基于双重资本约束的商业银行系统危机研究
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摘要
2008年9月雷曼兄弟公司的突然破产,引发了一场全球性的金融危机,学术界对引起金融危机原因的研究众多,而本文认为对此次危机的研究不能离开银行这一主体,危机从根本上来说是一次银行系统危机。许多在危机爆发之前具有合格资本充足率的大银行,在危机中纷纷陷入困境,由此巴塞尔委员会推出了巴塞尔Ⅲ。那么,是否通过改革资本监管的相关规制,就能从根本上控制系统性风险,并且避免此类银行业危机?规制下自由竞争的银行体系能否规避银行系统危机?政府在银行的经营管理中又应该扮演怎样的角色?关于这些问题的研究具有重要的现实意义。
本文认为,对微观银行来说合理的财务行为,并不一定带来合理的宏观结果,甚至有可能导致宏观性的银行系统危机,个体理性所带来的整体非理性,是研究此次银行系统危机无法回避的重要因素。因此,本文的总体研究思路是：从分析商业银行在双重资本约束下的微观财务行为模式入手,探讨银行个体理性造成整体非理性的原因,论证规制能否规避银行系统危机,并提出银行体系管理方面的政策建议。
自由竞争的商业银行在经济资本和监管资本双重约束下追求期望收益最大化。经济资本约束是银行内部约束,具有高度的风险敏感性,在经济繁荣期和衰退期波动巨大。在繁荣期,经济资本约束很低,自由竞争的商业银行的个体理性选择是信贷扩张以获取较高的收益,但当所有的银行都这样选择时极易形成泡沫化的金融风险,导致整体非理性；在衰退期,银行的个体理性选择是去杠杆化以保障银行的安全性,但当所有的银行都这样选择时则极易形成集中抛售下的螺旋式紧缩,再次导致整体非理性。因此,商业银行自由竞争的特性和经济资本波动导致了个体理性无法带来整体理性,这是银行系统危机爆发的根本原因。
以资本监管为核心的规制在解决整体非理性问题时存在极大的局限性。如果监管资本和经济资本趋同,则将和经济资本一起造成不同时期的整体非理性现象；如果两者存在风险敏感性的差异,则银行的个体理性选择将是监管资本套利,不仅降低监管效率,甚至有可能带来更高的风险,造成整体非理性；如果实施逆周期相机选择的监管资本要求,不仅在繁荣期存在较高成本以及可能出现新的类银行融资体系,在衰退期经济资本约束发生主要作用时,监管资本要求的降低也无法解决整体非理性的问题。监管资本无法解决整体非理性问题的根本原因在于：监管资本这种外部治理机制和内部治理机制产生了冲突。由于规制具有外部性,故同样无法解决银行系统危机问题。另外,规制的普遍性特征,导致了监管当局难以有效的利用历史数据来正确设置规制模型参数,规制的稳定性特征导致了规制改革过程过于漫长,缺乏灵活性。因此,以资本监管为核心的规制无法规避银行系统危机。
规制下自由竞争的银行体系无法规避系统危机,因此必须有一个能够实现整体理性的机构对银行的行为实施控制,这个机构就是政府。本文认为一个合理的银行体系应该包含自由竞争、规制和政府直接控制三项要素,其中政府直接控制主要是针对个体理性选择下出现的整体非理性情况,而不是代替银行实施风险管理。
本文共分六章,内容如下：
第一章,绪论。提出本文的研究背景：个体理性带来的整体非理性导致了银行系统危机,进而对经济造成了严重破坏。目前,很少有文献通过分析微观银行财务行为来研究银行系统危机,而在双重资本约束框架下分析微观银行行为的文献更是几乎没有。因此,本文提出在双重资本约束下分析微观银行财务行为,进而探讨银行系统危机的研究思路。
第二章,商业银行财务行为概述。商业银行的财务行为可以描述为：在一定的约束条件下,追求期望收益最大化。虽然银行经营的约束条件有很多,但是目前的主要约束是资本约束,包括经济资本约束和监管资本约束,前者是银行自身的内部要求,而后者则是外部要求。
第三章,资本约束下的最优化理论模型。在第二章的基础上,建立双重资本约束条件下追求期望收益最大化的最优规划模型,来解释银行财务行为。这一理论模型对目前许多先进银行所使用的RAROC标准,以及监管资本套利行为,都可以进行较好的解释。
第四章,经济资本波动及其对银行系统危机的影响。通过对美国银行业经济资本的实证研究,分析第三章双重资本约束下最优规划模型中的经济资本约束,提出经济资本约束的非稳定性造成了银行系统危机,而这种非稳定性则源于商业银行的自由竞争。实证研究发现：主要商业银行的经济资本随着时间变化发生较大波动；主要商业银行之间其波动呈现出共同变化的趋势；主要商业银行的经济资本和货币总量对资产价格产生显著的影响。
第五章,资本监管和规制的局限性。结合第三章双重资本约束下最优规划模型,分析监管资本约束,提出包括巴塞尔协议在内的所有规制都无法规避银行系统危机。规制的一个重要特点是外部性,它是一种外部治理机制,极易和银行的内部治理机制产生冲突,这种冲突是规制无法从根本上规避系统危机的最主要原因。另外,规制的普遍性特征和规制的稳定性同样限制了规制作用的发挥。
第六章,结论。第四章和第五章的研究表明：规制下自由竞争的银行体系无法解决银行系统危机问题。因此需要一种限制整体非理性的力量来规避银行系统危机,而政府是目前最有效的选择。自由竞争的市场机制是资源配置的根本性方法,规制也是银行系统不可或缺的组成部分,政府直接控制则是重要的补充,这种控制是针对具有个体理性而整体非理性特征的宏观性金融风险的监控,而不是单纯的代替银行实施风险管理。
本文的创新点主要包括：
一、提出银行系统危机具有个体理性而整体非理性特征,并从银行业的微观财务行为入手,研究整个银行业系统性危机；以双重资本约束为核心的最优规划模型来解释银行的微观财务行为,在此框架中解释RAROC指标和监管资本套利,并提出监管资本有效约束概念。
二、通过实证方法验证经济资本的波动性,银行间经济资本变动的共同趋势,以及经济资本对资产价格的影响,并在此基础上论证了银行的自由竞争和经济资本的波动,导致了银行的个体理性无法带来整体非理性,进而产生银行系统危机。在验证银行间经济资本变动共同趋势的实证方法上,对传统的因子分析技术进行了适当调整,分离出趋势因子。
三、在双重约束的分析框架下,着重分析了监管资本是一种外部治理机制,这种机制和以经济资本约束为代表的银行内部治理机制产生了冲突,这种冲突是资本监管无法规避银行系统危机最主要的原因；归纳总结了规制的外部性、普遍性、稳定性等特点,提出资本监管乃至所有的规制都无法从根本上规避银行系统危机；提出自由竞争、规制、政府直接控制三者相互结合的银行体系。
The sudden bankruptcy of Lehman Brothers in September2008triggered a global financial crisis; there are many academic studies on the causes of the financial crisis, this paper argues that the study of the crisis cannot leave this main body:the bank, basically, the crisis is a bank system crisis. Many large banks who have qualified capital adequacy ratio before the crisis, get in trouble in the crisis, therefore the Basel Committee introduced the Basel III. By the reform of capital regulation, whether this would be able to fundamentally control systemic risk, and to avoid such a banking crisis? Will the free competition of banking system under the regulation be ability to circumvent the banking system crisis? How does the government play the role on banking management? Research on these issues has important practical significance.
This paper argues that reasonable financial behavior in micro-banks does not necessarily sound reasonable macroeconomic results and could even lead to a macroscopic banking system crisis. The individual rationality brought about overall non-rational, is the unavoidable an important factor by study on the banking system crisis. Therefore, the overall idea of this paper is:study proceed with micro-financial behavior patterns of commercial bank which is under the dual capital constraints, and explore the reason why individual rationality resulting in the overall non-rational, and demonstrate if the regulation can avoid the banking system crisis, and proposed policy recommendations about management of the banking system.
Commercial bank is in pursuit of expected profit maximization under the dual constraints of economic capital and regulatory capital. Economic capital constraint is the internal constraints, with a high degree of risk sensitivity, huge fluctuations in the economic boom and recession. In the boom, the economic capital constraint is low, individual rational choice of the free competition of commercial bank is credit expansion in order to obtain a higher income, but when all banks are so choose, can easily form a bubble of financial risks, resulting in overall non-rational; in the recession, individual rational choice is deleveraging in the banking security, but when all banks are so choose, can easily form a spiral tightening focus on selling, again lead to an overall non-rational. Therefore, the characteristics of the commercial banks to free competition and economic capital volatility has led to the situation that individual rationality cannot bring the whole rational, which is the root cause of the banking system crisis.
There is a great limitation when regulation as the core to regulatory capital solves the problem of the overall non-rational. the convergence of regulatory capital and economic capital will cause non-rational phenomenon in the different periods; if there existed differences in risk sensitivity, then the individual rational choice of the bank is regulatory capital arbitrage, not only reduces the efficiency of supervision even higher risk, resulting in the overall non-rational; if the implementation of regulatory capital requirements which is counter-cyclical corresponding choice, not only in the period of prosperity, higher costs and a possible new class of banking and financing system, but also in the recession when the economic capital constraints a major role, the reduction in regulatory capital requirements will not solve the overall non-rational. The fundamental reason why regulatory capital cannot solve the problem of overall irrational conflict is that as an external governance mechanism, regulatory capital conflicts with internal governance mechanisms. With external regulation, it also can not solve the crisis in the banking system. In addition, the universal character of the regulatory system, resulting in regulatory authorities' difficulty to make effective use of historical data to properly set the parameters of the regulatory model, and the stability characteristics of the regulation led to a reform of the regulatory process is too long, lack of flexibility. Therefore, the regulation the capital regulation as its core cannot circumvent the banking system crisis.
The free competition of banking system under the regulation cannot avoid a systemic crisis, so there must be an overall rational institutions exercise control over the behavior of banks, this institution is government. This paper argues that a banking system should have characters of three elements, which is free competition, regulation and direct government control, and the government direct control is to the overall irrational situation brought by individual rational choice, not a substitute for banks to implement risk management.
Innovation Ⅰ:The paper proposes that the bank system crisis is with the feature of individual rationality and the overall non-rational, starts from the micro-financial behavior of the banking industry, studies the systemic crisis of the whole banking sector; explains the micro-financial behavior of the banks considering the double capital constraints as the core of the optimum planning model, and explain RAROC indicators and regulatory capital arbitrage in this framework, and proposes the regulatory capital constraint concept.
Innovation Ⅱ:By empirical methods, the paper verifies the volatility of the economic capital, the common trend of the inter-bank changes in economic capital and the impact on asset prices. Based on the empirical results, the two capital constraints due to the fluctuations of economic capital in different economic cycles may have different states, leading to whole irrational and systemic crisis of the commercial banks. When verifying the common trend of the inter-bank changes in economic capital, the paper adjusts the traditional factor analysis techniques by separating the trend factor.
Innovation Ⅲ:The paper summarizes the characteristics of Regulation under the dual constraints of the analysis framework, which are externalities, universality, and stability. And proposes the capital regulation even all of the regulatory system are unable to fundamentally circumvent the banking crisis, at the same time proposes the banking system that free competition, the regulatory system and direct government control these three factors are combined with each other.
本文认为,对微观银行来说合理的财务行为,并不一定带来合理的宏观结果,甚至有可能导致宏观性的银行系统危机,个体理性所带来的整体非理性,是研究此次银行系统危机无法回避的重要因素。因此,本文的总体研究思路是：从分析商业银行在双重资本约束下的微观财务行为模式入手,探讨银行个体理性造成整体非理性的原因,论证规制能否规避银行系统危机,并提出银行体系管理方面的政策建议。
自由竞争的商业银行在经济资本和监管资本双重约束下追求期望收益最大化。经济资本约束是银行内部约束,具有高度的风险敏感性,在经济繁荣期和衰退期波动巨大。在繁荣期,经济资本约束很低,自由竞争的商业银行的个体理性选择是信贷扩张以获取较高的收益,但当所有的银行都这样选择时极易形成泡沫化的金融风险,导致整体非理性；在衰退期,银行的个体理性选择是去杠杆化以保障银行的安全性,但当所有的银行都这样选择时则极易形成集中抛售下的螺旋式紧缩,再次导致整体非理性。因此,商业银行自由竞争的特性和经济资本波动导致了个体理性无法带来整体理性,这是银行系统危机爆发的根本原因。
以资本监管为核心的规制在解决整体非理性问题时存在极大的局限性。如果监管资本和经济资本趋同,则将和经济资本一起造成不同时期的整体非理性现象；如果两者存在风险敏感性的差异,则银行的个体理性选择将是监管资本套利,不仅降低监管效率,甚至有可能带来更高的风险,造成整体非理性；如果实施逆周期相机选择的监管资本要求,不仅在繁荣期存在较高成本以及可能出现新的类银行融资体系,在衰退期经济资本约束发生主要作用时,监管资本要求的降低也无法解决整体非理性的问题。监管资本无法解决整体非理性问题的根本原因在于：监管资本这种外部治理机制和内部治理机制产生了冲突。由于规制具有外部性,故同样无法解决银行系统危机问题。另外,规制的普遍性特征,导致了监管当局难以有效的利用历史数据来正确设置规制模型参数,规制的稳定性特征导致了规制改革过程过于漫长,缺乏灵活性。因此,以资本监管为核心的规制无法规避银行系统危机。
规制下自由竞争的银行体系无法规避系统危机,因此必须有一个能够实现整体理性的机构对银行的行为实施控制,这个机构就是政府。本文认为一个合理的银行体系应该包含自由竞争、规制和政府直接控制三项要素,其中政府直接控制主要是针对个体理性选择下出现的整体非理性情况,而不是代替银行实施风险管理。
本文共分六章,内容如下：
第一章,绪论。提出本文的研究背景：个体理性带来的整体非理性导致了银行系统危机,进而对经济造成了严重破坏。目前,很少有文献通过分析微观银行财务行为来研究银行系统危机,而在双重资本约束框架下分析微观银行行为的文献更是几乎没有。因此,本文提出在双重资本约束下分析微观银行财务行为,进而探讨银行系统危机的研究思路。
第二章,商业银行财务行为概述。商业银行的财务行为可以描述为：在一定的约束条件下,追求期望收益最大化。虽然银行经营的约束条件有很多,但是目前的主要约束是资本约束,包括经济资本约束和监管资本约束,前者是银行自身的内部要求,而后者则是外部要求。
第三章,资本约束下的最优化理论模型。在第二章的基础上,建立双重资本约束条件下追求期望收益最大化的最优规划模型,来解释银行财务行为。这一理论模型对目前许多先进银行所使用的RAROC标准,以及监管资本套利行为,都可以进行较好的解释。
第四章,经济资本波动及其对银行系统危机的影响。通过对美国银行业经济资本的实证研究,分析第三章双重资本约束下最优规划模型中的经济资本约束,提出经济资本约束的非稳定性造成了银行系统危机,而这种非稳定性则源于商业银行的自由竞争。实证研究发现：主要商业银行的经济资本随着时间变化发生较大波动；主要商业银行之间其波动呈现出共同变化的趋势；主要商业银行的经济资本和货币总量对资产价格产生显著的影响。
第五章,资本监管和规制的局限性。结合第三章双重资本约束下最优规划模型,分析监管资本约束,提出包括巴塞尔协议在内的所有规制都无法规避银行系统危机。规制的一个重要特点是外部性,它是一种外部治理机制,极易和银行的内部治理机制产生冲突,这种冲突是规制无法从根本上规避系统危机的最主要原因。另外,规制的普遍性特征和规制的稳定性同样限制了规制作用的发挥。
第六章,结论。第四章和第五章的研究表明：规制下自由竞争的银行体系无法解决银行系统危机问题。因此需要一种限制整体非理性的力量来规避银行系统危机,而政府是目前最有效的选择。自由竞争的市场机制是资源配置的根本性方法,规制也是银行系统不可或缺的组成部分,政府直接控制则是重要的补充,这种控制是针对具有个体理性而整体非理性特征的宏观性金融风险的监控,而不是单纯的代替银行实施风险管理。
本文的创新点主要包括：
一、提出银行系统危机具有个体理性而整体非理性特征,并从银行业的微观财务行为入手,研究整个银行业系统性危机；以双重资本约束为核心的最优规划模型来解释银行的微观财务行为,在此框架中解释RAROC指标和监管资本套利,并提出监管资本有效约束概念。
二、通过实证方法验证经济资本的波动性,银行间经济资本变动的共同趋势,以及经济资本对资产价格的影响,并在此基础上论证了银行的自由竞争和经济资本的波动,导致了银行的个体理性无法带来整体非理性,进而产生银行系统危机。在验证银行间经济资本变动共同趋势的实证方法上,对传统的因子分析技术进行了适当调整,分离出趋势因子。
三、在双重约束的分析框架下,着重分析了监管资本是一种外部治理机制,这种机制和以经济资本约束为代表的银行内部治理机制产生了冲突,这种冲突是资本监管无法规避银行系统危机最主要的原因；归纳总结了规制的外部性、普遍性、稳定性等特点,提出资本监管乃至所有的规制都无法从根本上规避银行系统危机；提出自由竞争、规制、政府直接控制三者相互结合的银行体系。
The sudden bankruptcy of Lehman Brothers in September2008triggered a global financial crisis; there are many academic studies on the causes of the financial crisis, this paper argues that the study of the crisis cannot leave this main body:the bank, basically, the crisis is a bank system crisis. Many large banks who have qualified capital adequacy ratio before the crisis, get in trouble in the crisis, therefore the Basel Committee introduced the Basel III. By the reform of capital regulation, whether this would be able to fundamentally control systemic risk, and to avoid such a banking crisis? Will the free competition of banking system under the regulation be ability to circumvent the banking system crisis? How does the government play the role on banking management? Research on these issues has important practical significance.
This paper argues that reasonable financial behavior in micro-banks does not necessarily sound reasonable macroeconomic results and could even lead to a macroscopic banking system crisis. The individual rationality brought about overall non-rational, is the unavoidable an important factor by study on the banking system crisis. Therefore, the overall idea of this paper is:study proceed with micro-financial behavior patterns of commercial bank which is under the dual capital constraints, and explore the reason why individual rationality resulting in the overall non-rational, and demonstrate if the regulation can avoid the banking system crisis, and proposed policy recommendations about management of the banking system.
Commercial bank is in pursuit of expected profit maximization under the dual constraints of economic capital and regulatory capital. Economic capital constraint is the internal constraints, with a high degree of risk sensitivity, huge fluctuations in the economic boom and recession. In the boom, the economic capital constraint is low, individual rational choice of the free competition of commercial bank is credit expansion in order to obtain a higher income, but when all banks are so choose, can easily form a bubble of financial risks, resulting in overall non-rational; in the recession, individual rational choice is deleveraging in the banking security, but when all banks are so choose, can easily form a spiral tightening focus on selling, again lead to an overall non-rational. Therefore, the characteristics of the commercial banks to free competition and economic capital volatility has led to the situation that individual rationality cannot bring the whole rational, which is the root cause of the banking system crisis.
There is a great limitation when regulation as the core to regulatory capital solves the problem of the overall non-rational. the convergence of regulatory capital and economic capital will cause non-rational phenomenon in the different periods; if there existed differences in risk sensitivity, then the individual rational choice of the bank is regulatory capital arbitrage, not only reduces the efficiency of supervision even higher risk, resulting in the overall non-rational; if the implementation of regulatory capital requirements which is counter-cyclical corresponding choice, not only in the period of prosperity, higher costs and a possible new class of banking and financing system, but also in the recession when the economic capital constraints a major role, the reduction in regulatory capital requirements will not solve the overall non-rational. The fundamental reason why regulatory capital cannot solve the problem of overall irrational conflict is that as an external governance mechanism, regulatory capital conflicts with internal governance mechanisms. With external regulation, it also can not solve the crisis in the banking system. In addition, the universal character of the regulatory system, resulting in regulatory authorities' difficulty to make effective use of historical data to properly set the parameters of the regulatory model, and the stability characteristics of the regulation led to a reform of the regulatory process is too long, lack of flexibility. Therefore, the regulation the capital regulation as its core cannot circumvent the banking system crisis.
The free competition of banking system under the regulation cannot avoid a systemic crisis, so there must be an overall rational institutions exercise control over the behavior of banks, this institution is government. This paper argues that a banking system should have characters of three elements, which is free competition, regulation and direct government control, and the government direct control is to the overall irrational situation brought by individual rational choice, not a substitute for banks to implement risk management.
Innovation Ⅰ:The paper proposes that the bank system crisis is with the feature of individual rationality and the overall non-rational, starts from the micro-financial behavior of the banking industry, studies the systemic crisis of the whole banking sector; explains the micro-financial behavior of the banks considering the double capital constraints as the core of the optimum planning model, and explain RAROC indicators and regulatory capital arbitrage in this framework, and proposes the regulatory capital constraint concept.
Innovation Ⅱ:By empirical methods, the paper verifies the volatility of the economic capital, the common trend of the inter-bank changes in economic capital and the impact on asset prices. Based on the empirical results, the two capital constraints due to the fluctuations of economic capital in different economic cycles may have different states, leading to whole irrational and systemic crisis of the commercial banks. When verifying the common trend of the inter-bank changes in economic capital, the paper adjusts the traditional factor analysis techniques by separating the trend factor.
Innovation Ⅲ:The paper summarizes the characteristics of Regulation under the dual constraints of the analysis framework, which are externalities, universality, and stability. And proposes the capital regulation even all of the regulatory system are unable to fundamentally circumvent the banking crisis, at the same time proposes the banking system that free competition, the regulatory system and direct government control these three factors are combined with each other.
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