银行脆弱性分析与管制对策研究
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摘要
银行脆弱性的研究起因于近几年国内外频繁爆发的金融危机。传统危机理论认为,经济基本面的恶化容易引起金融危机。但基本面很好,甚至被世界银行称为亚洲奇迹的国家一夜之间爆发了严重的金融危机。原因何在?传统理论为何失灵?最新的研究表明,银行脆弱性具有内生性,银行体系的脆弱性在外部冲击下,产生放大效应,引发金融危机。而脆弱性和金融危机又具有很强的传染性,从而引起一个地区甚至整个世界的金融危机。
从国际金融环境来看,美国次级债危机正在全球疯狂蔓延,危机造成的损失在逐渐显现和扩大。历史经验表明,金融不稳定和金融危机会造成极为严重的、破坏性的危害,表现在经济、政治和社会各方面,因此应当引起中国的警觉。中国目前经济金融处于大幅度变革阶段,不确定因素增加,尤其是加入WTO后,中国经济金融对外开放步伐加快,体制性风险加大,维护金融体系的稳定和发展成为关系到今后中国经济能否继续稳定发展的一个大问题。本文的目的,就是揭示银行脆弱性内在生成和演变机理,对银行脆弱性进行量化评估,并提出相应的防范性管制对策。
本文首先对银行脆弱性理论进行归纳总结,分析了银行脆弱性的内生和外生因素;构建了银行脆弱性的四阶段演变模型,并研究了危机传染在演变过程中的作用机理;构建了银行脆弱性评估模型,对我国国有商业银行脆弱性进行实证研究;利用计量分析方法,对影响银行脆弱性的各种宏观和微观因素进行了分析;提出了银行管制的供给和需求函数,构建了银行管制均衡的优化模型;结合我国银行脆弱性的实际状况,提出了相应的管制对策。本文的主要研究内容和结论包括:
(1)研究了银行脆弱性的生成因素。通过对西方主要经济流派的归纳分析,将金融脆弱性理论的研究角度归纳为企业、银行、居民和政府等四个部门,并对各流派代表性的理论观点进行了介绍,对其成就和不足进行了总结。将银行脆弱性的生成归结为内生因素和外生因素。其中内生因素主要包括资产负债失衡、信息不对称、信贷结构扭曲和金融创新;外生因素主要包括宏观经济波动、公众有限理性、制度安排失当和道德风险。内生因素和外生因素的共同作用,导致银行体系变得极为脆弱。因此,银行脆弱性的防范和治理也是一项综合工程,需要从多方面改进和完善。
(2)构建了银行脆弱性四阶段演变模型。认为银行脆弱性分为酝酿阶段、生成阶段、危机阶段、转化阶段等四个阶段,结合历史上金融危机的表现,对每个阶段的特征和转化规律进行了分析。认为在从银行脆弱性到银行危机的转化过程中,存在自我实现机制、外部冲击机制和风险传染机制等多种作用机制。对危机传染机制进行了重点分析,研究了传染的过程和渠道,构建了银行风险传染模型,认为银行危机传染的渠道包括信用链、多边支付清算系统、不同经济体之间的相似性和羊群行为四个方面。结合国际上正在发生的次级贷危机,对银行风险传染机制进行实证分析。
(3)构建了银行脆弱性评估模型。通过对历史上金融危机具体表现的分析,结合专家观点,选取不良贷款率、全国贷款增长率、通货膨胀率、资本充足率四项指标作为衡量银行脆弱性的核心指标,取其算术平均数作为银行脆弱性的评价标准。根据评估模型,对1985～2005年我国国有商业银行脆弱性进行判断,认为国有商业银行脆弱性程度呈现先上升后下降的趋势,近2年的脆弱性程度已经降到历史最低点。Granger因果关系检验和协整分析表明,部分宏观经济指标和金融指标均与国有商业银行脆弱性存在Granger因果关系和长期均衡关系,其中金融指标对脆弱性的影响程度高于宏观经济指标。一个良性互动的经济和金融体系,是银行稳定发展的重要基础。
(4)从保持银行稳定、化解银行脆弱性的角度,对银行管制目标和均衡进行了研究。利用管制经济学的有关理论,对银行管制过度和管制不足进行了分析。进而提出了银行管制的供给和需求函数,并构建了银行管制均衡的优化模型。
(5)分析了我国银行脆弱性的影响因素,并提出了相应的管制对策。认为金融自由化取向、银行监管法律存在缺陷、金融安全网缺失、通货膨胀风险加大、国有银行的不良贷款依然严重等影响我国银行脆弱性,提出了应对银行脆弱性的管制优化措施,如完善银行监管法制、实施风险性监管、创建金融安全网、构建风险预警模型、增强市场约束功能等。
The research of banking fragility origins from the frequent financial crises of rescent years around the world. The traditional crisis theory indicates the deterioration of economy causes financial crisis, but some countries with good economy suddenly burst out financial crisis such as the South-east countries. Why does the traditional theory fail to explain this phenomenon? The reason is that the banking fragility is inherent and on the exterior impact the banking fragility turns into banking crisis. In addition, the banking fragility and crisis are so contagious as to induce financial crisis in a region or even all the world.
The international evidence indicates that financial instability and crisis facilitate severe and devastating harm in economy, political and society. It is a necessary caution to China. China is now going through a profound transform in finance and economy and the uncertainty of finance increases. Especially, the step of openness expedites after we joined WTO and the systematic risk increases. It is an important issue for the stability and develepment of finacial system. The aim of the article is to find the principle of the origin and evolvement of financial fragility, evaluate and regulation it.
We firstly sum up the theory of banking fragility and the flaw of current research. We analyse the internal and external elements causing fragility and design a 4-term-evolvement model of banking fragility including the action of contagion. We design a evaluation model to investigate the banking fragility of our country and analyse the influence of some macro and micro elements. We point out the supply and demand supply function and design the equilibria model of bank regulation. We put forward some regulations aiming at the banking fragility of China. The main context and conclusion of the article is as follows:
(1)We make research on the origins of banking fragility. We figure that the research of banking fragility can sum up into four sections: enterprise, bank, individual and government. We introduce the viewpoint of different theory and review the achievement and flaw of each theory. We consider the causes of banking fragility including internal and external elements. The internal elements include unbanlance of assets and debt, information asymmetry, distortion of credit culture and financial innovation; the external elements include economic fluctuation, limited reason of borrower, incorrect financial system and moral risks. We describe the process of internal and external elements and research the mocro and micro formation principle of banking fragility. As a result, the measures to deal with the banking fragility shall be used in many ways.
(2)We build a 4-stage-evolvement model of banking fragility. We deem that banking fragility includes 4 stages: brewing, formation, crisis and transformation. We analyse the character and law of different stage and find that there are three principles causing the banking fragility into crisis: self-fulfilling, external impact and crisis contagion. We emphasize the crisis contagion and build a contagion model, and in this model we deem that the channels of crisis contagion include credit chain, multi-payment system, comparability of differnet countries and the herding behavior. We make a empirical research on the crisis contagion.
(3)We design a evaluation model of banking fragility. The article reviews different theoretical and empirical studies of banking fragility and estinates the fragility of state-owned commercial banks from 1985 to 2005 through 4 kernel variables, including the rate of bad credit, the rate of credit increase, the rate of inflation and the rate of capital sufficiency. It is found that the fragility assumes a parabola tendency and is at the lowest point in recent 2 years. In this sense, it is an historical issue facing by state-owned commercial banks to maintain and consolidate the result of reform and development and successfully transform into modem commercial banks. Granger causality and co-integration tests indicate some macro-economic and financial variables have Granger causality and long term equilibrium relations with the fragility of state-owned commercial banks. Financial variables affect it more than macro-economic variables. Therefore, a favorable interactive economy and financial system is an important foundation of stable development of banks.
(4) We make research on the target and equilibria of bank regulation in view of maintaining banking stability. We analyse the excess and insufficiency of bank regulation with the theory of regulation economics and point out the suppy and demand function of bank regulation and design a equilibria model.
(5)We analyse the elements affecting the banking fragiltiy of our country and put forward some regulations. We consider that the elements such as financial liberty, the flaw in the regulation law, the absence of financial safty-net lead to banking fragility of our country, the risk of deflation and the increasing non-performing loan of national banks. Finally, we bring forward some measures such as consummating the regulation laws, implementing risk supervision, establishing financial safty-net, constituting risk-forecasting-model and building up the function of market obligation.
从国际金融环境来看,美国次级债危机正在全球疯狂蔓延,危机造成的损失在逐渐显现和扩大。历史经验表明,金融不稳定和金融危机会造成极为严重的、破坏性的危害,表现在经济、政治和社会各方面,因此应当引起中国的警觉。中国目前经济金融处于大幅度变革阶段,不确定因素增加,尤其是加入WTO后,中国经济金融对外开放步伐加快,体制性风险加大,维护金融体系的稳定和发展成为关系到今后中国经济能否继续稳定发展的一个大问题。本文的目的,就是揭示银行脆弱性内在生成和演变机理,对银行脆弱性进行量化评估,并提出相应的防范性管制对策。
本文首先对银行脆弱性理论进行归纳总结,分析了银行脆弱性的内生和外生因素;构建了银行脆弱性的四阶段演变模型,并研究了危机传染在演变过程中的作用机理;构建了银行脆弱性评估模型,对我国国有商业银行脆弱性进行实证研究;利用计量分析方法,对影响银行脆弱性的各种宏观和微观因素进行了分析;提出了银行管制的供给和需求函数,构建了银行管制均衡的优化模型;结合我国银行脆弱性的实际状况,提出了相应的管制对策。本文的主要研究内容和结论包括:
(1)研究了银行脆弱性的生成因素。通过对西方主要经济流派的归纳分析,将金融脆弱性理论的研究角度归纳为企业、银行、居民和政府等四个部门,并对各流派代表性的理论观点进行了介绍,对其成就和不足进行了总结。将银行脆弱性的生成归结为内生因素和外生因素。其中内生因素主要包括资产负债失衡、信息不对称、信贷结构扭曲和金融创新;外生因素主要包括宏观经济波动、公众有限理性、制度安排失当和道德风险。内生因素和外生因素的共同作用,导致银行体系变得极为脆弱。因此,银行脆弱性的防范和治理也是一项综合工程,需要从多方面改进和完善。
(2)构建了银行脆弱性四阶段演变模型。认为银行脆弱性分为酝酿阶段、生成阶段、危机阶段、转化阶段等四个阶段,结合历史上金融危机的表现,对每个阶段的特征和转化规律进行了分析。认为在从银行脆弱性到银行危机的转化过程中,存在自我实现机制、外部冲击机制和风险传染机制等多种作用机制。对危机传染机制进行了重点分析,研究了传染的过程和渠道,构建了银行风险传染模型,认为银行危机传染的渠道包括信用链、多边支付清算系统、不同经济体之间的相似性和羊群行为四个方面。结合国际上正在发生的次级贷危机,对银行风险传染机制进行实证分析。
(3)构建了银行脆弱性评估模型。通过对历史上金融危机具体表现的分析,结合专家观点,选取不良贷款率、全国贷款增长率、通货膨胀率、资本充足率四项指标作为衡量银行脆弱性的核心指标,取其算术平均数作为银行脆弱性的评价标准。根据评估模型,对1985～2005年我国国有商业银行脆弱性进行判断,认为国有商业银行脆弱性程度呈现先上升后下降的趋势,近2年的脆弱性程度已经降到历史最低点。Granger因果关系检验和协整分析表明,部分宏观经济指标和金融指标均与国有商业银行脆弱性存在Granger因果关系和长期均衡关系,其中金融指标对脆弱性的影响程度高于宏观经济指标。一个良性互动的经济和金融体系,是银行稳定发展的重要基础。
(4)从保持银行稳定、化解银行脆弱性的角度,对银行管制目标和均衡进行了研究。利用管制经济学的有关理论,对银行管制过度和管制不足进行了分析。进而提出了银行管制的供给和需求函数,并构建了银行管制均衡的优化模型。
(5)分析了我国银行脆弱性的影响因素,并提出了相应的管制对策。认为金融自由化取向、银行监管法律存在缺陷、金融安全网缺失、通货膨胀风险加大、国有银行的不良贷款依然严重等影响我国银行脆弱性,提出了应对银行脆弱性的管制优化措施,如完善银行监管法制、实施风险性监管、创建金融安全网、构建风险预警模型、增强市场约束功能等。
The research of banking fragility origins from the frequent financial crises of rescent years around the world. The traditional crisis theory indicates the deterioration of economy causes financial crisis, but some countries with good economy suddenly burst out financial crisis such as the South-east countries. Why does the traditional theory fail to explain this phenomenon? The reason is that the banking fragility is inherent and on the exterior impact the banking fragility turns into banking crisis. In addition, the banking fragility and crisis are so contagious as to induce financial crisis in a region or even all the world.
The international evidence indicates that financial instability and crisis facilitate severe and devastating harm in economy, political and society. It is a necessary caution to China. China is now going through a profound transform in finance and economy and the uncertainty of finance increases. Especially, the step of openness expedites after we joined WTO and the systematic risk increases. It is an important issue for the stability and develepment of finacial system. The aim of the article is to find the principle of the origin and evolvement of financial fragility, evaluate and regulation it.
We firstly sum up the theory of banking fragility and the flaw of current research. We analyse the internal and external elements causing fragility and design a 4-term-evolvement model of banking fragility including the action of contagion. We design a evaluation model to investigate the banking fragility of our country and analyse the influence of some macro and micro elements. We point out the supply and demand supply function and design the equilibria model of bank regulation. We put forward some regulations aiming at the banking fragility of China. The main context and conclusion of the article is as follows:
(1)We make research on the origins of banking fragility. We figure that the research of banking fragility can sum up into four sections: enterprise, bank, individual and government. We introduce the viewpoint of different theory and review the achievement and flaw of each theory. We consider the causes of banking fragility including internal and external elements. The internal elements include unbanlance of assets and debt, information asymmetry, distortion of credit culture and financial innovation; the external elements include economic fluctuation, limited reason of borrower, incorrect financial system and moral risks. We describe the process of internal and external elements and research the mocro and micro formation principle of banking fragility. As a result, the measures to deal with the banking fragility shall be used in many ways.
(2)We build a 4-stage-evolvement model of banking fragility. We deem that banking fragility includes 4 stages: brewing, formation, crisis and transformation. We analyse the character and law of different stage and find that there are three principles causing the banking fragility into crisis: self-fulfilling, external impact and crisis contagion. We emphasize the crisis contagion and build a contagion model, and in this model we deem that the channels of crisis contagion include credit chain, multi-payment system, comparability of differnet countries and the herding behavior. We make a empirical research on the crisis contagion.
(3)We design a evaluation model of banking fragility. The article reviews different theoretical and empirical studies of banking fragility and estinates the fragility of state-owned commercial banks from 1985 to 2005 through 4 kernel variables, including the rate of bad credit, the rate of credit increase, the rate of inflation and the rate of capital sufficiency. It is found that the fragility assumes a parabola tendency and is at the lowest point in recent 2 years. In this sense, it is an historical issue facing by state-owned commercial banks to maintain and consolidate the result of reform and development and successfully transform into modem commercial banks. Granger causality and co-integration tests indicate some macro-economic and financial variables have Granger causality and long term equilibrium relations with the fragility of state-owned commercial banks. Financial variables affect it more than macro-economic variables. Therefore, a favorable interactive economy and financial system is an important foundation of stable development of banks.
(4) We make research on the target and equilibria of bank regulation in view of maintaining banking stability. We analyse the excess and insufficiency of bank regulation with the theory of regulation economics and point out the suppy and demand function of bank regulation and design a equilibria model.
(5)We analyse the elements affecting the banking fragiltiy of our country and put forward some regulations. We consider that the elements such as financial liberty, the flaw in the regulation law, the absence of financial safty-net lead to banking fragility of our country, the risk of deflation and the increasing non-performing loan of national banks. Finally, we bring forward some measures such as consummating the regulation laws, implementing risk supervision, establishing financial safty-net, constituting risk-forecasting-model and building up the function of market obligation.
引文
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