业顺周期性中的―周期‖应特指―系统风险周期‖。保险业顺周期性监管应在繁荣时期抑制保险业的系统风险隐患，在危机时期降低保险业对系统风险的强化作用。考察保险业顺周期性，需要依托适合保险业特征的系统风险理论框架。系统风险是金融服务的损害或中断产生的风险，对实体经济存在潜在的负面影响。系统风险的演化过程经历了共同冲击、传染效应和顺周期性三个阶段。通过系统风险业务和准系统风险业务，保险业卷入了系统风险链条。定性分析和定量模拟显示，保险行业存在内生顺周期性；以风险为基础的偿付能力监管制度存在外生顺周期性。考虑到保险业的负债特点，短期流动性冲击需要重点关注。
保险业需要个性化的顺周期性监测体系和监管工具。顺周期性监测的目标是系统风险给保险业造成的损害对系统风险自身的强化作用，职能包括识别、度量、预警和提供监管参数，方法为间接的关联性分析，指标体系包括系统风险深度、顺周期冲击强度和保险反馈强度三个方面。顺周期性监管应区别监管对象制定不同的目标，根据风险冲击的持久性制定监管原则，以逆向性和缓释性为监管效果的评价标准。监管资本方面，可使用逆周期缓释因子（Couter Cyclical Mitigator）平滑短期波动的人为干扰；资产和负债的认可标准应作去风险化处理。监管资本方面，应避免建立顺周期性的偿付能力控制层级；针对系统风险业务计提超额资本，出口信用保险还可适用逆周期缓冲资本。或有支付义务造成的短期流动性风险，可适用―流动性先周期比率‖（Liquidity Pre-cycle Ratio）监管。顺周期性监管的启动和退出方式应以规则导向为主，严格限制相机抉择的适用条件。顺周期性监测应加强宏观审慎监管机构之间的协调合作，顺周期性监管则须由保险监管机构承担责任。
Procyclicality is one of the important sources for the global financial crisis, arising fromrisk-based capital adequacy regime. Earmarked with the risk-based nature, China RiskOriented Solvency System (C-ROSS) is under way for Chinese insurance industry.Procyclicality is one of the key issues that the C-ROSS has to solve in the context of themacroprudential supervision. Procyclicality is a positive feedback mechanism exaggeratingvolatility of financial markets, including endogenous procyclicality reflecting internalfeedback of market and exogenous procyclicality caused by the supervisory regime. The―cycle‖in the―insurance procyclicality‖that is targeted by the macroprudential supervisionshould be designated to the―cycle of systemic risks‖. Supervision over insuranceprocyclicality should aim at mitigating potential systemic risks at booming times whiledampening the amplification of systemic risks by the insurance industry during the crisis. Thesystemic risks are risks arising from damages or suspension of financial services, which harmthe real economy with potential negative impacts. The systemic risks evolve with three stagesof common shocks, contagion effects and procyclicality. The insurance industry engages inthe chain of the systemic risks through businesses of systemic risk and quasi-systemic risk.Qualitative analysis and quantitative simulation show that the endogenous procyclicalityexists for the insurance industry and the exogenous procyclicality exists for the risk-basedsolvency regimes. Given the characteristics of insurance liability, short-terms liquidity shocksshould receive due concerns.
Insurance needs customized monitoring system and supervisory tools for theprocyclicality. The procyclicality monitoring should aim at the exaggeration of systemic risksthat the damages to insurance, caused by the systemic risks, incur. The monitoring systemshould function to identify measure and alter the system risks and provide parameters forsupervisory intervention. The monitoring indicators should cover depth of systemic risks,density of procyclicality shocks and density of insurance feedback. Supervision ofprocyclicality should make differentiated goals for different objects, follow different principles in line with different shock persistence and be judged with two criteria of reversedirection and mitigating forces. Counter Cyclical Mitigator may apply to capital requirementto smooth the man-made harass of short-term volatility. Recognition rules for assets andliabilities should be de-risked. Solvency control levels should not be designed withprocyclicality. Extra capital charge should be allowed for those businesses of systemic riskwhile counter cyclical capital buffer may apply to export credit insurance in particular. Theshort-term liquidity risks produced by contingent payment obligations may be subject toLiquidity Pre-cycle Ratio. Entrance and exit of procyclicality measures should dominantlyfollow the rule-based principle and strictly limit use of supervisory discretion.Macroprudential bodies should cooperate to monitor the procyclicality while the insurancesupervisor should undoubtfully undertake the responsibility of supervisory intervention.
保险业需要个性化的顺周期性监测体系和监管工具。顺周期性监测的目标是系统风险给保险业造成的损害对系统风险自身的强化作用，职能包括识别、度量、预警和提供监管参数，方法为间接的关联性分析，指标体系包括系统风险深度、顺周期冲击强度和保险反馈强度三个方面。顺周期性监管应区别监管对象制定不同的目标，根据风险冲击的持久性制定监管原则，以逆向性和缓释性为监管效果的评价标准。监管资本方面，可使用逆周期缓释因子（Couter Cyclical Mitigator）平滑短期波动的人为干扰；资产和负债的认可标准应作去风险化处理。监管资本方面，应避免建立顺周期性的偿付能力控制层级；针对系统风险业务计提超额资本，出口信用保险还可适用逆周期缓冲资本。或有支付义务造成的短期流动性风险，可适用―流动性先周期比率‖（Liquidity Pre-cycle Ratio）监管。顺周期性监管的启动和退出方式应以规则导向为主，严格限制相机抉择的适用条件。顺周期性监测应加强宏观审慎监管机构之间的协调合作，顺周期性监管则须由保险监管机构承担责任。
Procyclicality is one of the important sources for the global financial crisis, arising fromrisk-based capital adequacy regime. Earmarked with the risk-based nature, China RiskOriented Solvency System (C-ROSS) is under way for Chinese insurance industry.Procyclicality is one of the key issues that the C-ROSS has to solve in the context of themacroprudential supervision. Procyclicality is a positive feedback mechanism exaggeratingvolatility of financial markets, including endogenous procyclicality reflecting internalfeedback of market and exogenous procyclicality caused by the supervisory regime. The―cycle‖in the―insurance procyclicality‖that is targeted by the macroprudential supervisionshould be designated to the―cycle of systemic risks‖. Supervision over insuranceprocyclicality should aim at mitigating potential systemic risks at booming times whiledampening the amplification of systemic risks by the insurance industry during the crisis. Thesystemic risks are risks arising from damages or suspension of financial services, which harmthe real economy with potential negative impacts. The systemic risks evolve with three stagesof common shocks, contagion effects and procyclicality. The insurance industry engages inthe chain of the systemic risks through businesses of systemic risk and quasi-systemic risk.Qualitative analysis and quantitative simulation show that the endogenous procyclicalityexists for the insurance industry and the exogenous procyclicality exists for the risk-basedsolvency regimes. Given the characteristics of insurance liability, short-terms liquidity shocksshould receive due concerns.
Insurance needs customized monitoring system and supervisory tools for theprocyclicality. The procyclicality monitoring should aim at the exaggeration of systemic risksthat the damages to insurance, caused by the systemic risks, incur. The monitoring systemshould function to identify measure and alter the system risks and provide parameters forsupervisory intervention. The monitoring indicators should cover depth of systemic risks,density of procyclicality shocks and density of insurance feedback. Supervision ofprocyclicality should make differentiated goals for different objects, follow different principles in line with different shock persistence and be judged with two criteria of reversedirection and mitigating forces. Counter Cyclical Mitigator may apply to capital requirementto smooth the man-made harass of short-term volatility. Recognition rules for assets andliabilities should be de-risked. Solvency control levels should not be designed withprocyclicality. Extra capital charge should be allowed for those businesses of systemic riskwhile counter cyclical capital buffer may apply to export credit insurance in particular. Theshort-term liquidity risks produced by contingent payment obligations may be subject toLiquidity Pre-cycle Ratio. Entrance and exit of procyclicality measures should dominantlyfollow the rule-based principle and strictly limit use of supervisory discretion.Macroprudential bodies should cooperate to monitor the procyclicality while the insurancesupervisor should undoubtfully undertake the responsibility of supervisory intervention.
引文
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1.蔡秋杰：《保险供求互动关系的一般特征及其原因分析》，《江西财经大学学报》，2005年第3期。
2.曹乾、何建敏：《保险增长与经济增长的互动关系:理论假说与实证研究》，《上海金融》，2006年第3期。
3.陈磊：《中国经济周期波动的测定和理论研究》，东北财经大学出版社，2006年。
4.耿蕴洁：《我国保险业顺周期效应研究》，《海南金融》，2011年第9期。
5.龚敏、李文溥：《中国经济波动的总供给和总需求冲击作用分析》，《经济研究》，2007年第11期。
6.龚刚，林毅夫：《过度反应：中国经济―缩长‖之解释》，《经济研究》，2007年第4期。
7.何浩：《商业银行应对经济周期下行的国际经验及对中国的启示》，《国际金融研究》，2009年第6期。
8.滑静，肖庆宪：《我国商业银行亲周期性的实证研究》，《上海理工大学学报》，2007年第29期。
9.黄华盈：《保险业顺周期的机理与缓释措施研究》，西南财经大学硕士论文，2011年4月。
10.胡三明，吴洪：《我国非寿险业承保周期研究》，《保险研究》，2007年第9期。
11.冀玉娜，郑海涛：《中国非寿险市场承保周期的存在性研究》，《北京航空航天大学学报》，2009年第4期。
12.蒋定之：《经济周期背景下银行业监管的新方向》，北大CCISSR论坛讲话，2010年4月13日。
13.金文莉：《中国金融系统风险分析及其防范措施研究》，《特区经济》，2012年6月。
14.李斌，王小龙：《体制转轨，经济周期与宏观经济运行》，《中国经济周期研究报告》，社会科学文献出版，2006年。
15.李红坤：《保险投资顺周期性及其顺周期性缓释方法研究》，《金融发展研究》第9期，2012年。
16.李毅文：《后危机时代保险业顺周期性监管问题研究》，《福建金融》，2013年第3期。
17.李勇：《中国经济周期波动的实际轨迹:一个理论框架-基于市场成长的视角》，《南开经济研究》，2010年第3期。
18.林悦好,王海艳：《偿付能力资本需求——基于中国财险公司的实证分析》，2011年4月。
19.刘超，刘志威：《保险业顺周期性和顺周期性监管：理论、形成机制和应对策略》，《上海金融》，2010年第11期。
20.刘超，孟涛：《证券监管的策略因应：自顺周期与顺周期性生发》，《改革》，2010年第7期。
21.刘瑞明：《中国经济的体制困境与波动形成:一个理论框架及其检验》，《财经科学》,2009年第12期。
22.刘树成：《中国经济周期研究报告》，社会科学文献出版社，2006。
23.刘涛：《中国经济波动的信贷解释：增长与调控》，《世界经济》，2005年第1期。
24.鹿波：《中国上市公司违约率的顺周期效应实证研究——评佑巴塞尔协议Il商业银行信贷亲周期性及其对货币政策调控的影响参考文献效应的初步尝试》，《金融论坛》，2009。
25.鹿波，李昌琼：《资本充足率对我国商业银行货款损失准备金计提行为的影响—顺周期效应与熨平收入效应的考察》，《武汉金融》，2009年第6期。
26.苗文龙，陈卫东：《财政政策、货币政策与中国区域经济周期异步性》，《中国经济问题》，2010年。
27.庞加磊：《我国保险业偿付能力顺周期性监管研究——基于保险投资风险顺周期性的视角》，西南财经大学硕士论文，2012年4月。
28.齐鹰飞，王宪勇：《技术冲击与中国经济周期波动》，《财经问题研究》，2008年11月。
29.邵全权：《经济波动与保险业的非线性增长效应》，《当代经济科学》，2012年9月，第34卷第5期。
30.史丽媛：《保险与经济增长引致关系研究》，《生产力研究》，2012年第1期。
31.孙祁祥、郑伟、肖志光:《保险周期和经济周期》，《数量经济技术经济研究》，2011年第3期。
32.王波，史安娜：《非寿险市场的承保周期研究及在中国的检验》，《上海金融》，2006年第7期。
33.王建军：《Markov机制转换模型研究及其在经济周期分析中的应用》，厦门大学博士论文，2007年。
34.王磊、李勇、王满仓：《中国经济周期的双重性波动》，《当代经济科学》，2010年第5期。
35.王丽珍、李秀芳、郭思文：《中国非寿险业承保利润周期根源探析》，《保险研究》，2010年第9期。
36.王兆星，韩明智，王胜邦（中国银监会课题组）：《建立反周期资本监管框架，缓解亲经济周期效应》，《中国金融》，2010年第4期。
37.吴洪：《承保周期理论研究述评》，《保险职业学院学报》，2010年第1期。
38.吴洪、赵桂芹：《保险发展、金融协同和经济增长:基于省级面板数据的研究》，《经济科学》，2010年第3期。
39.谢志超、杜江:《中国保险市场与金融发展互动关系的实证研究》，《当代经济科学》，2006年第3期。
40.徐高：《斜率之谜：对中国短期总供给/总需求曲线的估计》《世界经济》，2008年第1期。
41.殷剑峰：《中国经济研究：1954-2004》，《管理世界》，2006年第3期。
42.杨海林、顾永立:《我国保险行业发展周期性特征背离及其原因剖析》，《商业时代》，2009年第1期。
43.袁江、张成思：《强制性技术变迁、不平衡增长与中国经济周期模型》，《经济研究》，2009年第12期。
44.张连成：《经济周期波动的制度原因与平抑经济周期的制度安排》，《中国经济周期研究报告》，2006。
45.张琳、唐林娟：《我国产险业承保周期》，《系统工程》，2012年12月，第30卷，第12期。
46.张琳、朱园丽：《中国机动车辆保险承保周期存在性分析》，《中国经济评论》，2007年第2期。
47.张琳、朱园丽：《机动车辆保险承保周期的回归模型分析》，《财经理论与实践》，2009年第30期。
48.张颖：《中国保险发展的周期性及影响因素的计量研究》，吉林大学博士论文，2010年4月。
49.赵光毅：《系统风险的演化机制》，《金融博览》，2013年第2期。
50.赵光毅、王锐：《顺周期效应与保险监管》，《保险研究》，2010年第3期。
51.赵捷：《薪酬激励的作用机理及效果判断》，《中小企业管理与科技》，2010年第5期。
52.中国投资咨询网，《银行间同业业务规模攀升》，2012年12月18日。
53.周炼石：《技术冲击经济周期：中国经济长期增长的主导因素》，《上海经济研究》，2008年第8期。
54.周小川：《关于改变宏观和微观顺周期性的进一步探讨》，《中国金融》，2009年第8期。
1.《中华人民共和国保险法》，2009年2月28日修订。
2.中国保险监督管理委员会，《保险公司薪酬管理规范指引试行》（保监发[2013]42号）。
3.-----------------------------------，《中国保监会关于印发〈中国第二代偿付能力监管制度体系整体框架〉的通知》（保监发[2013]42号）。
4.-----------------------------------，《关于保险业做好〈企业会计准则解释第2号〉实施工作的通知》（保监发〔2010〕6号）。
5.-----------------------------------，《保险公司偿付能力额度及监管指标管理规定》（保监会令（2003）1号）。
6.-----------------------------------，《保险公司偿付能力编报规则（2009）》，2009年。
7.中国银行业监督管理委员会，《中国银监会关于加强当前重点风险防范工作的通知》（银监发[2010]98号）。
8.----------------------------------------，《商业银行稳健薪酬监管指引》，（银监发[2010]14号）。
9.中华人民共和国财政部，《企业会计准则》，2006年。
10.------------------------------，《《保险合同相关会计处理规定》，2009年12月22日。
9数据来自《中国统计年鉴》。
10《2012年金融机构贷款投向统计报告》，中国人民银行。
12《全球金融稳定报告》，IMF，2012。
13中国投资咨询网，2012。
14《全球金融稳定报告》，IMF，2012。
15《中国影子银行体系发展状况研究（中期报告）》，中国社会科学院世界经济与政治研究所国际金融研究中心课题组。
16“10月近五成银行理财产品收益率超5%”，金牛理财网，2013年10月23日。
17“信托杠杆率走高撬动增资潮今年至少7公司扩股”，《经济导报》，2013年10月09日。
19《中国金融稳定报告2012》，中国人民银行。
20―Shadow Insurance Schemes Multiply to$360bn‖，Alistair Gray，Financial Times, September30,2013.
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42.杨海林、顾永立:《我国保险行业发展周期性特征背离及其原因剖析》，《商业时代》，2009年第1期。
43.袁江、张成思：《强制性技术变迁、不平衡增长与中国经济周期模型》，《经济研究》，2009年第12期。
44.张连成：《经济周期波动的制度原因与平抑经济周期的制度安排》，《中国经济周期研究报告》，2006。
45.张琳、唐林娟：《我国产险业承保周期》，《系统工程》，2012年12月，第30卷，第12期。
46.张琳、朱园丽：《中国机动车辆保险承保周期存在性分析》，《中国经济评论》，2007年第2期。
47.张琳、朱园丽：《机动车辆保险承保周期的回归模型分析》，《财经理论与实践》，2009年第30期。
48.张颖：《中国保险发展的周期性及影响因素的计量研究》，吉林大学博士论文，2010年4月。
49.赵光毅：《系统风险的演化机制》，《金融博览》，2013年第2期。
50.赵光毅、王锐：《顺周期效应与保险监管》，《保险研究》，2010年第3期。
51.赵捷：《薪酬激励的作用机理及效果判断》，《中小企业管理与科技》，2010年第5期。
52.中国投资咨询网，《银行间同业业务规模攀升》，2012年12月18日。
53.周炼石：《技术冲击经济周期：中国经济长期增长的主导因素》，《上海经济研究》，2008年第8期。
54.周小川：《关于改变宏观和微观顺周期性的进一步探讨》，《中国金融》，2009年第8期。
1.《中华人民共和国保险法》，2009年2月28日修订。
2.中国保险监督管理委员会，《保险公司薪酬管理规范指引试行》（保监发[2013]42号）。
3.-----------------------------------，《中国保监会关于印发〈中国第二代偿付能力监管制度体系整体框架〉的通知》（保监发[2013]42号）。
4.-----------------------------------，《关于保险业做好〈企业会计准则解释第2号〉实施工作的通知》（保监发〔2010〕6号）。
5.-----------------------------------，《保险公司偿付能力额度及监管指标管理规定》（保监会令（2003）1号）。
6.-----------------------------------，《保险公司偿付能力编报规则（2009）》，2009年。
7.中国银行业监督管理委员会，《中国银监会关于加强当前重点风险防范工作的通知》（银监发[2010]98号）。
8.----------------------------------------，《商业银行稳健薪酬监管指引》，（银监发[2010]14号）。
9.中华人民共和国财政部，《企业会计准则》，2006年。
10.------------------------------，《《保险合同相关会计处理规定》，2009年12月22日。