基于系统性风险的银行资本监管及其宏观经济效应
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摘要
2008年金融危机的发生促使人们反思金融监管政策领域的缺陷，危机的一个重要教训在于，以单家银行机构稳健经营为目标的微观审慎监管和资本约束机制不能有效维护银行体系稳定，在抵御系统性风险方面存在重大缺陷，基于宏观审慎视角及系统性风险的金融监管成为后危机时代各国监管理念和工具的主要发展趋势及调整方向。2010年巴塞尔协议III的实施，将中国银行业资本监管由关注微观风险推向了宏观与微观审慎相结合的实施阶段。如何衡量我国大型银行机构的系统性风险贡献度，如何识别宏观经济体系的信用融资水平和金融累积风险，如何建立起基于这些系统性风险的资本监管工具，资本监管新规对于宏观经济波动和社会福利损失有哪些影响，如何权衡与协调逆周期资本政策与货币政策的相互关系？这一系列问题不仅仅是理论问题，更是重要的现实问题，对于我国银行系统性风险的有效监管和防范，宏观审慎政策的制定与实施以及维护金融体系的稳定具有非常重要的理论意义和实践价值。
在这一背景下，本文从加强宏观审慎监管的角度出发，对基于系统性风险的我国银行资本监管政策设计和实际应用，以及资本监管的宏观经济效应及其与货币政策的协调关系，进行了深入的理论研究和实证分析，本文的研究结构包含三大部分：第一部分是对于系统性风险的测度和资本监管设计，具体包括两个方面，根据系统性风险的截面维度和时间维度，一方面探讨了系统重要性银行的测度评估框架和系统性附加资本的设计、计提方法，另一方面建立了逆周期资本监管框架下宏观系统性风险指标体系，并对逆周期资本工具的设计、开发和运用进行了探讨和研究。论文第二部分是在DSGE模型基础上研究了基于系统性风险资本监管的宏观经济效应，在一般均衡框架下讨论了监管资本要求提高，以及逆周期资本监管政策的实施所造成的宏观经济效应和福利影响。第三部分探讨了最优货币政策与逆周期资本监管政策的权衡与协调问题，在一个统一的模型框架内，对两种政策的相互关系以及在应对不同宏观经济情形上的效果进行研究。本文的工作主要包括以下几个方面：
1、对我国系统重要性银行进行测度并建立了有差别的系统重要性银行附加资本。本文从风险传染的直接影响和间接影响两方面，分别应用基于资产负债表关联数据的金融网络分析法，和基于市场价格数据的CoVaR方法对我国银行的系统重要性水平和风险传染效应进行测度，并综合考虑银行机构的规模、系统关联性、可替代性、复杂性、同质性和跨境活跃度六类指标，建立了银行业系统性风险的综合度量框架，并对我国63家银行的系统重要性进行评估和排序，在此基础上将银行区分为高度系统性银行、部分系统重要性银行、非系统性大型金融机构与非系统性中小银行等，为系统重要性银行附加资本的计提提供了量化标准和监管依据。
2、对于我国银行业资本监管的顺周期性及其相应的逆周期资本监管框架设计进行研究。逆周期银行资本监管是实现银行体系宏观审慎监管的核心内容，但如何准确的判断经济周期和识别宏观系统性风险的特征、水平和变化趋势，以及如何把握逆周期工具的时点和程度则是实施该项监管中的难题。本文在对我国商业银行资本充足率变动的顺周期效应进行实证分析的基础上，从中国银行业和宏观金融风险的实际情况出发，构建了多层次、多维度的宏观系统性风险度量指标框架，以反映我国金融体系和社会整体的信用融资水平，并以此作为逆周期缓冲资本的指导变量；在识别系统性风险状态和判断逆周期资本工具的应用时点方面，论文引入了Markov机制转移模型对周期转变和风险状态的阶段性变迁进行识别和分析，以确定逆周期资本的计提时点和程度，为风险判别和逆周期监管建立起系统性的定量分析方法作支撑。
3、建立了包含银行监管资本影响和金融加速器效应的DSGE模型，对基于系统性风险资本监管的宏观经济效应进行研究。通过建立一个含有银行部门监管资本影响和金融加速器效应的新凯恩斯主义DSGE模型，分析在巴塞尔III新监管框架下银行资本充足率要求提高和逆周期资本政策的实施对宏观经济波动的冲击和影响，围绕三个核心问题：即第一，货币政策的银行资本传导渠道对于宏观经济波动的作用机制和效果如何；第二，银行资本监管要求提高对于宏观经济变量的冲击和影响程度有多大；第三，逆周期资本监管政策的实施能否对真实经济波动起到平抑作用。通过理论和校准模拟分析，深入研究了银行监管资本变动通过信贷渠道对于宏观经济波动的影响机制和效果，为我国货币政策和宏观审慎政策的实施和政策工具的选择与权衡等提供理论与经验支持。
4、基于DSGE模型对货币政策与逆周期资本监管政策的权衡与协调问题进行研究。在一个统一的模型框架内，对货币政策与逆周期资本监管政策的相互关系，以及在应对不同宏观经济情形上的效果进行研究和对比，通过校准和数值模拟对不同政策组合下的社会福利损失进行比较，并对逆周期资本监管的政策参数选择及其经济效果进行全面评估，为有效把握货币政策与逆周期审慎监管政策的相互关系，以及衡量两种政策工具在应对不同政策目标（包括物价稳定和金融稳定）上的层次顺序和政策效果提供有意义的借鉴参考。
5、回顾和总结了金融危机后美国、欧盟、英国、日本等国提出的基于系统性风险的银行监管改革方案、监管工具和发展方向，比较了各国建立宏观审慎监管的机构分工和监管框架，提出从增强宏观审慎意识、加强系统性风险分析与评估、明确监管部门职责与工具、把握金融部门与实体经济的相互影响以及协调审慎政策与货币财政政策的相互关系方面，为后危机时代中国建立宏观审慎与微观审慎紧密结合的监管框架体系提供借鉴。
本文的不足之处在于：由于金融危机尚未结束，对于银行系统性风险的识别、测度和相应资本监管问题的研究仍在深入中，无论从研究数据还是研究方法上均存在较大的改进空间，此外，论文所建立的DSGE理论模型还较为简单，在提高系统的复杂性和与实际经济特征一致性方面还有待进一步深入，所提出的分析方法、框架和政策建议仍有待于在实践中进行检验。
The recent financial crisis since2008has motivated researchers to reflect on thedrawback in the area of the financial regulatory policies. One important lesson of thecrisis is that micro-prudential supervision and capital regulation which is focused onsingle bank institution risk can not effectively safeguard the stability of the bankingsystem. Moreover inflation target monetary policy may not guard against systemicrisk and lead controversial topic in the research. Implementation of Basel III in2010has guide China bank capital regulation from focus on micro-financial risk to acombination of both macro-and micro-prudential regulation. In this circumstance howto measure the systemic risk contribution of bank institution in China, how to identifythe macro-system level of credit financing and cumulative risk, and how to build thecapital regulation tools based on systemic risk and measure the welfare loss that thenew regulatory capital regulation on macroeconomic volatility. And last how tobalance and coordinate this policy with monetary policy. All these important questionsare not only theoretical but practical issues and important to China’s financialregulation and macro-prudential policy framework design. It is also of significance tothe coordination of prudential capital policy and monetary policy in macro adjustmentprocess.
In this context, from the point strengthening macro-prudential supervision, westudy the design and practical application of bank capital regulation based on systemicrisk, and its macroeconomic effects based on theoretical and empirical research. Thestructure of the study consists of three parts: the first part is to measure the banksystemic risk and design capital regulation. It includes two aspects according to thecross-sectional dimension and time dimension of systemic risk. On the one hand, westudy the evaluation framework for systemic important banks and the design ofsystemic capital surcharge, on the other hand we establish a macro-systemic riskindex framework for counter-cyclical capital regulation and study on the applicationand design of countercyclical regulation tools. The second part is a DSGE model to study the macroeconomic effect of the capital regulation which is based on systemicrisk. In a general equilibrium framework we measure the macroeconomic cost andwelfare effect of both increasing capital regulation and implementing countercyclicalcapital regulation. The third section is to discuss the trade-offs and coordinationproblems of optimal monetary policy and macro-prudential capital regulation, abouttheir relationship of the two policies as well as the effect under differentmacroeconomic circumstances. This paper is divided into the following aspects:
1、we measure and rank the systemically important banks in China and build thecapital surcharge based on its systemic contribution. Considering the direct andindirect effect of risk contagion, we use both financial network analysis based onbalance sheet data, and CoVaR method based on market data to calculate the systemiccontribution and risk contagion effect of domestic banks. We also establish acomprehensive framework to evaluate63banks systemic risk contribution accordingto six types of indicators which include assets, system correlation, complexity,homogeneity and cross-border activity. Based on this calculation we divided the63banks into highly systemic banks, partial systemic banks, non-systemic large banks,and tiny banks. Our calculation provide quantitative basis for the capital surcharge ofsystemic banks.
2. We study the pro-cyclical effect of bank capital in China’s banking industryand the corresponding design of counter-cyclical capital regulation framework.Counter-cyclical bank capital regulation is the core content of the macro-prudentialsupervision. However, it is a difficult problem about how to accurately determine theeconomic cycle and identify the characteristics, level and trend of macro systemicrisks, and also difficult about the timing and extent to implement counter-cyclicalregulation. Based on pro-cyclical effect analysis of our banking system, we build amulti-level and multi-dimensional macro-systemic risk framework to reflect thewhole credit level of our society and financial system, and also as indicator index forcounter-cyclical capital regulation. As for the identification of systemic risk status andits shift trend, the paper introduces Markov regime switching model to identify andanalyze the cycle and to determine the timing and extent of counter-cyclical capital provision. Our research provide the quantitative support for systemic riskidentification and counter-cyclical capital regulation.
3. We establish a DSGE model which includes bank capital accelerator effect andfinancial accelerator effect to analyze the macroeconomic cost of capital regulationbased on systemic risk. By constructing a new Keynes DSGE model with bank capitaleffect and financial accelerator effect, we analyze the macroeconomic impact andinfluence of increasing regulatory capital and implementing countercyclical regulation.Our discuss is around three core issues: Firstly, what is the effect and mechanismabout the bank capital channel of the monetary policy transmission? Secondly, howare the shocks and influences to macroeconomic variables when increasing bankcapital regulation? Thirdly, whether the countercyclical capital regulation playing astabilizing role in real economic fluctuations. By theory and calibration analysis, wemake in-depth study about the role of bank capital to whole credit and the realeconomy, and provide theoretical and empirical study about how to implement bothmacro-prudential policy and monetary policy.
4. Based on DSGE model we also study the relationship and coordination of bothmonetary policy and macro-prudential policy. In a unified framework we comparestress test results under different macroeconomic situation and compare the welfareloss under different combination of the two policies, so as to evaluate the sensitivityof policy parameters and its economic impact. Our in-depth study about therelationship between monetary policy and counter-cyclical capital is meaningful tounderstand the order, objective and economic effect of the two policies.
5. We review US, Europe and UK etc bank regulatory reform acts, compare theirmacro-prudential framework and sum up reforms in systemic risk regulation. Wesuggest to improve macro-prudential supervision, strengthen systemic risk assessment,assure authorities’ regulatory responsibilities and tools, and value the coordinationbetween economy and finance sector and between monetary and macro-prudentialpolicy.
As the financial crisis in not yet over, the identification measure and capitalregulation of bank systemic risk is still under discussion. There is large room for improvement in research data and methods. Moreover, the DSGE model we use issimple and can be improved in its complexity to accord with actual economy.Meanwhile, the research methodology and policy suggestion need to be tested inpractice.
在这一背景下，本文从加强宏观审慎监管的角度出发，对基于系统性风险的我国银行资本监管政策设计和实际应用，以及资本监管的宏观经济效应及其与货币政策的协调关系，进行了深入的理论研究和实证分析，本文的研究结构包含三大部分：第一部分是对于系统性风险的测度和资本监管设计，具体包括两个方面，根据系统性风险的截面维度和时间维度，一方面探讨了系统重要性银行的测度评估框架和系统性附加资本的设计、计提方法，另一方面建立了逆周期资本监管框架下宏观系统性风险指标体系，并对逆周期资本工具的设计、开发和运用进行了探讨和研究。论文第二部分是在DSGE模型基础上研究了基于系统性风险资本监管的宏观经济效应，在一般均衡框架下讨论了监管资本要求提高，以及逆周期资本监管政策的实施所造成的宏观经济效应和福利影响。第三部分探讨了最优货币政策与逆周期资本监管政策的权衡与协调问题，在一个统一的模型框架内，对两种政策的相互关系以及在应对不同宏观经济情形上的效果进行研究。本文的工作主要包括以下几个方面：
1、对我国系统重要性银行进行测度并建立了有差别的系统重要性银行附加资本。本文从风险传染的直接影响和间接影响两方面，分别应用基于资产负债表关联数据的金融网络分析法，和基于市场价格数据的CoVaR方法对我国银行的系统重要性水平和风险传染效应进行测度，并综合考虑银行机构的规模、系统关联性、可替代性、复杂性、同质性和跨境活跃度六类指标，建立了银行业系统性风险的综合度量框架，并对我国63家银行的系统重要性进行评估和排序，在此基础上将银行区分为高度系统性银行、部分系统重要性银行、非系统性大型金融机构与非系统性中小银行等，为系统重要性银行附加资本的计提提供了量化标准和监管依据。
2、对于我国银行业资本监管的顺周期性及其相应的逆周期资本监管框架设计进行研究。逆周期银行资本监管是实现银行体系宏观审慎监管的核心内容，但如何准确的判断经济周期和识别宏观系统性风险的特征、水平和变化趋势，以及如何把握逆周期工具的时点和程度则是实施该项监管中的难题。本文在对我国商业银行资本充足率变动的顺周期效应进行实证分析的基础上，从中国银行业和宏观金融风险的实际情况出发，构建了多层次、多维度的宏观系统性风险度量指标框架，以反映我国金融体系和社会整体的信用融资水平，并以此作为逆周期缓冲资本的指导变量；在识别系统性风险状态和判断逆周期资本工具的应用时点方面，论文引入了Markov机制转移模型对周期转变和风险状态的阶段性变迁进行识别和分析，以确定逆周期资本的计提时点和程度，为风险判别和逆周期监管建立起系统性的定量分析方法作支撑。
3、建立了包含银行监管资本影响和金融加速器效应的DSGE模型，对基于系统性风险资本监管的宏观经济效应进行研究。通过建立一个含有银行部门监管资本影响和金融加速器效应的新凯恩斯主义DSGE模型，分析在巴塞尔III新监管框架下银行资本充足率要求提高和逆周期资本政策的实施对宏观经济波动的冲击和影响，围绕三个核心问题：即第一，货币政策的银行资本传导渠道对于宏观经济波动的作用机制和效果如何；第二，银行资本监管要求提高对于宏观经济变量的冲击和影响程度有多大；第三，逆周期资本监管政策的实施能否对真实经济波动起到平抑作用。通过理论和校准模拟分析，深入研究了银行监管资本变动通过信贷渠道对于宏观经济波动的影响机制和效果，为我国货币政策和宏观审慎政策的实施和政策工具的选择与权衡等提供理论与经验支持。
4、基于DSGE模型对货币政策与逆周期资本监管政策的权衡与协调问题进行研究。在一个统一的模型框架内，对货币政策与逆周期资本监管政策的相互关系，以及在应对不同宏观经济情形上的效果进行研究和对比，通过校准和数值模拟对不同政策组合下的社会福利损失进行比较，并对逆周期资本监管的政策参数选择及其经济效果进行全面评估，为有效把握货币政策与逆周期审慎监管政策的相互关系，以及衡量两种政策工具在应对不同政策目标（包括物价稳定和金融稳定）上的层次顺序和政策效果提供有意义的借鉴参考。
5、回顾和总结了金融危机后美国、欧盟、英国、日本等国提出的基于系统性风险的银行监管改革方案、监管工具和发展方向，比较了各国建立宏观审慎监管的机构分工和监管框架，提出从增强宏观审慎意识、加强系统性风险分析与评估、明确监管部门职责与工具、把握金融部门与实体经济的相互影响以及协调审慎政策与货币财政政策的相互关系方面，为后危机时代中国建立宏观审慎与微观审慎紧密结合的监管框架体系提供借鉴。
本文的不足之处在于：由于金融危机尚未结束，对于银行系统性风险的识别、测度和相应资本监管问题的研究仍在深入中，无论从研究数据还是研究方法上均存在较大的改进空间，此外，论文所建立的DSGE理论模型还较为简单，在提高系统的复杂性和与实际经济特征一致性方面还有待进一步深入，所提出的分析方法、框架和政策建议仍有待于在实践中进行检验。
The recent financial crisis since2008has motivated researchers to reflect on thedrawback in the area of the financial regulatory policies. One important lesson of thecrisis is that micro-prudential supervision and capital regulation which is focused onsingle bank institution risk can not effectively safeguard the stability of the bankingsystem. Moreover inflation target monetary policy may not guard against systemicrisk and lead controversial topic in the research. Implementation of Basel III in2010has guide China bank capital regulation from focus on micro-financial risk to acombination of both macro-and micro-prudential regulation. In this circumstance howto measure the systemic risk contribution of bank institution in China, how to identifythe macro-system level of credit financing and cumulative risk, and how to build thecapital regulation tools based on systemic risk and measure the welfare loss that thenew regulatory capital regulation on macroeconomic volatility. And last how tobalance and coordinate this policy with monetary policy. All these important questionsare not only theoretical but practical issues and important to China’s financialregulation and macro-prudential policy framework design. It is also of significance tothe coordination of prudential capital policy and monetary policy in macro adjustmentprocess.
In this context, from the point strengthening macro-prudential supervision, westudy the design and practical application of bank capital regulation based on systemicrisk, and its macroeconomic effects based on theoretical and empirical research. Thestructure of the study consists of three parts: the first part is to measure the banksystemic risk and design capital regulation. It includes two aspects according to thecross-sectional dimension and time dimension of systemic risk. On the one hand, westudy the evaluation framework for systemic important banks and the design ofsystemic capital surcharge, on the other hand we establish a macro-systemic riskindex framework for counter-cyclical capital regulation and study on the applicationand design of countercyclical regulation tools. The second part is a DSGE model to study the macroeconomic effect of the capital regulation which is based on systemicrisk. In a general equilibrium framework we measure the macroeconomic cost andwelfare effect of both increasing capital regulation and implementing countercyclicalcapital regulation. The third section is to discuss the trade-offs and coordinationproblems of optimal monetary policy and macro-prudential capital regulation, abouttheir relationship of the two policies as well as the effect under differentmacroeconomic circumstances. This paper is divided into the following aspects:
1、we measure and rank the systemically important banks in China and build thecapital surcharge based on its systemic contribution. Considering the direct andindirect effect of risk contagion, we use both financial network analysis based onbalance sheet data, and CoVaR method based on market data to calculate the systemiccontribution and risk contagion effect of domestic banks. We also establish acomprehensive framework to evaluate63banks systemic risk contribution accordingto six types of indicators which include assets, system correlation, complexity,homogeneity and cross-border activity. Based on this calculation we divided the63banks into highly systemic banks, partial systemic banks, non-systemic large banks,and tiny banks. Our calculation provide quantitative basis for the capital surcharge ofsystemic banks.
2. We study the pro-cyclical effect of bank capital in China’s banking industryand the corresponding design of counter-cyclical capital regulation framework.Counter-cyclical bank capital regulation is the core content of the macro-prudentialsupervision. However, it is a difficult problem about how to accurately determine theeconomic cycle and identify the characteristics, level and trend of macro systemicrisks, and also difficult about the timing and extent to implement counter-cyclicalregulation. Based on pro-cyclical effect analysis of our banking system, we build amulti-level and multi-dimensional macro-systemic risk framework to reflect thewhole credit level of our society and financial system, and also as indicator index forcounter-cyclical capital regulation. As for the identification of systemic risk status andits shift trend, the paper introduces Markov regime switching model to identify andanalyze the cycle and to determine the timing and extent of counter-cyclical capital provision. Our research provide the quantitative support for systemic riskidentification and counter-cyclical capital regulation.
3. We establish a DSGE model which includes bank capital accelerator effect andfinancial accelerator effect to analyze the macroeconomic cost of capital regulationbased on systemic risk. By constructing a new Keynes DSGE model with bank capitaleffect and financial accelerator effect, we analyze the macroeconomic impact andinfluence of increasing regulatory capital and implementing countercyclical regulation.Our discuss is around three core issues: Firstly, what is the effect and mechanismabout the bank capital channel of the monetary policy transmission? Secondly, howare the shocks and influences to macroeconomic variables when increasing bankcapital regulation? Thirdly, whether the countercyclical capital regulation playing astabilizing role in real economic fluctuations. By theory and calibration analysis, wemake in-depth study about the role of bank capital to whole credit and the realeconomy, and provide theoretical and empirical study about how to implement bothmacro-prudential policy and monetary policy.
4. Based on DSGE model we also study the relationship and coordination of bothmonetary policy and macro-prudential policy. In a unified framework we comparestress test results under different macroeconomic situation and compare the welfareloss under different combination of the two policies, so as to evaluate the sensitivityof policy parameters and its economic impact. Our in-depth study about therelationship between monetary policy and counter-cyclical capital is meaningful tounderstand the order, objective and economic effect of the two policies.
5. We review US, Europe and UK etc bank regulatory reform acts, compare theirmacro-prudential framework and sum up reforms in systemic risk regulation. Wesuggest to improve macro-prudential supervision, strengthen systemic risk assessment,assure authorities’ regulatory responsibilities and tools, and value the coordinationbetween economy and finance sector and between monetary and macro-prudentialpolicy.
As the financial crisis in not yet over, the identification measure and capitalregulation of bank systemic risk is still under discussion. There is large room for improvement in research data and methods. Moreover, the DSGE model we use issimple and can be improved in its complexity to accord with actual economy.Meanwhile, the research methodology and policy suggestion need to be tested inpractice.
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