影子银行产品对金融稳定性的影响研究
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摘要
2007年发生的美国金融危机造成了对新型金融产品及其中介结构的沉重冲击。自危机发生以来,对本次危机的起因、结果和影响机制的研究逐渐成为金融学研究的重点。而新型金融产品及其中介结构在研究中则以“影子银行系统”这样一个整体性概念出现。作为新兴的流动性和信用创造体系,影子银行系统与传统银行部门紧密相连且功能近似,但是其也有不直接吸收存款、杠杆率高、几乎不受国家金融安全监管、资产期限错配、交易链复杂等自身特性。
本次美国金融危机的爆发对世界经济格局和金融体系都产生了深远的影响,金融创新活动对金融中介部门功能和安全设置的影响大幅提升。影子银行系统作为一系列市场流动性和银行流动性相互转化的金融创新产品和市场机制,对其展开多角度研究是反思金融危机爆发原因,研究金融传导机制,更新金融监管方法和手段的重要途径。
本文的结构重点在于从创新性金融产品入手,建立短期产品维度为主,长期产品维度为辅的研究安排。对于影子银行系统的已有研究中,关注金融产品影响的研究占有相当数量。但其中对短期金融产品的研究最能体现影子银行系统期限错配、累积金融风险的特性。在本文的研究框架中,重点关注的是ABCP(资产支持商业票据)、repo(回购证券)、MMMF(货币市场共同基金)这三种短期金融产品。
ABCP在传统意义上被认为是“明确的商业银行流动性期权”。对实际数据的观察可以发现：虽然危机期间银行借贷是收缩的,但债券融资却是呈增长趋势的。本文以ABCP为观察对象,建立了贷款与债券之间的替代性关联模型。通过对非金融部门资金流向关系的观察,建立了以美国家庭部门、美国借款人部门、欧洲银行部门为主体的全球资金流动体系,完成了金融危机期间银行借贷和债券融资之间的替代性分析。对危机时期的市场表现进行了较好的拟合与解释说明。
repo在场外交易市场中是借方和贷方之间、证券与现金之间快速转换的重要媒介。回购证券以其期限短、高流动性的特征成为影子银行系统中“现金”的表现形式。通过对repo市场建立溃逃机制分析,既能观测影子银行系统内部产品传染的作用方式,也能体现影子银行系统期限错配的特性。本文基于证券化过程中基础资产的不同组成形式,及其危机时期的不同重组方式选择,对影子银行系统内部长期基础资产崩溃引发短期衍生产品溃逃的连锁反应进行了系统分析。从博弈的观点将影子银行系统溃逃机制归结为危机时期不同的重组方式选择,其中基础资产的不同组成则是重组是否有效的关键因素。通过对美国repo市场建立溃逃机制和杠杆影响分析,并结合欧洲repo市场的变动事实,对全球repo市场交易特性予以说明。
在本文中,采取观察MMMF市场表现的方式研究影子银行系统与系统性风险的关联,比较MMMF的不同发行形式对其风险分担机制的影响。将MMMF共分为在美国国内发行和离岸发行两种不同的发行方式,从其流动特征、组织形式、持有者支持和持有者类型等几个方面对风险选择的影响进行讨论。分析结果认为,美国国内发行的MMMF产品不论自身的保险机制设置情况如何,风险性高收益性高的资产是其较为偏好的资产类型。而对于离岸发行的MMMF(以欧洲为代表进行分析),其自身因无保障性支持而风险水平较高,但是欧洲MMMF市场的整体风险水平较高,所以离岸产品的风险性并不显著。所以从整体情况来看,MMMF基础资产包含的风险水平是偏高的,应该在未来的市场操作情况中进一步加以规范。
在影子银行系统中,MMMF将传统银行零散的资金进行了整合；证券化(ABCP为其中重要参与者)将传统银行的资产转移到表外,增进了市场流动性；repo将金融交易中的债券变成了新的形式的“货币”。再结合影子银行的定义,可以看出：影子银行系统的基底是ABS、MBS等资产证券化的债务融资,通过ABCP、repo、MMMF等金融产品实现了其流动性和期限的转化。而影子银行信用中介流程中也包含了CDO、CDS等其他类型的金融产品,通过影子银行系统的交易链,将上述产品整合成为信用创造的过程。
通过上述对国外影子银行系统的研究,本文已经对影子银行系统发展的经验和教训有了一定的掌握。那么在此基础上,将之与中国的金融中介创新活动进行对照,提出建议和可行的方法也是理论研究的重要实践应用。本次美国金融危机是金融创新活动安全性重建和监管方法改革的契机。中国金融业应借此机会一方面理清已存在的市场风险,提升中国金融产业的市场安全度；另一方面开展与国内市场需求相匹配的金融产品创新活动,抓住这次中国金融系统发展的重要机遇。
In2007, the U.S. financial crisis has caused heavy impact on financial products and its mediation.Since the crisis, the study of the causes of the crisis, the results and influence on mechanismhas gradually become a focus. In the study,financial products and its intermediary structure was named as "shadow banking system".Being an emerging liquidity and credit creation system,the shadow banking system is closely combined with the traditional banking sector and function approximation,but it also has not directly absorb deposits, high leverage, almost is not affected by the country's financial safety regulation, period mismatch of assets,trading chain complex as its characteristics.
The American financial crisishas had a profound impact on the world economy and financial system. Financial innovation activitiesimpact onthe financial intermediary sector functionand thesecurity settings much more great than before. Shadow banking system as a series of mutual transformation between market liquidity and bank liquidity financial innovation product and the market mechanism, study on this system is an important way to find the reason why crisis happened, and updatefinancial supervision method.
This article focuses ondifferent financial products. We set up the subsequence that product study is given priority to, institution study relies on product study.Studies on the causes of this financial crisis have been the focus in the study of the shadow banking system.Many scholars have put forward different point of view and conclusion.The attention to short-term financial products can reflectthe structural characteristics of the shadow banking system.In the research framework of this article, we focus on the ABCP (asset backed commercial paper), repo (repurchase securities), MMMF (money market mutual funds) as the typical short-term financial products.
ABCP in the traditional sense is considered to be "clear commercial bank liquidity options".Observation of the actual data can find that:although during crisis, bank lending is contracting, bond financing is on the rise.To ABCP products as observation object, the loans associated with bonds between the alternative model is established.Through observation of the non-financial sector flows into relationship, we established the household sector in the United States, the United States department of borrowers, European Banks as the main body of the global capital flow system, and completed the alternative analysis between loans and bonds. Andthis model offersa good fitting of this crisis.
Repo isan important medium between securities and cash.Character of high fluidity, repo act as "cash" in the shadow banking system.Through the repo market mechanism, we can observation the shadow banking system internal product contagion effect andthe term mismatch.From the point of view of gametheory, the collapse of shadow banking system is the consequence ofdifferent restructuring mode selection during the crisis.Different underlying assets are the key factor whetherrestructuring is effective. Through the U.S repo market we established the mechanism of flee, andcombined with European repo market changesfacts, we can characterglobal repo market trading.
We research relationship between the shadow banking system and the systemic risk through MMMF. MMMF's different issue organization form can impact on its risk sharing mechanism. MMMF release can be divided into domestic issuing and offshoreissuing. Based on this form, we concern why organizational form, holders' support and types can result different risk selection. Analysis results thatdomestic issuing MMMF regardless of their insurance mechanism set up situation, high profitability and high risk assets is its preference of asset types.Offshore issuing MMMF (represented by European offshore issuing MMMF) have high level of risk because they have no supportability. But the whole European MMMF contained high level of risk, offshore issuing MMMF's risk is no significant.From the overall situation, MMMF's based asset contains high risk level, in further marketing operation, supervisory authority should pay more attention on this kind of derivative.
In the shadow banking system,MMMFgather scattered consolidated funds from traditional banks; securitization transfers traditional banking assets outside of bank balance sheet, increase liquidity in the market;the repo market make bonds into new forms of "money".Combination with the definition of shadow banking, we can see that the shadow banking system is based on securitization products like ABS, MBS,through ABCP, repo and MMMF; the system realized its liquidity and the transformation of the period.In the shadow banking credit intermediation process, there also have other derivatives like CDO, CDS.Through the chain of the shadow banking system,these products accomplishcredit creation process.
Based on theresearch of foreignshadow banking system, we have experiences and lessons of the shadow banking system development in certain mastery.Then on this basis, we move to the Chinese financial intermediation innovation,puts forward suggestions and feasible method is also an important application of theoretical research.The U.S. financial crisis and the subsequent European debt crisis is a chance to innovate the former regulatory, and also a chance of China to develop our own financial products,improve China's financial industry's market position. This is also a chance to completeChina's financial regulation and supervision.
本次美国金融危机的爆发对世界经济格局和金融体系都产生了深远的影响,金融创新活动对金融中介部门功能和安全设置的影响大幅提升。影子银行系统作为一系列市场流动性和银行流动性相互转化的金融创新产品和市场机制,对其展开多角度研究是反思金融危机爆发原因,研究金融传导机制,更新金融监管方法和手段的重要途径。
本文的结构重点在于从创新性金融产品入手,建立短期产品维度为主,长期产品维度为辅的研究安排。对于影子银行系统的已有研究中,关注金融产品影响的研究占有相当数量。但其中对短期金融产品的研究最能体现影子银行系统期限错配、累积金融风险的特性。在本文的研究框架中,重点关注的是ABCP(资产支持商业票据)、repo(回购证券)、MMMF(货币市场共同基金)这三种短期金融产品。
ABCP在传统意义上被认为是“明确的商业银行流动性期权”。对实际数据的观察可以发现：虽然危机期间银行借贷是收缩的,但债券融资却是呈增长趋势的。本文以ABCP为观察对象,建立了贷款与债券之间的替代性关联模型。通过对非金融部门资金流向关系的观察,建立了以美国家庭部门、美国借款人部门、欧洲银行部门为主体的全球资金流动体系,完成了金融危机期间银行借贷和债券融资之间的替代性分析。对危机时期的市场表现进行了较好的拟合与解释说明。
repo在场外交易市场中是借方和贷方之间、证券与现金之间快速转换的重要媒介。回购证券以其期限短、高流动性的特征成为影子银行系统中“现金”的表现形式。通过对repo市场建立溃逃机制分析,既能观测影子银行系统内部产品传染的作用方式,也能体现影子银行系统期限错配的特性。本文基于证券化过程中基础资产的不同组成形式,及其危机时期的不同重组方式选择,对影子银行系统内部长期基础资产崩溃引发短期衍生产品溃逃的连锁反应进行了系统分析。从博弈的观点将影子银行系统溃逃机制归结为危机时期不同的重组方式选择,其中基础资产的不同组成则是重组是否有效的关键因素。通过对美国repo市场建立溃逃机制和杠杆影响分析,并结合欧洲repo市场的变动事实,对全球repo市场交易特性予以说明。
在本文中,采取观察MMMF市场表现的方式研究影子银行系统与系统性风险的关联,比较MMMF的不同发行形式对其风险分担机制的影响。将MMMF共分为在美国国内发行和离岸发行两种不同的发行方式,从其流动特征、组织形式、持有者支持和持有者类型等几个方面对风险选择的影响进行讨论。分析结果认为,美国国内发行的MMMF产品不论自身的保险机制设置情况如何,风险性高收益性高的资产是其较为偏好的资产类型。而对于离岸发行的MMMF(以欧洲为代表进行分析),其自身因无保障性支持而风险水平较高,但是欧洲MMMF市场的整体风险水平较高,所以离岸产品的风险性并不显著。所以从整体情况来看,MMMF基础资产包含的风险水平是偏高的,应该在未来的市场操作情况中进一步加以规范。
在影子银行系统中,MMMF将传统银行零散的资金进行了整合；证券化(ABCP为其中重要参与者)将传统银行的资产转移到表外,增进了市场流动性；repo将金融交易中的债券变成了新的形式的“货币”。再结合影子银行的定义,可以看出：影子银行系统的基底是ABS、MBS等资产证券化的债务融资,通过ABCP、repo、MMMF等金融产品实现了其流动性和期限的转化。而影子银行信用中介流程中也包含了CDO、CDS等其他类型的金融产品,通过影子银行系统的交易链,将上述产品整合成为信用创造的过程。
通过上述对国外影子银行系统的研究,本文已经对影子银行系统发展的经验和教训有了一定的掌握。那么在此基础上,将之与中国的金融中介创新活动进行对照,提出建议和可行的方法也是理论研究的重要实践应用。本次美国金融危机是金融创新活动安全性重建和监管方法改革的契机。中国金融业应借此机会一方面理清已存在的市场风险,提升中国金融产业的市场安全度；另一方面开展与国内市场需求相匹配的金融产品创新活动,抓住这次中国金融系统发展的重要机遇。
In2007, the U.S. financial crisis has caused heavy impact on financial products and its mediation.Since the crisis, the study of the causes of the crisis, the results and influence on mechanismhas gradually become a focus. In the study,financial products and its intermediary structure was named as "shadow banking system".Being an emerging liquidity and credit creation system,the shadow banking system is closely combined with the traditional banking sector and function approximation,but it also has not directly absorb deposits, high leverage, almost is not affected by the country's financial safety regulation, period mismatch of assets,trading chain complex as its characteristics.
The American financial crisishas had a profound impact on the world economy and financial system. Financial innovation activitiesimpact onthe financial intermediary sector functionand thesecurity settings much more great than before. Shadow banking system as a series of mutual transformation between market liquidity and bank liquidity financial innovation product and the market mechanism, study on this system is an important way to find the reason why crisis happened, and updatefinancial supervision method.
This article focuses ondifferent financial products. We set up the subsequence that product study is given priority to, institution study relies on product study.Studies on the causes of this financial crisis have been the focus in the study of the shadow banking system.Many scholars have put forward different point of view and conclusion.The attention to short-term financial products can reflectthe structural characteristics of the shadow banking system.In the research framework of this article, we focus on the ABCP (asset backed commercial paper), repo (repurchase securities), MMMF (money market mutual funds) as the typical short-term financial products.
ABCP in the traditional sense is considered to be "clear commercial bank liquidity options".Observation of the actual data can find that:although during crisis, bank lending is contracting, bond financing is on the rise.To ABCP products as observation object, the loans associated with bonds between the alternative model is established.Through observation of the non-financial sector flows into relationship, we established the household sector in the United States, the United States department of borrowers, European Banks as the main body of the global capital flow system, and completed the alternative analysis between loans and bonds. Andthis model offersa good fitting of this crisis.
Repo isan important medium between securities and cash.Character of high fluidity, repo act as "cash" in the shadow banking system.Through the repo market mechanism, we can observation the shadow banking system internal product contagion effect andthe term mismatch.From the point of view of gametheory, the collapse of shadow banking system is the consequence ofdifferent restructuring mode selection during the crisis.Different underlying assets are the key factor whetherrestructuring is effective. Through the U.S repo market we established the mechanism of flee, andcombined with European repo market changesfacts, we can characterglobal repo market trading.
We research relationship between the shadow banking system and the systemic risk through MMMF. MMMF's different issue organization form can impact on its risk sharing mechanism. MMMF release can be divided into domestic issuing and offshoreissuing. Based on this form, we concern why organizational form, holders' support and types can result different risk selection. Analysis results thatdomestic issuing MMMF regardless of their insurance mechanism set up situation, high profitability and high risk assets is its preference of asset types.Offshore issuing MMMF (represented by European offshore issuing MMMF) have high level of risk because they have no supportability. But the whole European MMMF contained high level of risk, offshore issuing MMMF's risk is no significant.From the overall situation, MMMF's based asset contains high risk level, in further marketing operation, supervisory authority should pay more attention on this kind of derivative.
In the shadow banking system,MMMFgather scattered consolidated funds from traditional banks; securitization transfers traditional banking assets outside of bank balance sheet, increase liquidity in the market;the repo market make bonds into new forms of "money".Combination with the definition of shadow banking, we can see that the shadow banking system is based on securitization products like ABS, MBS,through ABCP, repo and MMMF; the system realized its liquidity and the transformation of the period.In the shadow banking credit intermediation process, there also have other derivatives like CDO, CDS.Through the chain of the shadow banking system,these products accomplishcredit creation process.
Based on theresearch of foreignshadow banking system, we have experiences and lessons of the shadow banking system development in certain mastery.Then on this basis, we move to the Chinese financial intermediation innovation,puts forward suggestions and feasible method is also an important application of theoretical research.The U.S. financial crisis and the subsequent European debt crisis is a chance to innovate the former regulatory, and also a chance of China to develop our own financial products,improve China's financial industry's market position. This is also a chance to completeChina's financial regulation and supervision.
引文
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