金融一体化下的国际风险分担研究
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摘要
金融一体化始于20世纪60年代,伴随着西方发达国家纷纷放松金融管制,广大发展中国家为了解决长期困扰本国的金融抑制经济发展问题而纷纷向外国投资者开放本国金融市场,世界各国金融市场的联系日渐紧密,在资金这一纽带的作用下,逐渐形成的一种相互影响,相互竞争、相互合作的状态和趋势。其主要表现是资产配置日益跨出国境而多样化,资金在国际上的流动所受到的限制较少,跨境金融交易总额迅速增加,以及以除美元以外的各种货币标明面值发行的债券金额大幅增加。大量国际资本的涌入一方面为一个国家的发展提供了急需的资金支持,增加了金融市场的流动性和活力,改善了其资金配置的效率和风险分担的功能,但是另一方面,国际资本流动的大起大落和“突然停止”也给原本脆弱的金融体系增添了更大的不确定性,引发的信心危机也给各国的监管当局带来了巨大的挑战。
在这一背景下,尤其是在“舔舐”自2008年以来发端于美国的金融危机伤疤的时候,我们不禁要问,当今世界日益显著的国际金融一体化趋势到底会以什么方式并在何种程度上影响宏观经济和现有金融体系呢?当前的理论通常认为,金融一体化一方面能够降低风险,这主要是因为世界经济发展的不平衡使各个国家的经济发展并不是完全一致的,因此各个金融市场的相关性存在一定的差异。根据马可维茨的资产组合理论,在构建全球资产组合的时候,只要投资组合中各项资产的相关系数不为1,那么就能达到分散投资风险的目的。但是以上分析仅仅是静态的,从动态的和国际风险分担的角度来看,如果在这一过程中金融体系的风险分担功能遭到削弱,那么宏观经济运行的稳定性就会被动摇,并进一步导致实体经济遭到系统性冲击时防御能力下降,最终可能增大经济周期的波动幅度和强度,对整个社会造成福利损失。
中国的市场经济改革在摸索中走过了三十多年,并将继续前行。在这三十多年中,尽管我们还没有遭遇一场真正意义上的金融危机,但是国际金融市场的风云变幻以及金融危机对实体经济的一次次冲击无疑给我们以巨大的震撼,风险意识业已引起了广泛的关注。随着我国人民币国际化进程的进一步推进,经济金融融入国际金融一体化的趋势进一步发展,金融体系风险分担功能的作用必将越来越大,本文也正是在这一背景下对金融一体化的风险分担效应展开研究的。
本文对封闭经济、开放经济和金融一体化条件下金融体系风险分担的理论进行了较为详细和系统的阐述和梳理,对金融一体化条件下风险分担的程度、渠道和福利效应进行了实证分析,对金融一体化初级阶段和高级阶段国际风险分担的演进做出了详尽的论述,对我国在融入国际金融一体化的进程中如何进行最优的风险分担结构安排有较为深入的研究。全文共分为五章,具体内容如下：
第二章阐述了金融体系的风险分担功能以及银行中介和金融市场在封闭经济条件下和开放经济条件下风险分担的基本模型和理论框架。本章首先分析投资者面临的风险以及金融体系对风险的分担功能。风险是伴随资金在借方和贷方之间的循环过程中无法在事前予以完全消除的不确定性,是每个市场参与主体必须要面对和承受的,只不过参与市场的投资者在对自身的风险偏好和承受能力以及面临的风险水平进行充分评价之后,可以通过一定的方式把风险控制在自己的承受能力之内,因此金融体系的风险分担功能主要就是为风险转化为实际损失之时由谁在什么时候承担多少风险做好相应的安排和准备。
其次,本文分别介绍了在封闭经济条件下和开放经济条件下一国的金融体系风险分担功能的演化。在封闭经济条件下,由于人们的收入较低、风险承受能力弱、信息获取成本高和产业特征等因素,银行中介的跨期风险分担占主导地位。但是,由于封闭经济中的银行体系很小,难以利用规模经济；加上竞争的缺乏,从而以较高的单位成本提供较少的金融服务,银行体系的跨期风险分担功能发挥得并不理想。同时,在封闭经济情况下,金融市场的交易规则和监管制度等基础设施还很不完善,市场缺乏流动性,资产价格波动在很大程度上受制于国内的宏观经济政策,往往表现为齐涨共跌。在这种情况下,金融市场的横向风险分担功能也很难发挥。在开放经济条件下,国内投资者可以向国外投资,国外投资者也可以向国内投资,这样通过金融投资,一个国家能够把某些收入风险转移至世界市场。经济开放实际上就是一个资源重新配置的过程,国内的稀缺资源可以从国际上获得,国内的优势产业和资源可以走向国际市场,从而在国内和国外两个市场上优化配置资源,提高资源利用效率,获得更大的经济福利。本文借鉴了Bailey,Millard和Wells(2001)所创立的BMW模型对开放经济的国际风险分担进行说明。
最后,为了探究金融一体化对国际风险分担的影响,本文对BMW模型进行了简单的扩展。金融资产尤其是股票和衍生金融工具可以将资产价格下跌损失分担给更多的经济主体,随着跨越国界的资金流动,可以通过股票和衍生工具将风险在国际范围内配置,由不同国家的投资者分担。
第三章分析了国际金融一体化趋势的涵义、特征、原因及影响,并选择了东亚十一个国家和地区1980-2010年的相关数据对金融一体化下国际风险分担的现状、渠道及其福利效应进行实证分析。研究结果显示,1980-2010年期间该地区经过金融市场和银行中介分担的风险平均值为1/3左右,约有2/3的风险未被分担。就风险分担的渠道而言,目前地区银行中介的作用明显超过了金融市场,但是有迹象显示,金融市场分担风险的作用在研究期间内有所上升。在既定的风险回避系数下,本文发现除了菲律宾和日本,其余9个国家和地区的风险分担福利效应为正值,证明在金融一体化初级阶段,尽管金融市场的横向风险分担机制在一定程度上侵蚀了银行中介的跨期风险分担机制,但国际风险分担的总体水平有所提高。
第四章分析了在金融一体化条件下,系统性风险和非系统性风险的变化和金融市场横向风险分担和银行中介跨期风险分担的演进及其潜在经济影响。金融一体化使资源在全球范围内更加合理地配置,增加了福利,原有的一些风险(如非系统性风险和国别系统性风险)下降了,但是,随着各国经济的对外开放,各国经济越来越融入世界经济体系,与世界经济更加一体化,个别国家的经济政策和经济活动的独立性越来越小,而且个别国家的政策制定、行政执法等方面越来越向国际惯例靠拢,国与国之间的经济联系会更加紧密,一个国家经济周期的变动或者突发事件会迅速形成“多米诺骨牌效应”波及其他国家或地区,造成区域性或者全球性的系统性冲击,金融一体化的程度越深,这些冲击就会越多,力度会越大,直到累计成潜在的全球系统性风险。
在金融一体化的初级阶段,本国的银行体系将面临着来自金融市场的竞争,金融市场的横向风险分担功能会削弱银行中介跨期风险分担功能。在金融一体化的高级阶段,一国资产价格的波动会迅速向其他国家传递,从而加大了全球金融市场的系统性风险。这种全球系统性风险的形成将进一步削弱金融市场的横向风险分担功能。由于跨期风险分担和横向风险分担先后会随金融一体化的推进而弱化,在国别系统性风险和全球系统性风险的不断冲击下,一国的经济可能更加脆弱,经济波动有更加频繁,波动幅度有更大的可能性,给其国内的居民和家庭带来福利的损失。
第五章从风险分担视角提出了最佳风险分担结构安排的思路及对我国的政策启示。最佳风险分担结构在不同的经济发展阶段都有所不同,在金融一体化的冲击下,金融市场不断对银行中介进行侵蚀,更应该注意保护相对比较脆弱的商业银行体系,确保银行中介跨期风险分担在遭到金融市场横向风险分担机制侵蚀的过程中不会遭到过分削弱,只有两者的适当结合,才能保证一国金融体系的稳定及其风险分担、资金配置等功能的高效发挥。横向风险分担虽然在金融一体化的初级阶段存在着一定的优势,但是从长期来看,不应该出现一种风险分担取代另一种的情况。金融市场和银行中介在风险分担上各有优劣,确保二者的良性竞争、和谐共进是摆在监管者面前的一个十分重要的课题和挑战。本文的研究对我国在金融结构安排和健全金融体系风险分担功能方面可能有以下几方面政策建议：第一,在金融市场对外开放的过程中适度适时加强对本国银行体系的保护,确保其经营的稳健以及较强的竞争力。通过适时建立相应的存款保险制度保障银行体系跨期风险分担作用的发挥。第二,在对经济进行宏观调控的过程中注意改善监管手段,提高监管水平。商业银行体系聚集着一国经济运行过程中的大部分系统性风险,他们消化系统性风险的途径是通过在经济繁荣时期赚取的利润弥补经济萧条时期遭受的贷款损失,因此确保银行体系一定的盈利能力非常重要。第三,提高一国的经济活力离不开金融创新和金融衍生工具的开发,但是在推进金融开放和鼓励金融创新的过程中,应注意加强对本国投资者的教育,否则投机之风盛行的金融市场也无法发挥其金融风险分担的作用。第四,加快金融市场对外开放为投资者提供更多的风险分担机会。第五,发挥金融体系风险分担功能,防范全球系统性风险对我国经济的冲击。
本文有以下几点创新之处：
第一,较为详细和系统地阐明了封闭经济和开放经济条件下金融体系风险分担理沦,对金融体系风险分担的程度、渠道和福利效应进行了深入的探讨,对横向风险分担功能和跨期风险分担功能的运行原理进行解释和说明,并将Bailey, Millard和Wells(2001)模型扩展为一个动态随机模型以容纳金融一体化条件。
第二,分析了金融一体化下系统性风险和非系统性风险的变化及对国际风险分担机制的冲击。通过对东亚十一个国家和地区1980至2010年相关数据进行的实证统计分析,证明了该地区经过金融市场和银行中介分分风险的平均值为1/3左右,约有2/3的风险未被分担。就风险分担的渠道而言,目前该东亚十一国(地区)经济体中银行中介的作用明显超过了金融市场,但是有迹象显示,金融市场分担风险的作用在研究期间内有所上升。在既定的风险回避系数下,本文发现除了菲律宾和日本,其余9个国家和地区的风险分担福利效应为正值,证明在金融一体化初级阶段,尽管金融市场的横向风险分担在一定程度上侵蚀了银行中介的跨期风险分担,但国际风险分担的总体水平有所提高。
第三,前瞻性地分析了在未来金融一体化的较高阶段,各国的经济和金融市场的相关性和联动性更加强烈,有可能产生更加猛烈的全球系统性风险,在横向和跨期风险分担机制相继遭到破坏后,可能对世界经济造成更严重的冲击。金融市场一体化一方面使全球系统性风险不断增加,另一方面各国金融资产价格的相关性也不断提高,这最终导致投资者通过构建全球投资组合以分散其投资风险愿望化为泡影,金融市场的横向风险分担功能可能会弱化。
第四,提出了一国金融体系的最优风险分担结构安排和政策建议。银行主导型的金融结构向金融市场主导型的金融结构转变是经济发展过程中的客观趋势,但是从风险分担的视角来看,这种转变有着一定的局限性,横向风险分担和跨期风险分担的良性竞争和和谐共进是一国经济系统保持稳定和健康发展不可或缺的。因此,一国在金融深化和放松金融管制的过程中,应适时适度加强对银行系统的支持力度,保障跨期和横向风险分担功能的适度均衡。
本文尚存的主要不足及今后进一步研究的方向有：
第一,本文对BMW模型进行的扩展以容纳金融一体化条件时,只简单的考虑了两个国家证券价格的联动性对国际风险分担的影响。实际上金融一体化的核心涵义不仅仅是指资产价格的联动性,而是指不同国家资产的可替代性,对资产可替代性增强对国际风险分担的影响有待以后进一步深入研究。
第二,本文在考虑金融一体化初级阶段对国际风险分担的影响时,主要使用的是东亚十一个国家和地区的有关数据进行实证分析,实际上隐含了一个前提条件,即东亚十一国(地区)的金融地理系统已经达到了金融一体化的初级阶段,但是,实际上对金融一体化初级阶段和高级阶段的划分目前并没有一套科学和公认的指标体系,相关的文献基本上也仅仅是从个别指标的测度上进行推测,没有很强的说服力,对金融一体化程度的测度上尚需较大的理论突破。
第三,本文分析了金融一体化高级阶段对国际风险分担的潜在影响,实际上国际资本流动和国际金融市场金融资产的价格联动不可能完全一致并具有完全可替代性,定义中的金融一体化高级阶段在现实中几乎是不可能存在的,所以相关的分析更类似于“假说”的性质,本文也并没有对此展开实证分析。
Financial integration began in the1960s, along with the financial deregulation of Western developed countries and openness of the domestic financial markets of the major developing countries in order to solve the long-festering financial repression problem, the world has been closely and deeply connected and bonded. It generally takes the form as cross-border assets transaction and allocation, fewer restriction on the international capital flows, as well as the total amount of bonds issued at par other than U.S. dollars increased significantly. On the one hand the international capital inflow provided the dire needed financial support to the developing countries, increased the liquidity and vitality to their financial market and improved the efficiency of capital allocation and risk sharing, but on the other hand, the instability of international capital flow adds greater uncertainty to the financial system, and assets price fluctuations triggered by the confidence crisis brought greater challenges to the regulatory authorities in emerging market countries.
In this context, especially by examining the international financial crisis originated in the United States since2008, we have to ask how and to what extent the increasingly significant trend of financial integration affects the world economy and the existing financial system. The traditional wisdom generally accepted that the financial integration can reduce risk. The main reason is that given the imbalanced development of world economy, the financial markets in different countries have some differences when building a global portfolio. According to the CAPM, as long as the co-efficiency of each asset is not1, there will be certain reduction of investment risks. But the above is only comparative static analysis, from the point of view of dynamic and international risk-sharing, the financial integration could impair the risk-sharing mechanism of the financial system, weaken the stability of the macroeconomic operation, and then further decrease the defense capability of systematic shock and eventually increase the volatility and strength of the economic cycle, resulting the welfare loss to the society as a whole.
China's market economy reform has gone through over30years. In the past thirty-four years, although we have not suffered a real financial crisis, the power of the international capital flow and the accumulated financial crisis undoubtedly shocked us time and time again. Risk awareness has become a common sense and concern, but we are still far from being familiar with the inner law of market economy and the financial markets. Further forward with the progress of internationalization of RMB and the trend of economic and financial integration, the risk-sharing function of financial system is growingly important to the consisting stable and healthy development of Chinese economy, and that is exactly the standing point of this dissertation to analyze the international risk sharing under the financial integration.
The dissertation analyzes the risk-sharing of the financial system under the conditions of economic autarchy and financial integration, gives an empirical analysis of the degree, channel and welfare effects of risk sharing under the conditions of financial integration using eleven countries and areas in East Asia, makes a detailed discussion of international risk-sharing in the preliminary and advanced stage of financial integration, provides the optimal risk-sharing structure arrangements for a more in-depth study on China in the process of international financial integration. The full text is divided into five chapters as follows:
The Chapter Ⅱ describes the basic model and the theoretical framework of risk-sharing of the financial markets and banking intermediaries under the closed and open economy assumption. This chapter first analyzes the risks faced by investors and the risk sharing function of financial system, then describes the evolution of the risk sharing function in the closed and open economy. In a closed economy, due to lower income of people, high information acquisition costs, industry characteristics and other factors, the risk-bearing capacity is weak, and the inter-temporal risk-sharing of banking intermediaries has a dominant position in a closed economy. However, the risk-sharing function of the banking system is not ideal. Under normal circumstances, the banking system in a closed economy is difficult to exploit the economy of scale, thus provide less financial services at a higher cost. And because of the insufficient financial market infrastructure, the lack of market liquidity and high volatility of assets price, the cross-sectional risk-sharing mechanism of financial markets is not very satisfactory too. In an open economy, domestic investors have access to foreign financial markets and vice versa, so a country can share some risks with the investors from other countries through cross-border investment. This dissertation analyzes the problem on the basis of Bailey Millard and Wells (2001) model. Finally, in order to explore the impact of financial integration on international risk sharing, I expand the BMW model to be a random stochastic one. Financial assets, especially stocks and derivative financial instruments can share the fall of assets price among different economic entities. With the cross-border capital flow, the stock and derivatives markets can reallocate the risks to investors from different countries.
Chapter Ⅲ analyzes the meaning, causes, characteristics and impacts of financial integration. By selecting the data of11countries of East Asian country from1980to2010, the empirical analysis is presented the degree, channel and welfare effects of financial integration. The results show that between1980and2010the degree of risk sharing through financial markets and banking intermediaries is about1/3, around2/3of the risk is not shared, the bank intermediaries in the11countries (regions) of the East Asian economies is still the main channel of risk sharing, but there are some indications that the role of financial markets in risk-sharing has increased during the period. Given the risk aversion co-efficiency, we find that the welfare effect of fmancial integration in Philippine and Japan is negative, while the remaining nine countries and regions have positive welfare effect.
The Chapter Ⅳ analyzes the potential impact of financial integration on the systematic risk and non-systematic risk and the related risk-sharing effects. Financial Integration reallocates the resources on the global scale, reduces some risks (such as non-systematic risk and country systematic risk). However, with the opening of the financial markets, national economy is increasingly integrated into the world economy, the independence of the individual countries'economic policies and activities is getting smaller and smaller, and the policy and law enforcement become more and more contingent to the international conventions. One country's economic cycle changes or other emergencies will quickly spread to other countries forming the so-called "domino effect", resulting in regional or global systemic shocks. The deeper of the financial integration degree, the greater of its impact will be.
In the early stages of financial integration, the country's banking system will face competition from financial market; the horizontal risk-sharing function of financial market will weaken the inter-temporal risk-sharing function of banking intermediaries.In the advanced stages of financial integration, the fluctuations of asset prices in one country quickly passed to other countries, thereby increasing the systemic risk in global financial markets. The formation of such a global systemic risk will also weaken the horizontal risk-sharing of financial markets. Inter-temporal risk sharing and horizontal risk sharing function has been weakened one by the other. With the promotion of financial integration in the country systemic risk and the continuous impact of the global systemic risk, the economy of one country may be more vulnerable to fluctuations and have a greater possibility of welfare losses to domestic residents and families.
Chapter Ⅴ discussed the idea of the best risk-sharing structure arrangements and policy implications for China. The best risk-sharing structure is different in different stages of economic development. There are certain advantages of cross-sectional risk sharing mechanism in the initial stage of financial integration, and the inter-temporal risk sharing of banking intermediaries is very possible to be impaired by the cross-sectional risk sharing of financial markets. Therefore to protect the banking industry from over damage is necessary, because only the appropriate combination of both is vital in order to ensure the stability of a country's financial system and its risk sharing function. This study of best risk sharing structure arrangements and a sound financial system may have the following policy recommendations:First, in the process of opening up domestic financial markets, we should strengthen the protection of the banking system to ensure it operate robustly and competitively. Secondly, the government should pay attention to use all possible kinds of regulatory means and improve the regulatory standard in the process of macroeconomic control. Thirdly, the enhancement of the economic vitality can not be separated from financial innovation and the development of financial derivatives, but during the process we need to strengthen the education of investors; otherwise the atmosphere of speculation in financial markets can hardly do any good for risk-sharing. Fourthly, speed up the process of financial market openness to provide investors with more risk-sharing opportunities. Finally, precautions should be taken to prevent the shock of the global systemic risk on China's economy.
The innovations of this dissertation are listed as follows:
First, this dissertation explained the risk sharing theories and models in detail and systematically under the condition of an autarchy and open economy. In-depth discussed the degree, channels, and welfare effects of cross-sectional risk-sharing and inter-temporal risk-sharing; expanded the Bailey, Millard, and Wells (2001) model to be a random stochastic one in order to accommodate the financial integration.
Secondly, this dissertation analyzed the evolution of systematic risk and nonsystematic risk under financial integration and its impact on the real economy. Empirical study of the data of eleven countries and regions in East Asia from1980to2010shows that the average risk sharing of this region is about1/3, around2/3of the risk stay unshared. The banking intermediaries are still the main channel of risk sharing, but there are indications that the role of financial markets in risk-sharing has increased during the study period. Given the risk aversion co-efficiency, I find that other than Philippine and Japan, the remaining nine countries and regions have positive welfare effects.
Thirdly, in-depth analysis of the evolution of risk sharing mechanism in the initial and advanced stages of financial integration is given in this dissertation. Since the correlation and linkage of global economy and financial markets is more intense, it is possible to incur global systemic risk and have serious impact on the world economy. Financial integration on one hand the increasing global systematic risk, on the other hand increase the relevance of the assets price in different financial markets. Eventually eliminate the hope of investors to reduce risks by building a global portfolio, both the inter-temporal risk sharing of banking intermediaries and the cross-sectional risk sharing of financial markets will be weakened.
Fourthly, the dissertation discussed the optimal risk-sharing structure of a country and relative policy suggestions. Bank-dominated financial structure is bond to be replaced by the financial-markets-dominated financial structure to some degree is the objective trend in the process of economic development. But from the perspective of risk-sharing, this transformation has some limitations. The healthy competition of cross-sectional risk sharing and inter-temporal risk sharing is vital for the sustainable development of a country's economy. Therefore, in the process of financial reform and deregulation, we should provide appropriate support to the banking system to protect its inter-temporal risk-sharing function.
The main disadvantages and directions for further research are:
First, the extension of the BMW model in order to accommodate the financial integration condition simply considered the linkage of the securities price of two countries. But in fact, the core meaning of financial integration is not the linkage of assets price, but the substitutability of the assets in different nations. How much the enhanced asset substitutability will influence the international risk-sharing needs further in-depth study.
Second, to study the degree, channels and welfare effects of financial integration in the initial stage, I only used the data11countries and regions in East Asia for empirical analysis. This implied a precondition that the11countries and regions in this area (financial geographic system of the region) has reached the primary stage of financial integration, but actually the division of primary and advanced stage of financial integration does not involve a unanimous scientific index system and related literatures basically measure the financial integration with individual indicators, and are not very convincing. The study of financial integration measurement will need a larger theoretical breakthrough.
Third, the dissertation analyzed the potential impact of financial integration in the advanced stage on international risk sharing, but in fact the international capital flow will never be completely free, the assets price of international financial markets will never be instant and consistent co-movement with each other, and the perfect substitutability of assets from different countries will only appear in theory, thus the definition of financial integration in the advanced stage actually is no more than a "hypothesis". For that reason, this article does not launch the empirical analysis.
在这一背景下,尤其是在“舔舐”自2008年以来发端于美国的金融危机伤疤的时候,我们不禁要问,当今世界日益显著的国际金融一体化趋势到底会以什么方式并在何种程度上影响宏观经济和现有金融体系呢?当前的理论通常认为,金融一体化一方面能够降低风险,这主要是因为世界经济发展的不平衡使各个国家的经济发展并不是完全一致的,因此各个金融市场的相关性存在一定的差异。根据马可维茨的资产组合理论,在构建全球资产组合的时候,只要投资组合中各项资产的相关系数不为1,那么就能达到分散投资风险的目的。但是以上分析仅仅是静态的,从动态的和国际风险分担的角度来看,如果在这一过程中金融体系的风险分担功能遭到削弱,那么宏观经济运行的稳定性就会被动摇,并进一步导致实体经济遭到系统性冲击时防御能力下降,最终可能增大经济周期的波动幅度和强度,对整个社会造成福利损失。
中国的市场经济改革在摸索中走过了三十多年,并将继续前行。在这三十多年中,尽管我们还没有遭遇一场真正意义上的金融危机,但是国际金融市场的风云变幻以及金融危机对实体经济的一次次冲击无疑给我们以巨大的震撼,风险意识业已引起了广泛的关注。随着我国人民币国际化进程的进一步推进,经济金融融入国际金融一体化的趋势进一步发展,金融体系风险分担功能的作用必将越来越大,本文也正是在这一背景下对金融一体化的风险分担效应展开研究的。
本文对封闭经济、开放经济和金融一体化条件下金融体系风险分担的理论进行了较为详细和系统的阐述和梳理,对金融一体化条件下风险分担的程度、渠道和福利效应进行了实证分析,对金融一体化初级阶段和高级阶段国际风险分担的演进做出了详尽的论述,对我国在融入国际金融一体化的进程中如何进行最优的风险分担结构安排有较为深入的研究。全文共分为五章,具体内容如下：
第二章阐述了金融体系的风险分担功能以及银行中介和金融市场在封闭经济条件下和开放经济条件下风险分担的基本模型和理论框架。本章首先分析投资者面临的风险以及金融体系对风险的分担功能。风险是伴随资金在借方和贷方之间的循环过程中无法在事前予以完全消除的不确定性,是每个市场参与主体必须要面对和承受的,只不过参与市场的投资者在对自身的风险偏好和承受能力以及面临的风险水平进行充分评价之后,可以通过一定的方式把风险控制在自己的承受能力之内,因此金融体系的风险分担功能主要就是为风险转化为实际损失之时由谁在什么时候承担多少风险做好相应的安排和准备。
其次,本文分别介绍了在封闭经济条件下和开放经济条件下一国的金融体系风险分担功能的演化。在封闭经济条件下,由于人们的收入较低、风险承受能力弱、信息获取成本高和产业特征等因素,银行中介的跨期风险分担占主导地位。但是,由于封闭经济中的银行体系很小,难以利用规模经济；加上竞争的缺乏,从而以较高的单位成本提供较少的金融服务,银行体系的跨期风险分担功能发挥得并不理想。同时,在封闭经济情况下,金融市场的交易规则和监管制度等基础设施还很不完善,市场缺乏流动性,资产价格波动在很大程度上受制于国内的宏观经济政策,往往表现为齐涨共跌。在这种情况下,金融市场的横向风险分担功能也很难发挥。在开放经济条件下,国内投资者可以向国外投资,国外投资者也可以向国内投资,这样通过金融投资,一个国家能够把某些收入风险转移至世界市场。经济开放实际上就是一个资源重新配置的过程,国内的稀缺资源可以从国际上获得,国内的优势产业和资源可以走向国际市场,从而在国内和国外两个市场上优化配置资源,提高资源利用效率,获得更大的经济福利。本文借鉴了Bailey,Millard和Wells(2001)所创立的BMW模型对开放经济的国际风险分担进行说明。
最后,为了探究金融一体化对国际风险分担的影响,本文对BMW模型进行了简单的扩展。金融资产尤其是股票和衍生金融工具可以将资产价格下跌损失分担给更多的经济主体,随着跨越国界的资金流动,可以通过股票和衍生工具将风险在国际范围内配置,由不同国家的投资者分担。
第三章分析了国际金融一体化趋势的涵义、特征、原因及影响,并选择了东亚十一个国家和地区1980-2010年的相关数据对金融一体化下国际风险分担的现状、渠道及其福利效应进行实证分析。研究结果显示,1980-2010年期间该地区经过金融市场和银行中介分担的风险平均值为1/3左右,约有2/3的风险未被分担。就风险分担的渠道而言,目前地区银行中介的作用明显超过了金融市场,但是有迹象显示,金融市场分担风险的作用在研究期间内有所上升。在既定的风险回避系数下,本文发现除了菲律宾和日本,其余9个国家和地区的风险分担福利效应为正值,证明在金融一体化初级阶段,尽管金融市场的横向风险分担机制在一定程度上侵蚀了银行中介的跨期风险分担机制,但国际风险分担的总体水平有所提高。
第四章分析了在金融一体化条件下,系统性风险和非系统性风险的变化和金融市场横向风险分担和银行中介跨期风险分担的演进及其潜在经济影响。金融一体化使资源在全球范围内更加合理地配置,增加了福利,原有的一些风险(如非系统性风险和国别系统性风险)下降了,但是,随着各国经济的对外开放,各国经济越来越融入世界经济体系,与世界经济更加一体化,个别国家的经济政策和经济活动的独立性越来越小,而且个别国家的政策制定、行政执法等方面越来越向国际惯例靠拢,国与国之间的经济联系会更加紧密,一个国家经济周期的变动或者突发事件会迅速形成“多米诺骨牌效应”波及其他国家或地区,造成区域性或者全球性的系统性冲击,金融一体化的程度越深,这些冲击就会越多,力度会越大,直到累计成潜在的全球系统性风险。
在金融一体化的初级阶段,本国的银行体系将面临着来自金融市场的竞争,金融市场的横向风险分担功能会削弱银行中介跨期风险分担功能。在金融一体化的高级阶段,一国资产价格的波动会迅速向其他国家传递,从而加大了全球金融市场的系统性风险。这种全球系统性风险的形成将进一步削弱金融市场的横向风险分担功能。由于跨期风险分担和横向风险分担先后会随金融一体化的推进而弱化,在国别系统性风险和全球系统性风险的不断冲击下,一国的经济可能更加脆弱,经济波动有更加频繁,波动幅度有更大的可能性,给其国内的居民和家庭带来福利的损失。
第五章从风险分担视角提出了最佳风险分担结构安排的思路及对我国的政策启示。最佳风险分担结构在不同的经济发展阶段都有所不同,在金融一体化的冲击下,金融市场不断对银行中介进行侵蚀,更应该注意保护相对比较脆弱的商业银行体系,确保银行中介跨期风险分担在遭到金融市场横向风险分担机制侵蚀的过程中不会遭到过分削弱,只有两者的适当结合,才能保证一国金融体系的稳定及其风险分担、资金配置等功能的高效发挥。横向风险分担虽然在金融一体化的初级阶段存在着一定的优势,但是从长期来看,不应该出现一种风险分担取代另一种的情况。金融市场和银行中介在风险分担上各有优劣,确保二者的良性竞争、和谐共进是摆在监管者面前的一个十分重要的课题和挑战。本文的研究对我国在金融结构安排和健全金融体系风险分担功能方面可能有以下几方面政策建议：第一,在金融市场对外开放的过程中适度适时加强对本国银行体系的保护,确保其经营的稳健以及较强的竞争力。通过适时建立相应的存款保险制度保障银行体系跨期风险分担作用的发挥。第二,在对经济进行宏观调控的过程中注意改善监管手段,提高监管水平。商业银行体系聚集着一国经济运行过程中的大部分系统性风险,他们消化系统性风险的途径是通过在经济繁荣时期赚取的利润弥补经济萧条时期遭受的贷款损失,因此确保银行体系一定的盈利能力非常重要。第三,提高一国的经济活力离不开金融创新和金融衍生工具的开发,但是在推进金融开放和鼓励金融创新的过程中,应注意加强对本国投资者的教育,否则投机之风盛行的金融市场也无法发挥其金融风险分担的作用。第四,加快金融市场对外开放为投资者提供更多的风险分担机会。第五,发挥金融体系风险分担功能,防范全球系统性风险对我国经济的冲击。
本文有以下几点创新之处：
第一,较为详细和系统地阐明了封闭经济和开放经济条件下金融体系风险分担理沦,对金融体系风险分担的程度、渠道和福利效应进行了深入的探讨,对横向风险分担功能和跨期风险分担功能的运行原理进行解释和说明,并将Bailey, Millard和Wells(2001)模型扩展为一个动态随机模型以容纳金融一体化条件。
第二,分析了金融一体化下系统性风险和非系统性风险的变化及对国际风险分担机制的冲击。通过对东亚十一个国家和地区1980至2010年相关数据进行的实证统计分析,证明了该地区经过金融市场和银行中介分分风险的平均值为1/3左右,约有2/3的风险未被分担。就风险分担的渠道而言,目前该东亚十一国(地区)经济体中银行中介的作用明显超过了金融市场,但是有迹象显示,金融市场分担风险的作用在研究期间内有所上升。在既定的风险回避系数下,本文发现除了菲律宾和日本,其余9个国家和地区的风险分担福利效应为正值,证明在金融一体化初级阶段,尽管金融市场的横向风险分担在一定程度上侵蚀了银行中介的跨期风险分担,但国际风险分担的总体水平有所提高。
第三,前瞻性地分析了在未来金融一体化的较高阶段,各国的经济和金融市场的相关性和联动性更加强烈,有可能产生更加猛烈的全球系统性风险,在横向和跨期风险分担机制相继遭到破坏后,可能对世界经济造成更严重的冲击。金融市场一体化一方面使全球系统性风险不断增加,另一方面各国金融资产价格的相关性也不断提高,这最终导致投资者通过构建全球投资组合以分散其投资风险愿望化为泡影,金融市场的横向风险分担功能可能会弱化。
第四,提出了一国金融体系的最优风险分担结构安排和政策建议。银行主导型的金融结构向金融市场主导型的金融结构转变是经济发展过程中的客观趋势,但是从风险分担的视角来看,这种转变有着一定的局限性,横向风险分担和跨期风险分担的良性竞争和和谐共进是一国经济系统保持稳定和健康发展不可或缺的。因此,一国在金融深化和放松金融管制的过程中,应适时适度加强对银行系统的支持力度,保障跨期和横向风险分担功能的适度均衡。
本文尚存的主要不足及今后进一步研究的方向有：
第一,本文对BMW模型进行的扩展以容纳金融一体化条件时,只简单的考虑了两个国家证券价格的联动性对国际风险分担的影响。实际上金融一体化的核心涵义不仅仅是指资产价格的联动性,而是指不同国家资产的可替代性,对资产可替代性增强对国际风险分担的影响有待以后进一步深入研究。
第二,本文在考虑金融一体化初级阶段对国际风险分担的影响时,主要使用的是东亚十一个国家和地区的有关数据进行实证分析,实际上隐含了一个前提条件,即东亚十一国(地区)的金融地理系统已经达到了金融一体化的初级阶段,但是,实际上对金融一体化初级阶段和高级阶段的划分目前并没有一套科学和公认的指标体系,相关的文献基本上也仅仅是从个别指标的测度上进行推测,没有很强的说服力,对金融一体化程度的测度上尚需较大的理论突破。
第三,本文分析了金融一体化高级阶段对国际风险分担的潜在影响,实际上国际资本流动和国际金融市场金融资产的价格联动不可能完全一致并具有完全可替代性,定义中的金融一体化高级阶段在现实中几乎是不可能存在的,所以相关的分析更类似于“假说”的性质,本文也并没有对此展开实证分析。
Financial integration began in the1960s, along with the financial deregulation of Western developed countries and openness of the domestic financial markets of the major developing countries in order to solve the long-festering financial repression problem, the world has been closely and deeply connected and bonded. It generally takes the form as cross-border assets transaction and allocation, fewer restriction on the international capital flows, as well as the total amount of bonds issued at par other than U.S. dollars increased significantly. On the one hand the international capital inflow provided the dire needed financial support to the developing countries, increased the liquidity and vitality to their financial market and improved the efficiency of capital allocation and risk sharing, but on the other hand, the instability of international capital flow adds greater uncertainty to the financial system, and assets price fluctuations triggered by the confidence crisis brought greater challenges to the regulatory authorities in emerging market countries.
In this context, especially by examining the international financial crisis originated in the United States since2008, we have to ask how and to what extent the increasingly significant trend of financial integration affects the world economy and the existing financial system. The traditional wisdom generally accepted that the financial integration can reduce risk. The main reason is that given the imbalanced development of world economy, the financial markets in different countries have some differences when building a global portfolio. According to the CAPM, as long as the co-efficiency of each asset is not1, there will be certain reduction of investment risks. But the above is only comparative static analysis, from the point of view of dynamic and international risk-sharing, the financial integration could impair the risk-sharing mechanism of the financial system, weaken the stability of the macroeconomic operation, and then further decrease the defense capability of systematic shock and eventually increase the volatility and strength of the economic cycle, resulting the welfare loss to the society as a whole.
China's market economy reform has gone through over30years. In the past thirty-four years, although we have not suffered a real financial crisis, the power of the international capital flow and the accumulated financial crisis undoubtedly shocked us time and time again. Risk awareness has become a common sense and concern, but we are still far from being familiar with the inner law of market economy and the financial markets. Further forward with the progress of internationalization of RMB and the trend of economic and financial integration, the risk-sharing function of financial system is growingly important to the consisting stable and healthy development of Chinese economy, and that is exactly the standing point of this dissertation to analyze the international risk sharing under the financial integration.
The dissertation analyzes the risk-sharing of the financial system under the conditions of economic autarchy and financial integration, gives an empirical analysis of the degree, channel and welfare effects of risk sharing under the conditions of financial integration using eleven countries and areas in East Asia, makes a detailed discussion of international risk-sharing in the preliminary and advanced stage of financial integration, provides the optimal risk-sharing structure arrangements for a more in-depth study on China in the process of international financial integration. The full text is divided into five chapters as follows:
The Chapter Ⅱ describes the basic model and the theoretical framework of risk-sharing of the financial markets and banking intermediaries under the closed and open economy assumption. This chapter first analyzes the risks faced by investors and the risk sharing function of financial system, then describes the evolution of the risk sharing function in the closed and open economy. In a closed economy, due to lower income of people, high information acquisition costs, industry characteristics and other factors, the risk-bearing capacity is weak, and the inter-temporal risk-sharing of banking intermediaries has a dominant position in a closed economy. However, the risk-sharing function of the banking system is not ideal. Under normal circumstances, the banking system in a closed economy is difficult to exploit the economy of scale, thus provide less financial services at a higher cost. And because of the insufficient financial market infrastructure, the lack of market liquidity and high volatility of assets price, the cross-sectional risk-sharing mechanism of financial markets is not very satisfactory too. In an open economy, domestic investors have access to foreign financial markets and vice versa, so a country can share some risks with the investors from other countries through cross-border investment. This dissertation analyzes the problem on the basis of Bailey Millard and Wells (2001) model. Finally, in order to explore the impact of financial integration on international risk sharing, I expand the BMW model to be a random stochastic one. Financial assets, especially stocks and derivative financial instruments can share the fall of assets price among different economic entities. With the cross-border capital flow, the stock and derivatives markets can reallocate the risks to investors from different countries.
Chapter Ⅲ analyzes the meaning, causes, characteristics and impacts of financial integration. By selecting the data of11countries of East Asian country from1980to2010, the empirical analysis is presented the degree, channel and welfare effects of financial integration. The results show that between1980and2010the degree of risk sharing through financial markets and banking intermediaries is about1/3, around2/3of the risk is not shared, the bank intermediaries in the11countries (regions) of the East Asian economies is still the main channel of risk sharing, but there are some indications that the role of financial markets in risk-sharing has increased during the period. Given the risk aversion co-efficiency, we find that the welfare effect of fmancial integration in Philippine and Japan is negative, while the remaining nine countries and regions have positive welfare effect.
The Chapter Ⅳ analyzes the potential impact of financial integration on the systematic risk and non-systematic risk and the related risk-sharing effects. Financial Integration reallocates the resources on the global scale, reduces some risks (such as non-systematic risk and country systematic risk). However, with the opening of the financial markets, national economy is increasingly integrated into the world economy, the independence of the individual countries'economic policies and activities is getting smaller and smaller, and the policy and law enforcement become more and more contingent to the international conventions. One country's economic cycle changes or other emergencies will quickly spread to other countries forming the so-called "domino effect", resulting in regional or global systemic shocks. The deeper of the financial integration degree, the greater of its impact will be.
In the early stages of financial integration, the country's banking system will face competition from financial market; the horizontal risk-sharing function of financial market will weaken the inter-temporal risk-sharing function of banking intermediaries.In the advanced stages of financial integration, the fluctuations of asset prices in one country quickly passed to other countries, thereby increasing the systemic risk in global financial markets. The formation of such a global systemic risk will also weaken the horizontal risk-sharing of financial markets. Inter-temporal risk sharing and horizontal risk sharing function has been weakened one by the other. With the promotion of financial integration in the country systemic risk and the continuous impact of the global systemic risk, the economy of one country may be more vulnerable to fluctuations and have a greater possibility of welfare losses to domestic residents and families.
Chapter Ⅴ discussed the idea of the best risk-sharing structure arrangements and policy implications for China. The best risk-sharing structure is different in different stages of economic development. There are certain advantages of cross-sectional risk sharing mechanism in the initial stage of financial integration, and the inter-temporal risk sharing of banking intermediaries is very possible to be impaired by the cross-sectional risk sharing of financial markets. Therefore to protect the banking industry from over damage is necessary, because only the appropriate combination of both is vital in order to ensure the stability of a country's financial system and its risk sharing function. This study of best risk sharing structure arrangements and a sound financial system may have the following policy recommendations:First, in the process of opening up domestic financial markets, we should strengthen the protection of the banking system to ensure it operate robustly and competitively. Secondly, the government should pay attention to use all possible kinds of regulatory means and improve the regulatory standard in the process of macroeconomic control. Thirdly, the enhancement of the economic vitality can not be separated from financial innovation and the development of financial derivatives, but during the process we need to strengthen the education of investors; otherwise the atmosphere of speculation in financial markets can hardly do any good for risk-sharing. Fourthly, speed up the process of financial market openness to provide investors with more risk-sharing opportunities. Finally, precautions should be taken to prevent the shock of the global systemic risk on China's economy.
The innovations of this dissertation are listed as follows:
First, this dissertation explained the risk sharing theories and models in detail and systematically under the condition of an autarchy and open economy. In-depth discussed the degree, channels, and welfare effects of cross-sectional risk-sharing and inter-temporal risk-sharing; expanded the Bailey, Millard, and Wells (2001) model to be a random stochastic one in order to accommodate the financial integration.
Secondly, this dissertation analyzed the evolution of systematic risk and nonsystematic risk under financial integration and its impact on the real economy. Empirical study of the data of eleven countries and regions in East Asia from1980to2010shows that the average risk sharing of this region is about1/3, around2/3of the risk stay unshared. The banking intermediaries are still the main channel of risk sharing, but there are indications that the role of financial markets in risk-sharing has increased during the study period. Given the risk aversion co-efficiency, I find that other than Philippine and Japan, the remaining nine countries and regions have positive welfare effects.
Thirdly, in-depth analysis of the evolution of risk sharing mechanism in the initial and advanced stages of financial integration is given in this dissertation. Since the correlation and linkage of global economy and financial markets is more intense, it is possible to incur global systemic risk and have serious impact on the world economy. Financial integration on one hand the increasing global systematic risk, on the other hand increase the relevance of the assets price in different financial markets. Eventually eliminate the hope of investors to reduce risks by building a global portfolio, both the inter-temporal risk sharing of banking intermediaries and the cross-sectional risk sharing of financial markets will be weakened.
Fourthly, the dissertation discussed the optimal risk-sharing structure of a country and relative policy suggestions. Bank-dominated financial structure is bond to be replaced by the financial-markets-dominated financial structure to some degree is the objective trend in the process of economic development. But from the perspective of risk-sharing, this transformation has some limitations. The healthy competition of cross-sectional risk sharing and inter-temporal risk sharing is vital for the sustainable development of a country's economy. Therefore, in the process of financial reform and deregulation, we should provide appropriate support to the banking system to protect its inter-temporal risk-sharing function.
The main disadvantages and directions for further research are:
First, the extension of the BMW model in order to accommodate the financial integration condition simply considered the linkage of the securities price of two countries. But in fact, the core meaning of financial integration is not the linkage of assets price, but the substitutability of the assets in different nations. How much the enhanced asset substitutability will influence the international risk-sharing needs further in-depth study.
Second, to study the degree, channels and welfare effects of financial integration in the initial stage, I only used the data11countries and regions in East Asia for empirical analysis. This implied a precondition that the11countries and regions in this area (financial geographic system of the region) has reached the primary stage of financial integration, but actually the division of primary and advanced stage of financial integration does not involve a unanimous scientific index system and related literatures basically measure the financial integration with individual indicators, and are not very convincing. The study of financial integration measurement will need a larger theoretical breakthrough.
Third, the dissertation analyzed the potential impact of financial integration in the advanced stage on international risk sharing, but in fact the international capital flow will never be completely free, the assets price of international financial markets will never be instant and consistent co-movement with each other, and the perfect substitutability of assets from different countries will only appear in theory, thus the definition of financial integration in the advanced stage actually is no more than a "hypothesis". For that reason, this article does not launch the empirical analysis.
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