系统性风险的来源、预警机制与监管策略
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摘要
近三十年来,全球经济体系发展的一个重要特征是虚拟经济的发展速度和规模远大于实体经济。在虚拟经济与实体经济的关系上,国内外学术界过去的研究多重视虚拟经济的发展越来越背离实体经济的发展,如国际货币市场的交易额远大于国际贸易额的规模,有些经济学家甚至认为这种“倒金字塔”型的经济、金融体系有系统性崩溃的可能性。总之随着虚拟经济的快速发展,市场波动和系统性风险导致发展中国家和发达国家频繁发生的金融危机,对实际经济产生了负面冲击,而且在世界范围内导致了经济增长和就业水平的普遍下降,因此各国和一些国际组织开始对系统性风险的控制表现出担心和重视。
遗憾的是,经济学家对系统性风险的原因和本质的认识并不统一,很难为系统性风险下一个十分清晰的定义。既有研究文献中,一般认为“系统性”一方面是指一个事件影响了整个体系的功能,另一方面是指一个事件让不相干的第三方也承担了一定的成本；“系统性风险”则是指一个事件在一连串的机构和市场构成的系统中引起一系列连续损失的可能性。因此系统性风险是一种“外部性”,是单个机构强加于全社会的高于其实际价值的成本,风险的溢出和传染是系统性的风险发生时最为典型的特征,而且系统性风险的这一特征不仅仅局限于一国的经济、金融领域。尤其是上世纪80年代以来,全球经济一体化和金融全球化的趋势使各国经济极易受到国际经济环境变化的冲击；股票市场、外汇市场价格联动的特征则使金融系统性风险的连锁反应速度加快；现代通讯技术及金融交易的高科技程度也为信息的传播及风险的溢出创造了条件,某个市场的动荡结果会通过计算机网络体系迅速得到蔓延,影响到世界其他地区的经济和金融局势。
本文以系统性风险研究为切入点,全面梳理系统性风险的来源、预警和监管,本文中与系统性风险相对应的“系统”主体对象是以整个金融机构(或者整个虚拟经济部门)为对象,但分析的案例一般则回到小系统的概念,突出证券市场的主体被研究地位。
文章的创新逻辑就是想以虚拟经济理论为背景结合国内外金融系统(主要是证券市场)发展的经验及现状,突出分析在虚拟经济日渐成为经济活动主体的情况下,主要是虚拟经济日渐膨胀使得影响系统性风险的因素更多和更加复杂,我们究竟该如何对整个整体金融这个大系统以及证券市场这个小系统的系统性风险来源、预警和监管进行认识。如果说在虚拟经济不发达的情况下,某些资产价格波动、市场波动没有能力引起全盘金融体系波动的情况下,那么当现代经济步入虚拟经济时代,虚拟经济已经基本独立于实体经济发展的形势下,日益独立运行化运行,此时一些金融市场乃至资产价格的微小波动就成为不断冲击整体市场的独立波动源,成为系统性风险的导火索。本文第一部分就既有理论对系统性风险的界定、传染机制、危害等方面进行了必要的介绍,在此基础上阐述了本文的基本研究逻辑、框架和创新点；接下来本文第二部分和第三部分主要讨论了虚拟经济的蓬勃发展对整体金融这个大系统以及证券市场这个小系统的影响,主要分析了虚拟经济的发展导致的资产价格偏离其原有内在价值而表现出特有的波动,虽然这种偏离和波动是证券市场与生俱来的,但在经济虚拟化和金融自由化的大趋势下,这种偏离和波动不断被放大而更多地受到非理性因素的影响,导致证券市场的系统性风险和金融机构整体的系统性风险不断加强。文章指出当前我国证券市场系统性风险主要源于政策干预频繁、信息不对称严重、投资者在证券市场上的行为具有较明显的羊群效应等。在这个部分,笔者还对证券市场系统性风险的测度问题以及中美证券市场在金融危机期间的系统性风险相互传递的关系进行了实证分析；第四部分就整个系统性风险的预警机制、指标体系等问题进行了详细研究,总结了已有系统性风险预警指标体系中存在的问题——仅仅关注存量和净流量的指标,损失了很多信息,从理论逻辑上设计了一个涵盖全部机构部门的资金流量矩阵表来对系统性风险进行预警的系统；第五部分和第六部分就系统性风险的监管笔者提出了一些看法,对中国金融市场的系统性风险管理进行小结并提出思考,认为从总体上来监管系统性风险应该采用宏观审慎监管的策略。
本文的创新点主要为以下三个方面：第一,文章对系统性风险的界定、内涵和传染机制的已有研究进行了全面梳理和分析,解决了以前研究比较散乱的问题,首次提出了基于虚拟资产价格波动解释系统性风险来源的分析框架并具体阐述了经济虚拟化对整体金融系统和证券市场系统性风险的影响机制；第二,文章指出在经济虚拟化的大趋势下证券市场价格偏离基本面和波动幅度不断加大,导致证券市场的系统性风险不断加强,实证研究了中美两国在金融危机之间的风险波动溢出效应,发现两国证券市场不存在系统性风险的传递关系；第三,文章全面梳理了系统性风险预警指标体系,指出了现有系统性风险预警指标最大问题在于它所基于的分析方法都是采用净流量与存量的概念,大量的有用信息都因此被忽略了,尤其用这种方法来分析金融市场的不稳定性,监测系统性风险时更是如此,进而文章从理论逻辑上创新设计出了一个涵盖全部机构部门的资金流量矩阵表系统性风险预警体系,进而文章在预警指标基础上细致分析和总结了系统性风险的监管策略——宏观审慎监管的内涵。
In the past three decades, an important feature the development of the global system is the situation that the speed and scale of fictitious economy is much greater than that of the real economy. In the research of the relationship of fictitious economy and real economy, the domestic and international academic paid more attention to the problem that the development of the fictitious economy is more and more deviated from the entities, such as the scale of the turnover of the international currency market is much larger than that of international trade, some economist even think it is possible that this "inverted pyramid" type of economy and financial system may collapse. In short, with rapid development of fictitious economy, market fluctuation and systematic risk led to frequent financial crisis in developing and developed countries, a negative impact to the real economy, and a worldwide general decline in the growth of economy and employment levels, so countries and international organizations had began to show some concern and attention on the control of the systematic risk.
Unfortunately, the understanding of economists on the causes and nature of systematic risk is not uniform. It is difficult to give a very clear definition for systematic risk. The general view of "systematic" of the existing literature on one hand refers to the situation that an event affects the function of the whole system, on the other hand refers to that an event makes the unrelated third party bear a certain cost; "systematic risk" refers to the probability of the a series of consecutive losses which will be made by an event in the system composed by a series of institutions and markets. Systematic risk is therefore a kind of "externality", is the cost over the actual value that imposed on the whole society by a single sector, the overflow and transmission of risk is the most typical feature when the systematic risk occurs, and this feature of systematic risk is not limited to the economic and financial field of only one country. Especially since the 80s of last century, the tendency of global economic integration and financial globalization makes economy of the countries vulnerable to the impact of changes of the international economic environment; the price linkage mechanism in the stock market and the foreign exchange market led to faster response to the financial systematic risk; modern communication technology and the high technology degree of financial transactions create the conditions for the spread of the information and the overflow of the risk, the results of the turbulence of one market will be spread rapidly through the computer network system and affect economic and financial situation of other parts of the world.
In this paper, I use the research of the systematic risk as the breakthrough point, card the source, early warning and monitoring of systematic risk. The agent object of the "system" in this article is the whole financial institution (or the fictitious economy as an object), however, when we analysis the case we return to the concept of small systems, to highlight the status of the security market to be studied.
The innovation logic of this article is that I want to research how should we recognize the source, early warning and monitoring of systematic risk of the big system-the whole financial institution and the small system-the security market, in the situation thafictitious economy is becoming the main economic activity, mainly that the expansion of fictitious economy make factors that affect the systematic risk more complicated, in the background of the fictitious financial theories, with the development experience and current situation at home and abroad financial system (mainly the stock market). The fluctuation of some assets and the market has no ability to cause fluctuations in the whole financial system in the case of undeveloped fictitious economy, but when the modern economy steps into fictitious economy and fictitious economy has basically been independent of the development of the real economy, some small fluctuations of financial market and even the price of some asset are becoming the constant independent source of the fluctuation of the whole market, as the fuse of systematic risk. In the first segment of this article I gave some necessary introduction of the definition of systematic risk, transmission mechanism and the hazard, etc. of the existing theories, and elaborated the logic, frame and innovation of this article on this basis; then in the second part of this article and the third part I focused on the effect of the rapid development of fictitious economy on the big system-overall financial institution and the small system-the security market, mainly analyzing the fluctuations caused by assets prices deviating from their original value because of the development of the fictitious economy. Although this deviation and the fluctuation of the security market is inherent, the situation that the deviation and the fluctuation has been enlarged and affected by more Irrational factors made the systematic risk of the security market and the financial institution constantly be strengthened in the tendency of fictitiousization of economy and financial liberalization. This article points out that the current systematic risk in China's security market mainly dues to the frequent policy interventions, information asymmetry, the obvious herding behavior of the investors in the security market and so on. In this section I also made empirical analysis of the measure of systematic risk of the security market and the systematic risk transfer relationship between China' security market and U.S. security market during the financial crisis; in the fourth part I studied the entire early warning system, index system and other issues of the whole systematic risk in detail, summed up the problem of the early warning system of the existing index system——just paying attention to index of the stock and net flows, lost a lot of information, I designed a flow of funds matrix which covered all institutions from a theoretical logic to represent the system of early warning; In the Part V and Part VI I put forward some views on the regulation of systematic risk, gave a summary of the China's financial market systematic risk management and put forward some thoughts that we should adopt macro-prudential supervision strategies from the overall supervision of systematic risk.
The innovation of this paper is mainly the following three aspects:first, this article gave the definition of systematic risk, sorted and analyzed the content and transmission mechanism of the existing study, solved the scattered problem of the past research, and for the first time concretely analyzed the effects on the whole financial institution system and the security market system of the fictitiousization of economy; Second, the article pointed out that in the major trend of the fictitiousization of economy, the security market price's deviation from fundamentals and the fluctuation continued to increase, led the systematic risk of the security market to be strengthened constantly, gave the empirical study of the fluctuation and overflow effects between China and U.S. in financial crisis, and found that there was no systematic risk transfer relationship between the security markets of the two countries; third, the article sort of the early warning index system of the systematic risk, pointed out that the biggest problem of the existing early warning index of systematic risk is that it is based on analysis using the concept of net flow and stock, a lot of useful information are therefore neglected, especially when this method is used to analyze financial market stability and monitor systematic risk. Thus, this article designed a flow of funds matrix which covered all institutions from a theoretical logic to represent the system of early warning, and then on the basis of early warning index analyzed and summarized content of the regulatory strategy of the systematic risk-the of macro prudential supervision in detail.
遗憾的是,经济学家对系统性风险的原因和本质的认识并不统一,很难为系统性风险下一个十分清晰的定义。既有研究文献中,一般认为“系统性”一方面是指一个事件影响了整个体系的功能,另一方面是指一个事件让不相干的第三方也承担了一定的成本；“系统性风险”则是指一个事件在一连串的机构和市场构成的系统中引起一系列连续损失的可能性。因此系统性风险是一种“外部性”,是单个机构强加于全社会的高于其实际价值的成本,风险的溢出和传染是系统性的风险发生时最为典型的特征,而且系统性风险的这一特征不仅仅局限于一国的经济、金融领域。尤其是上世纪80年代以来,全球经济一体化和金融全球化的趋势使各国经济极易受到国际经济环境变化的冲击；股票市场、外汇市场价格联动的特征则使金融系统性风险的连锁反应速度加快；现代通讯技术及金融交易的高科技程度也为信息的传播及风险的溢出创造了条件,某个市场的动荡结果会通过计算机网络体系迅速得到蔓延,影响到世界其他地区的经济和金融局势。
本文以系统性风险研究为切入点,全面梳理系统性风险的来源、预警和监管,本文中与系统性风险相对应的“系统”主体对象是以整个金融机构(或者整个虚拟经济部门)为对象,但分析的案例一般则回到小系统的概念,突出证券市场的主体被研究地位。
文章的创新逻辑就是想以虚拟经济理论为背景结合国内外金融系统(主要是证券市场)发展的经验及现状,突出分析在虚拟经济日渐成为经济活动主体的情况下,主要是虚拟经济日渐膨胀使得影响系统性风险的因素更多和更加复杂,我们究竟该如何对整个整体金融这个大系统以及证券市场这个小系统的系统性风险来源、预警和监管进行认识。如果说在虚拟经济不发达的情况下,某些资产价格波动、市场波动没有能力引起全盘金融体系波动的情况下,那么当现代经济步入虚拟经济时代,虚拟经济已经基本独立于实体经济发展的形势下,日益独立运行化运行,此时一些金融市场乃至资产价格的微小波动就成为不断冲击整体市场的独立波动源,成为系统性风险的导火索。本文第一部分就既有理论对系统性风险的界定、传染机制、危害等方面进行了必要的介绍,在此基础上阐述了本文的基本研究逻辑、框架和创新点；接下来本文第二部分和第三部分主要讨论了虚拟经济的蓬勃发展对整体金融这个大系统以及证券市场这个小系统的影响,主要分析了虚拟经济的发展导致的资产价格偏离其原有内在价值而表现出特有的波动,虽然这种偏离和波动是证券市场与生俱来的,但在经济虚拟化和金融自由化的大趋势下,这种偏离和波动不断被放大而更多地受到非理性因素的影响,导致证券市场的系统性风险和金融机构整体的系统性风险不断加强。文章指出当前我国证券市场系统性风险主要源于政策干预频繁、信息不对称严重、投资者在证券市场上的行为具有较明显的羊群效应等。在这个部分,笔者还对证券市场系统性风险的测度问题以及中美证券市场在金融危机期间的系统性风险相互传递的关系进行了实证分析；第四部分就整个系统性风险的预警机制、指标体系等问题进行了详细研究,总结了已有系统性风险预警指标体系中存在的问题——仅仅关注存量和净流量的指标,损失了很多信息,从理论逻辑上设计了一个涵盖全部机构部门的资金流量矩阵表来对系统性风险进行预警的系统；第五部分和第六部分就系统性风险的监管笔者提出了一些看法,对中国金融市场的系统性风险管理进行小结并提出思考,认为从总体上来监管系统性风险应该采用宏观审慎监管的策略。
本文的创新点主要为以下三个方面：第一,文章对系统性风险的界定、内涵和传染机制的已有研究进行了全面梳理和分析,解决了以前研究比较散乱的问题,首次提出了基于虚拟资产价格波动解释系统性风险来源的分析框架并具体阐述了经济虚拟化对整体金融系统和证券市场系统性风险的影响机制；第二,文章指出在经济虚拟化的大趋势下证券市场价格偏离基本面和波动幅度不断加大,导致证券市场的系统性风险不断加强,实证研究了中美两国在金融危机之间的风险波动溢出效应,发现两国证券市场不存在系统性风险的传递关系；第三,文章全面梳理了系统性风险预警指标体系,指出了现有系统性风险预警指标最大问题在于它所基于的分析方法都是采用净流量与存量的概念,大量的有用信息都因此被忽略了,尤其用这种方法来分析金融市场的不稳定性,监测系统性风险时更是如此,进而文章从理论逻辑上创新设计出了一个涵盖全部机构部门的资金流量矩阵表系统性风险预警体系,进而文章在预警指标基础上细致分析和总结了系统性风险的监管策略——宏观审慎监管的内涵。
In the past three decades, an important feature the development of the global system is the situation that the speed and scale of fictitious economy is much greater than that of the real economy. In the research of the relationship of fictitious economy and real economy, the domestic and international academic paid more attention to the problem that the development of the fictitious economy is more and more deviated from the entities, such as the scale of the turnover of the international currency market is much larger than that of international trade, some economist even think it is possible that this "inverted pyramid" type of economy and financial system may collapse. In short, with rapid development of fictitious economy, market fluctuation and systematic risk led to frequent financial crisis in developing and developed countries, a negative impact to the real economy, and a worldwide general decline in the growth of economy and employment levels, so countries and international organizations had began to show some concern and attention on the control of the systematic risk.
Unfortunately, the understanding of economists on the causes and nature of systematic risk is not uniform. It is difficult to give a very clear definition for systematic risk. The general view of "systematic" of the existing literature on one hand refers to the situation that an event affects the function of the whole system, on the other hand refers to that an event makes the unrelated third party bear a certain cost; "systematic risk" refers to the probability of the a series of consecutive losses which will be made by an event in the system composed by a series of institutions and markets. Systematic risk is therefore a kind of "externality", is the cost over the actual value that imposed on the whole society by a single sector, the overflow and transmission of risk is the most typical feature when the systematic risk occurs, and this feature of systematic risk is not limited to the economic and financial field of only one country. Especially since the 80s of last century, the tendency of global economic integration and financial globalization makes economy of the countries vulnerable to the impact of changes of the international economic environment; the price linkage mechanism in the stock market and the foreign exchange market led to faster response to the financial systematic risk; modern communication technology and the high technology degree of financial transactions create the conditions for the spread of the information and the overflow of the risk, the results of the turbulence of one market will be spread rapidly through the computer network system and affect economic and financial situation of other parts of the world.
In this paper, I use the research of the systematic risk as the breakthrough point, card the source, early warning and monitoring of systematic risk. The agent object of the "system" in this article is the whole financial institution (or the fictitious economy as an object), however, when we analysis the case we return to the concept of small systems, to highlight the status of the security market to be studied.
The innovation logic of this article is that I want to research how should we recognize the source, early warning and monitoring of systematic risk of the big system-the whole financial institution and the small system-the security market, in the situation thafictitious economy is becoming the main economic activity, mainly that the expansion of fictitious economy make factors that affect the systematic risk more complicated, in the background of the fictitious financial theories, with the development experience and current situation at home and abroad financial system (mainly the stock market). The fluctuation of some assets and the market has no ability to cause fluctuations in the whole financial system in the case of undeveloped fictitious economy, but when the modern economy steps into fictitious economy and fictitious economy has basically been independent of the development of the real economy, some small fluctuations of financial market and even the price of some asset are becoming the constant independent source of the fluctuation of the whole market, as the fuse of systematic risk. In the first segment of this article I gave some necessary introduction of the definition of systematic risk, transmission mechanism and the hazard, etc. of the existing theories, and elaborated the logic, frame and innovation of this article on this basis; then in the second part of this article and the third part I focused on the effect of the rapid development of fictitious economy on the big system-overall financial institution and the small system-the security market, mainly analyzing the fluctuations caused by assets prices deviating from their original value because of the development of the fictitious economy. Although this deviation and the fluctuation of the security market is inherent, the situation that the deviation and the fluctuation has been enlarged and affected by more Irrational factors made the systematic risk of the security market and the financial institution constantly be strengthened in the tendency of fictitiousization of economy and financial liberalization. This article points out that the current systematic risk in China's security market mainly dues to the frequent policy interventions, information asymmetry, the obvious herding behavior of the investors in the security market and so on. In this section I also made empirical analysis of the measure of systematic risk of the security market and the systematic risk transfer relationship between China' security market and U.S. security market during the financial crisis; in the fourth part I studied the entire early warning system, index system and other issues of the whole systematic risk in detail, summed up the problem of the early warning system of the existing index system——just paying attention to index of the stock and net flows, lost a lot of information, I designed a flow of funds matrix which covered all institutions from a theoretical logic to represent the system of early warning; In the Part V and Part VI I put forward some views on the regulation of systematic risk, gave a summary of the China's financial market systematic risk management and put forward some thoughts that we should adopt macro-prudential supervision strategies from the overall supervision of systematic risk.
The innovation of this paper is mainly the following three aspects:first, this article gave the definition of systematic risk, sorted and analyzed the content and transmission mechanism of the existing study, solved the scattered problem of the past research, and for the first time concretely analyzed the effects on the whole financial institution system and the security market system of the fictitiousization of economy; Second, the article pointed out that in the major trend of the fictitiousization of economy, the security market price's deviation from fundamentals and the fluctuation continued to increase, led the systematic risk of the security market to be strengthened constantly, gave the empirical study of the fluctuation and overflow effects between China and U.S. in financial crisis, and found that there was no systematic risk transfer relationship between the security markets of the two countries; third, the article sort of the early warning index system of the systematic risk, pointed out that the biggest problem of the existing early warning index of systematic risk is that it is based on analysis using the concept of net flow and stock, a lot of useful information are therefore neglected, especially when this method is used to analyze financial market stability and monitor systematic risk. Thus, this article designed a flow of funds matrix which covered all institutions from a theoretical logic to represent the system of early warning, and then on the basis of early warning index analyzed and summarized content of the regulatory strategy of the systematic risk-the of macro prudential supervision in detail.
引文
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1 由于所采取的金融发展模式不同,法国、德国等一些欧洲国家以银行业为主,其资本市场与美国、日本相比要相对规模要小得多,但是在金融自由化以来证券业发展也很快,北欧国家也出现了股市危机。
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1 rf为国外利率水平,f为本币的远期贴水。这表明股票价格与本币未来变化同方向变化,即股市与汇市同时上升,同时下跌。
1 国内前一阵子为了严格规范经营,降低风险,三申五令地要求房地产开发商的自有资本率不低于30%,杠杆率相当于1：3.3；尽管现实中的房地产开发商的杠杆率常在1：10左右
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1 由于所采取的金融发展模式不同,法国、德国等一些欧洲国家以银行业为主,其资本市场与美国、日本相比要相对规模要小得多,但是在金融自由化以来证券业发展也很快,北欧国家也出现了股市危机。
1 Jean Tirole,"Asset Bubbles and Overlapping Generations",Econometrica.Vol.53,No.6,Nov.1985,pp.1499-1528.
1 rf为国外利率水平,f为本币的远期贴水。这表明股票价格与本币未来变化同方向变化,即股市与汇市同时上升,同时下跌。
1 国内前一阵子为了严格规范经营,降低风险,三申五令地要求房地产开发商的自有资本率不低于30%,杠杆率相当于1：3.3；尽管现实中的房地产开发商的杠杆率常在1：10左右