摘要
本文以顺周期性为纽带,分析了顺周期性产生和强化机制,探索危机爆发和加剧的机制。依据逆周期性的政策工具的选择,探寻金融监管变革的趋向,尝试构建宏观审慎监管框架。最后尝试构建我国的宏观审慎监管框架,提出并分析了四种可能的模式。
This thesis, based on pro‐cyclicality, analyzes the mechanisms which produce andstrengthen the pro‐cyclicality, so to find out the mechanisms of exploring and intensifying thecrisis. Then depending on the choice of Counter‐cyclical policies, researches the trend of changesin financial regulation, and builds macro‐prudential regulatory framework. Finally constructs ourcountry's macro‐prudential regulatory framework, presents and analyzes four possible modes.
引文
①G20(2009),G‐20 Working group 1:“Enhancing Sound Regulation and Strengthening Transparency“.www.g20.org/Documents/g20_wg1_010409.pdf
②石建勋、钟建飞：《国外关于金融危机研究的最新动态》，《经济学动态》，2009，9 p96‐100
②G20(2009),G‐20 Working group 1:“Enhancing Sound Regulation and Strengthening Transparency“.www.g20.org/Documents/g20_wg1_010409.pdf
③G20(2009),G‐20 Working group 2:”Reinforcing International Cooperation and Promoting Integrity in FinancialMarkets”, www.g20.org/Documents/g20_wg2_010409.pdf
①Carmen M. Reinhart, Kenneth S. Rogoff(2008),Is the 2007 U.S. Sub‐Prime Financial Crisis So Different? AnInternational Historical Comparison. http://www.nber.org/papers/w13761
②G20(2009),ibid.
③李文泓：《关于宏观审慎监管框架下逆周期政策的探讨》，《金融研究》2009年第7期，p7‐24.
①Blanchard(2010):Rethink Macroeconomic Policy. www.imf.org/external/pubs/ft/spn/2010/spn1003.pdf
②BIS(Bank for International Settlements) ,2008,Address financial system procyclicality: a possible framework.www.financialstabilityboard.org/publications/r_0904e.pdf对FSF的报告《Report of the financial stability forumon enhancing market and institutional resilience》的解读。
③黄世忠：《公允价值会计的顺周期效应及其应对策略》，《会计研究》2009.11，p23.
④李文泓：《关于宏观审慎监管框架下逆周期政策的探讨》，《金融研究》2009年第7期，p7‐24.
①Irving Fisher(1933).“The Debt‐Deflation Theory of Great Depression”, Econometrica, Vol. 1, No. 4 (Oct., 1933),pp. 337‐357.
③Paneta,F. and Angelini, P. , et al. ,2009. Financial sector pro‐cyclicality: Lessons from the crisis, Occasional paperNo.44. Bank of Italy.
④BIS(2008), ibid.
⑤周小川（2009）：《关于改变宏观和微观顺周期性的进一步探讨》，http://news.xinhuanet.com/fortune/2009‐03/26/content_11079284.htm
⑥李文泓：前引文，p7‐24.
①FSB( Financial Stability Board ) ,2010, Progress since the St Andrews meeting in Implementing the G20Recommendations for Strengthening Financial Stability.
②【英】霍华德·戴维斯，大卫·格林：《全球金融监管》，中国银行业监督管理委员会国际部译，中国金融出版社，2009年5月，pp4‐13.
③【英】霍华德·戴维斯，大卫·格林：前引文，pp14‐54.
④Basel Committee on Banking Supervision (BCBS) (2004),“International Convergence of Capital Measurementand Capital Standards. A Revised Framework”, www.bis.org/publ/bcbs107.htm .
⑤Piet clement(2010):The term“macroprudential”: origins and evolution,BIS Quarterly Review,www.bis.org/publ/qtrpdf/r_qt1003h.pdf .
①金荦，陶玲：前引文，pp9‐30.
②刘春航，李文泓：前引文，pp31‐43.
③李妍：前引文，pp52‐59
④贺强等：《中国金融改革中的货币政策与金融监管》，中国金融出版社，2008年4月，pp110‐125.
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①Jose′A. Scheinkman and Wei Xiong.“Overconfidence and Speculative Bubbles”, Journal of Political Economy,2003, vol. 111, no. 6,p1183‐1219
③巴曙松：《巴塞尔新资本协议研究》，中国金融出版社，2003年，pp95‐117.
④Paneta,F. and Angelini, P. , et al. ,ibid.
①数据转引自Paneta,F. and Angelini, P. , et al. ,ibid.
②L?ffler, G. (2008),“Can Rating Agencies Look Through the Cycle?”,www.greta.it/credit/credit2005/Friday/05_Loeffler.pdf
③Moody’s (2003),“Structured Finance Rating Transitions: 1983–2002, January.
④违约损失率是指债务人一旦违约将给债权人造成的损失数额占风险暴露(债权)的百分比，即损失的严重程度。详细可参看：http://www.fundfund.cn/news_200921_36930.htm
②Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi, 2005,The Journal of Business, Vol. 78, No. 6(Nov., 2005), pp. 2203‐2227).
③Paneta,F. and Angelini, P. , et al. ,ibid.
④Carey, M. and M. Gordy, (2004)“Measuring Systematic Risk in Recoveries on Defaulted Debt”,www.fdic.gov/bank/analytical/cfr/2005/apr/MCarey_MGordy.pdf.
①Saurina, J. and C. Trucharte (2007),“An Assessment of Basel II Pro‐cyclicality in Mortgage Portfolios”, Journal ofFinancial Services Research, Vol. 32 (1–2), pp. 81–101.
②Catarineu–Rabell, E., P. Jackson, and D. Tsomocos (2003),“Pro‐cyclicality and the New Basel Accord–Banks’Choice of Loan Rating System,”Bank of England Working Paper, No.181.
④de Larosière, J., L. Balcerowicz, O. Issing, R. Masera, C. Mc Carthy, L. Nyberg, J. Pérez Onno Ruding (2009), Thehigh‐level group on financial supervision in the EU, Brussels. Available on the Website of the EuropeanCommission.
①FSF( Financial Stability Forum ),2009,“Report of the Financial Stability Forum on Addressing Procyclicality inthe Financial System”, April 2.
①Hyun Song Shin: Financial Intermediation and the Post‐Crisis Financial System, 4th June 2009.www.princeton.edu/~hsshin/www/futurefinance.pdf
①在经济衰退期因为一家银行为减少风险暴露的审慎行为而减少或收回对另一家银行（金融机构）的贷款，造成另一家银行因没有资金来源而被置于被挤兑的地步。可参看Hyun Song Shin: Financial Intermediation andthe Post‐Crisis Financial System, 4th June 2009. www.princeton.edu/~hsshin/www/futurefinance.pdf.
②Paneta,F. and Angelini, P. , et al. ibid.
③ECB. 2004. Fair value accounting and financial stability. By ECB staff team lead by A. Enria. Occasional paperseries, no.13, Ap ril 2004.
④Enria, A., L. Cappiello, F. Dierick, G. Sergio, A. Haralambous, A. Maddaloni, P. Molitor, F.Pires, and P. Poloni(2004),“Fair Value Accounting and Financial Stability”, European Central Bank Occasional Papers, No. 13.
⑤Gorton, G., P. He and L. Huang (2006),“Asset Prices When Agents are Marked–to–Market”,NBER Working Paper,No. W12075.
⑥Allen, F. and E. Carletti ,2008,“Should Financial Institutions Mark–to–Market?”, in Banque de France (2008).
⑦Vi?als, J. (2008),“Improving Fair Value Accounting”, in Banque de France (2008)www.banque‐france.fr/gb/publications/.../2008/etud13_1008.pdf.
①黄世忠：前引文，pp23‐29.
②李文泓：前引文，pp7‐24.
②刘春航，李文泓：前引文，pp31‐43.
①曹凤岐:前引文，pp57‐66.
②钱小安：《金融监管体制、效率与变革》，中国金融出版社2006年10月出版，pp138‐147.
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