跷跷板效应与金融风险防控——兼论“一委一行两会”新监管格局创新的意义
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摘要
在交叉性金融工具蓬勃兴起的背景下,分业监管体制可能引发银行表内信贷与交叉性金融工具之间的跷跷板效应,最终导致金融风险防控失效。利用2010年中国银行业实施的延付高管薪酬政策,本文通过PSM-DID技术和改进的一阶差分模型进行了"准自然实验",结果发现:(1)银行表内信贷与交叉性金融工具之间存在显著的跷跷板效应,即延付高管薪酬在降低银行表内信贷的同时,显著提升了银行的理财业务和同业业务,进而提升了银行的总体风险承担;(2)资本压力越大的银行,这种表内信贷与交叉性金融工具之间的跷跷板效应越明显;(3)在分业监管制度下,2013年后监管当局对银行理财业务和同业业务监管力度的持续提升,在抑制了一些旧的同业投融资模式的同时,却催生了各种利用混业资管多层嵌套的过度金融创新。因此,本文的研究结果提供了"一行三会"分业监管模式下金融风险管理可能失效的直接经验证据。
In the context of the booming of cross financial instruments, the separate supervision system may trigger the seesaw effect between bank balance-sheet credits and cross financial instruments, which will ultimately lead to the failure of financial risk prevention and control. Using the deferred executive compensation policy implemented by the China's banking industry in 2010, this paper conducted a"quasi-natural experiment"through PSM-DID technology and an improved first-order difference model. The results showed that:(1) There was a significant seesaw effect between bank balance-sheet credits and cross financial instruments, that is, the deferring of executive compensation reduced the bank's balance sheet credit while significantly improving the bank's wealth management business and inter-bank business, thereby increasing the overall risk exposure of the bank;(2) The greater the capital pressure of the bank, the more obvious the seesaw effect between such balance-sheet credits and cross financial instruments;(3) Under the separate supervision system, after 2013, the supervisory authorities continued to improve the supervision of bank wealth management business and inter-bank business. However, it has further promoted various excessive financial innovations that utilize multi-layered nesting of mixed assets while suppressing some old inter-bank investment and financing models. Therefore, the results of this paper provide direct empirical evidence that financial risk management may fail under the"one bank, three committees"separate supervision model. Finally, this paper discussed the significance of the new regulatory reforms of"one financial stability development committee, one bank and two supervision committees".
In the context of the booming of cross financial instruments, the separate supervision system may trigger the seesaw effect between bank balance-sheet credits and cross financial instruments, which will ultimately lead to the failure of financial risk prevention and control. Using the deferred executive compensation policy implemented by the China's banking industry in 2010, this paper conducted a"quasi-natural experiment"through PSM-DID technology and an improved first-order difference model. The results showed that:(1) There was a significant seesaw effect between bank balance-sheet credits and cross financial instruments, that is, the deferring of executive compensation reduced the bank's balance sheet credit while significantly improving the bank's wealth management business and inter-bank business, thereby increasing the overall risk exposure of the bank;(2) The greater the capital pressure of the bank, the more obvious the seesaw effect between such balance-sheet credits and cross financial instruments;(3) Under the separate supervision system, after 2013, the supervisory authorities continued to improve the supervision of bank wealth management business and inter-bank business. However, it has further promoted various excessive financial innovations that utilize multi-layered nesting of mixed assets while suppressing some old inter-bank investment and financing models. Therefore, the results of this paper provide direct empirical evidence that financial risk management may fail under the"one bank, three committees"separate supervision model. Finally, this paper discussed the significance of the new regulatory reforms of"one financial stability development committee, one bank and two supervision committees".
引文
[1]何靖.延付高管薪酬降低了银行风险偏好吗——信贷资产配置行为视角的研究[J].财贸经济,2016,(11):77-96.
[2]何靖.延付高管薪酬对银行风险承担的政策效应——基于银行盈余管理动机视角的PSM-DID分析[J].中国工业经济,2016,(11):126-143.
[3]JENSEN M C,MECKLING W H.Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure[J].Journal of Financial Economics,1976,(4):305-360.
[4]EDMANS A,LIU Q.Inside Debt[J].Review of Finance,2011,(1):75-102.
[5]BELKHIR M,BOUBAKER S.CEO inside debt and hedging decisions:Lessons from the US banking industry[J].Journal of International Financial Markets,Institutions and Money,2013,24:223-246.
[6]BENNETT R L,GUNTAY L,UNAL H.Inside debt,bank default risk,and performance during the crisis[J].Journal of Financial Intermediation,2015,(4):487-513.
[7]INDERST R,PFEIL S.Securitization and compensation in financial institutions[J].Review of Finance,2012,(4):1323-1364.
[8]HOFFMANN F,INDERST R,OPP M.Only time will tell:A theory of deferred compensation[R].2018,August 9,Available SSRN:https://ssrn.com/abstract=2894496.
[9]王剑.新监管格局下我国银行的业务变迁[J].中国银行业,2018,(5):38-40+44..
[10]刘煜辉.中国式影子银行[J].中国金融,2013,(4):57-59.
[11]ROSENBAUM P R,DONALD B R,The Central Role of the Propensity Score in Observational Studies for Causal Effects[J].Biometrika,1983,(1):41-55.
(1)交叉性金融工具,是指一项金融工具跨货币市场、资本市场、保险市场等至少两个以上金融市场或跨银行、证券、保险、信托等至少两个金融行业。
(2)《监管指引》中明确要求“高管绩效薪酬的40%以上应采取延期支付的方式,且延期支付期限一般不少于3年”,“如在规定期限内其高级管理人员和相关员工职责内的风险损失超常暴露,商业银行有权将相应期限内已发放的绩效薪酬全部追回,并止付所有未支付部分”。
(1)《监管指引》对“绩效薪酬”和“风险成本”的相关标准做出界定,要求“商业银行绩效考核指标应包括经济效益指标、风险成本控制指标和社会责任指标”,其中“风险成本控制指标至少应包括资本充足率、不良贷款率、拨备覆盖率、案件风险率、杠杆率等”。
(1)因篇幅所限,没有详细提供具体银行名称,有需要者可与作者联系索取。
(1)包括所有已经实施和未实施延付薪酬政策的银行,但剔除2010年前自发实施延付薪酬政策的9家银行。为了更好地研究银行实施延付薪酬政策前后风险水平的变化,我们以2010年为界,取2005-2015为研究周期。
(2)限于篇幅,没有报告相关表格,有需要者可以与作者联系索取。
(1)限于篇幅,没有报告相关表格,有需要者可以与作者联系索取。
[2]何靖.延付高管薪酬对银行风险承担的政策效应——基于银行盈余管理动机视角的PSM-DID分析[J].中国工业经济,2016,(11):126-143.
[3]JENSEN M C,MECKLING W H.Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure[J].Journal of Financial Economics,1976,(4):305-360.
[4]EDMANS A,LIU Q.Inside Debt[J].Review of Finance,2011,(1):75-102.
[5]BELKHIR M,BOUBAKER S.CEO inside debt and hedging decisions:Lessons from the US banking industry[J].Journal of International Financial Markets,Institutions and Money,2013,24:223-246.
[6]BENNETT R L,GUNTAY L,UNAL H.Inside debt,bank default risk,and performance during the crisis[J].Journal of Financial Intermediation,2015,(4):487-513.
[7]INDERST R,PFEIL S.Securitization and compensation in financial institutions[J].Review of Finance,2012,(4):1323-1364.
[8]HOFFMANN F,INDERST R,OPP M.Only time will tell:A theory of deferred compensation[R].2018,August 9,Available SSRN:https://ssrn.com/abstract=2894496.
[9]王剑.新监管格局下我国银行的业务变迁[J].中国银行业,2018,(5):38-40+44..
[10]刘煜辉.中国式影子银行[J].中国金融,2013,(4):57-59.
[11]ROSENBAUM P R,DONALD B R,The Central Role of the Propensity Score in Observational Studies for Causal Effects[J].Biometrika,1983,(1):41-55.
(1)交叉性金融工具,是指一项金融工具跨货币市场、资本市场、保险市场等至少两个以上金融市场或跨银行、证券、保险、信托等至少两个金融行业。
(2)《监管指引》中明确要求“高管绩效薪酬的40%以上应采取延期支付的方式,且延期支付期限一般不少于3年”,“如在规定期限内其高级管理人员和相关员工职责内的风险损失超常暴露,商业银行有权将相应期限内已发放的绩效薪酬全部追回,并止付所有未支付部分”。
(1)《监管指引》对“绩效薪酬”和“风险成本”的相关标准做出界定,要求“商业银行绩效考核指标应包括经济效益指标、风险成本控制指标和社会责任指标”,其中“风险成本控制指标至少应包括资本充足率、不良贷款率、拨备覆盖率、案件风险率、杠杆率等”。
(1)因篇幅所限,没有详细提供具体银行名称,有需要者可与作者联系索取。
(1)包括所有已经实施和未实施延付薪酬政策的银行,但剔除2010年前自发实施延付薪酬政策的9家银行。为了更好地研究银行实施延付薪酬政策前后风险水平的变化,我们以2010年为界,取2005-2015为研究周期。
(2)限于篇幅,没有报告相关表格,有需要者可以与作者联系索取。
(1)限于篇幅,没有报告相关表格,有需要者可以与作者联系索取。