流动性危机、信贷危机与监管改革
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摘要
2007年肇始于美国的金融危机是资本主义世界自1929～1933的大萧条以来最为严重的金融危机。在危机期间,美国众多的金融机构出现了破产倒闭,整个金融系统和全球经济也遭受了重创。在当今经济和金融全球化的时代背景下,由于世界各国之间普遍存在的经济和金融联系,危机的负面影响和冲击迅速波及全球,世界各国几乎无一幸免。当前,中国正在通过国际贸易和国际金融纽带全面地融入全球经济,与此同时,在世界各地,中国也存在着广泛的经济和商业利益,因此,了解和把握外部世界的发展和变化是全球化时代为我们提出的根本要求,也是“开眼看世界”以及学习和借鉴西方先进文明的必然要求。
自西方工业革命以来,人类的经济发展史是与经济和金融危机相伴而生的,历次的经济和金融危机不仅对人类的经济活动造成了极大的扰动,其巨大的成本往往超越了经济领域,从而深刻地影响到社会、政治以及国际关系和国际治理的各个领域。从某种意义上说,危机与变革也是相伴而生的,历次的危机都为人类生活的各个方面带来了广泛而深刻的变革。因此,在当今经济货币化、证券化和金融化的时代背景下,研究金融危机的发生和发展过程及其复杂的内在逻辑已经成为世界各国经济学研究的当务之急和经济学家刻不容缓的任务。
从现象上看,本文认为,爆发于2007年的金融危机是由流动性危机引发的信贷危机,进而导致全球范围内广泛的监管改革,这也是本文研究的基本逻辑。在金融危机发生和发展的每一阶段,伴随而来的是世界各国政府旨在缓解和抵消危机之负面影响的广泛的政策协调和政策干预,包括：流动性危机期间大规模的流动性注入、流动性危机深化导致信贷危机后的全球范围内的信贷宽松政策以及金融危机之后的全球监管改革。
从本质上看,本文认为,爆发于2007年的金融危机是诸多因素共同作用的结果。换言之,全球经济的客观条件和美国政府的主观意愿共同造就了一场史无前例的金融危机,危机前的经济繁荣之收益归美国所有,而危机后的资产缩水和货币贬值之成本实现了全球范围内的转嫁。具体而言,第一,国际货币体系中的美元本位和全球经济失衡导致的廉价商品和廉价资本以美国为最终市场为美联储能在较低的通胀水平下实行宽松货币政策创造了条件,因此,宽松的货币政策和廉价的信贷是危机爆发的根本祸因。第二,金融竞争和金融创新导致金融产品和金融市场的大量创新,这些创新活动提高了信息的不对称程度和金融产品定价的偏差,风险和收益出现了偏离,同时,创新与监管的非同步性也导致了监管的滞后和失灵。第三,美元的霸权地位和全球经济和金融的非均衡发展意味着全球经济存在着先天的不足,因而,国际和国别范围的金融危机不可避免,全球经济只能在脆弱中发展,在发展中变革。第四,本文认为,旨在避免周而复始的金融危机的政府监管,首先应该是政府自身的监管和自律,即政府应该严格遵守货币纪律和保持货币稳定,以监管宏观金融杠杆率为监管的核心原则,其次才是对微观经济主体和微观市场运行的干预,而干预也必须以法律和制度建设为中心。第五,政府和监管部门应该继续鼓励金融产品和金融市场的创新,熊彼特式的创造性毁灭过程是人类进步之源泉,因噎废食并不可取。政府应以市场的开放和创新实现对市场的约束,秉持市场至上原则,避免陷入细致入微的监管、广泛的政策干预和扼杀金融系统的活力。
从方法论上看,本文应用经济学和金融学中核心和前沿的理论从不同视角来分析和探讨金融危机的各个方面,包括：第一,应用全局博弈理论来分析流动性危机和政府救助政策；第二,应用金融市场微观结构理论和重要的行为金融理论来分析和探讨核心的信贷市场和信贷衍生品市场的运作和内在机制；第三,应用公司金融理论来分析和探讨危机期间的市场现象和危机之后的宏观审慎性监管改革；第四,应用公司金融和资产定价理论来回顾和分析公司融资与信用风险定价之理论发展和现实挑战。
从文章结构上看,本文共分八章。具体而言,第一章对2007～2009金融危机的发生和发展的三个阶段进行简单的回顾,包括危机前的金融发展趋势、危机中的重大事件以及危机后的市场放大机制；第二章对本文后续研究所基于的一些理论文献进行简要的回顾,由于本文的研究工作基于广泛的金融学理论,因此,文献回顾很难做到面面俱到,很多重要的文献回顾会在后续章节中继续进行,第二章主要侧重于回顾经典的银行挤兑和金融中介流动性危机理论、金融市场微观结构与流动性度量以及资产降价销售理论,即危机期间的一种重要的金融市场现象。第三章从全局博弈的视角来分析流动性危机与政府救助,尤其着重于政府救助与金融机构和短期债权人之间的激励相容的探讨。第四章分析信贷危机期间的债务市场运作,包括债务市场的参与人、债务工具、规模和发展以及债务市场的微观结构特征。第五章对结构公司金融模型和信用风险定价理论进行深入的理论回顾和述评之后,进一步提出其不足之处和现实挑战。第六章分析危机后备受争议的一个极为重要的信用衍生品市场-信用违约互换市场的运作并深入地探讨其微观交易机制。第七章探讨危机后的监管改革,包括对宏观审慎监管的原则、成本、方法和政策框架的深入分析,并对危机后全球银行监管的新标准-巴塞尔协议Ⅲ之不足与局限进行一定的分析。第八章是结束语。
The 2007～09 financial crisis erupted in the US is the most severe financial crisis since the 1929～33 Great Depression. During the financial crisis, a large amount of financial institutions were bankrupted and the whole financial system and global economy were also impacted severely. In the context of modern economic and financial globalization, due to widespread economic and financial linkage between different conturies, the shocks of the crisis were spreaded to the whole world quickly and almost no conturies could evade. Because china is participating with the global economy through international trade and finance channel, at the same time, there are many kinds of benefits around the world for china, so it is very important and urgent to know what happened in outer world and what can we learn from it.
Since the Industrial Revolution from western world, the economic development of human being is accompanied by economic and financial cisis. The economic and financial crisis not only influenced the humanbeing's economic activity deeply but also brought about deep social and political reform and international relation and international governance reform. In the context of modern world economic monetarization and securitization, understanding the nature, the evolving process and the cause and consequence of financial crisis is becoming an urgent task for economics and economist.
In the context of the phenomenon of 2007 financial cirisis, we argue in this paper that the process of the 2007～2009 financial crisis is that the 2007 liquidity crisis brought about the subsequent credit crisis and regulation reform arount the world. In each phases of the financial crisis, in order to alleviate the negative shock of the crisis, there were government policy coordination and policy interventionc around the world, including the liquidity injection during the liquidity crisis, the credit easing during the credit crisis and the regulation reform after the crisis.
In the context of the nature of 2007～2009 financial cirisis, we argue in this paper that the cause and the consequence of the crisis is depend of many kinds of factors. In other words, the global outer conditions and the willingness of the Federal Reserve together brought us the unpredented financial crisis. The benefit of credit boom and economic expansion is gained by US, but the costs that the financial crisis brought about were diversified to the world. Specificly, first, the US dollar hegemony in the international monetary system and global imbalance induce the cheap commodity and capital to flow to the US, such that US to carry out expansitionary monetary policy under the condition of low inflation rate. Second, financial competition and financial innovation brought about the widespread innovations in financial products and financial markets, and these innovative activities then brought about information asymmetry and pricing error in financial transaction and financial product, the relation between risk and return was distorted. At the same time, regulation lag and failure also contribute to the eruption of financial crisis. Third, the dollar hegemony and global imbalance implied that there is congenital disfigurement in global economy, so there will be intermittent financial crisis in global economy and some countries. Fourth, the regulation to prevent the eruption of financial crisis is the regulation and self-discipline of government itself, so the government must strictly comply with the monetary discipline and maintain the stability of money and the regulation authority should pay attention to the regulation of macroeconomic financial leverage. Fifth, the government and regulation authority should continue to encourage the innovation of financial product and markets.
In the context of methodology, some key theory in economics and finance was used to study the financial crisis from different perspective in this paper. First, we use global game methodology to study the relationship between the liquidity crisis and government bailouts, and we also discuss the incentive mechanism in the bailouts. Second, we use market microstructure theory and some important theory in behavioral finance to study the functioning and internal mechanism of the credit market and credit derivative market. Third, we use corporate finance theory to analyze and discuss some important market phenomenon during the crisis and macro-prudential regulation reform after the crisis. Fourth, we use corpotate finance and asset pricing theory to discuss and review the theory of corporate financing credit risk pricing and the impending challenge to it.
The structure of the paper is as follows. In chapter 1, we will briefly review the three phases during the 2007～2009 financial crisis. In chapter 2, we will review the theoretical literature of classical bank runs models and the theory of liquidity crisis of financial intermediary, we will also review some key liquidity benchmarks in market microstructure and fire sale theory. In chapter 3, we will develop a model of rollover game of short-term creditor to study the government bailouts effects and the incentive issures. In chapter 4, we will study the malfunctioning of debt markets from the perspective of market microstructure during the financial crisis. In chapter 5, we will comprehensively review the structural models in coporate finance and credit risk pricing. In chapter 6, we will analyze the functioning of CDS market and its market microstructure. In chapter 7, we discuss macro-prudential regulation reform. Chapter 8 is concluding remarks of this paper.
自西方工业革命以来,人类的经济发展史是与经济和金融危机相伴而生的,历次的经济和金融危机不仅对人类的经济活动造成了极大的扰动,其巨大的成本往往超越了经济领域,从而深刻地影响到社会、政治以及国际关系和国际治理的各个领域。从某种意义上说,危机与变革也是相伴而生的,历次的危机都为人类生活的各个方面带来了广泛而深刻的变革。因此,在当今经济货币化、证券化和金融化的时代背景下,研究金融危机的发生和发展过程及其复杂的内在逻辑已经成为世界各国经济学研究的当务之急和经济学家刻不容缓的任务。
从现象上看,本文认为,爆发于2007年的金融危机是由流动性危机引发的信贷危机,进而导致全球范围内广泛的监管改革,这也是本文研究的基本逻辑。在金融危机发生和发展的每一阶段,伴随而来的是世界各国政府旨在缓解和抵消危机之负面影响的广泛的政策协调和政策干预,包括：流动性危机期间大规模的流动性注入、流动性危机深化导致信贷危机后的全球范围内的信贷宽松政策以及金融危机之后的全球监管改革。
从本质上看,本文认为,爆发于2007年的金融危机是诸多因素共同作用的结果。换言之,全球经济的客观条件和美国政府的主观意愿共同造就了一场史无前例的金融危机,危机前的经济繁荣之收益归美国所有,而危机后的资产缩水和货币贬值之成本实现了全球范围内的转嫁。具体而言,第一,国际货币体系中的美元本位和全球经济失衡导致的廉价商品和廉价资本以美国为最终市场为美联储能在较低的通胀水平下实行宽松货币政策创造了条件,因此,宽松的货币政策和廉价的信贷是危机爆发的根本祸因。第二,金融竞争和金融创新导致金融产品和金融市场的大量创新,这些创新活动提高了信息的不对称程度和金融产品定价的偏差,风险和收益出现了偏离,同时,创新与监管的非同步性也导致了监管的滞后和失灵。第三,美元的霸权地位和全球经济和金融的非均衡发展意味着全球经济存在着先天的不足,因而,国际和国别范围的金融危机不可避免,全球经济只能在脆弱中发展,在发展中变革。第四,本文认为,旨在避免周而复始的金融危机的政府监管,首先应该是政府自身的监管和自律,即政府应该严格遵守货币纪律和保持货币稳定,以监管宏观金融杠杆率为监管的核心原则,其次才是对微观经济主体和微观市场运行的干预,而干预也必须以法律和制度建设为中心。第五,政府和监管部门应该继续鼓励金融产品和金融市场的创新,熊彼特式的创造性毁灭过程是人类进步之源泉,因噎废食并不可取。政府应以市场的开放和创新实现对市场的约束,秉持市场至上原则,避免陷入细致入微的监管、广泛的政策干预和扼杀金融系统的活力。
从方法论上看,本文应用经济学和金融学中核心和前沿的理论从不同视角来分析和探讨金融危机的各个方面,包括：第一,应用全局博弈理论来分析流动性危机和政府救助政策；第二,应用金融市场微观结构理论和重要的行为金融理论来分析和探讨核心的信贷市场和信贷衍生品市场的运作和内在机制；第三,应用公司金融理论来分析和探讨危机期间的市场现象和危机之后的宏观审慎性监管改革；第四,应用公司金融和资产定价理论来回顾和分析公司融资与信用风险定价之理论发展和现实挑战。
从文章结构上看,本文共分八章。具体而言,第一章对2007～2009金融危机的发生和发展的三个阶段进行简单的回顾,包括危机前的金融发展趋势、危机中的重大事件以及危机后的市场放大机制；第二章对本文后续研究所基于的一些理论文献进行简要的回顾,由于本文的研究工作基于广泛的金融学理论,因此,文献回顾很难做到面面俱到,很多重要的文献回顾会在后续章节中继续进行,第二章主要侧重于回顾经典的银行挤兑和金融中介流动性危机理论、金融市场微观结构与流动性度量以及资产降价销售理论,即危机期间的一种重要的金融市场现象。第三章从全局博弈的视角来分析流动性危机与政府救助,尤其着重于政府救助与金融机构和短期债权人之间的激励相容的探讨。第四章分析信贷危机期间的债务市场运作,包括债务市场的参与人、债务工具、规模和发展以及债务市场的微观结构特征。第五章对结构公司金融模型和信用风险定价理论进行深入的理论回顾和述评之后,进一步提出其不足之处和现实挑战。第六章分析危机后备受争议的一个极为重要的信用衍生品市场-信用违约互换市场的运作并深入地探讨其微观交易机制。第七章探讨危机后的监管改革,包括对宏观审慎监管的原则、成本、方法和政策框架的深入分析,并对危机后全球银行监管的新标准-巴塞尔协议Ⅲ之不足与局限进行一定的分析。第八章是结束语。
The 2007～09 financial crisis erupted in the US is the most severe financial crisis since the 1929～33 Great Depression. During the financial crisis, a large amount of financial institutions were bankrupted and the whole financial system and global economy were also impacted severely. In the context of modern economic and financial globalization, due to widespread economic and financial linkage between different conturies, the shocks of the crisis were spreaded to the whole world quickly and almost no conturies could evade. Because china is participating with the global economy through international trade and finance channel, at the same time, there are many kinds of benefits around the world for china, so it is very important and urgent to know what happened in outer world and what can we learn from it.
Since the Industrial Revolution from western world, the economic development of human being is accompanied by economic and financial cisis. The economic and financial crisis not only influenced the humanbeing's economic activity deeply but also brought about deep social and political reform and international relation and international governance reform. In the context of modern world economic monetarization and securitization, understanding the nature, the evolving process and the cause and consequence of financial crisis is becoming an urgent task for economics and economist.
In the context of the phenomenon of 2007 financial cirisis, we argue in this paper that the process of the 2007～2009 financial crisis is that the 2007 liquidity crisis brought about the subsequent credit crisis and regulation reform arount the world. In each phases of the financial crisis, in order to alleviate the negative shock of the crisis, there were government policy coordination and policy interventionc around the world, including the liquidity injection during the liquidity crisis, the credit easing during the credit crisis and the regulation reform after the crisis.
In the context of the nature of 2007～2009 financial cirisis, we argue in this paper that the cause and the consequence of the crisis is depend of many kinds of factors. In other words, the global outer conditions and the willingness of the Federal Reserve together brought us the unpredented financial crisis. The benefit of credit boom and economic expansion is gained by US, but the costs that the financial crisis brought about were diversified to the world. Specificly, first, the US dollar hegemony in the international monetary system and global imbalance induce the cheap commodity and capital to flow to the US, such that US to carry out expansitionary monetary policy under the condition of low inflation rate. Second, financial competition and financial innovation brought about the widespread innovations in financial products and financial markets, and these innovative activities then brought about information asymmetry and pricing error in financial transaction and financial product, the relation between risk and return was distorted. At the same time, regulation lag and failure also contribute to the eruption of financial crisis. Third, the dollar hegemony and global imbalance implied that there is congenital disfigurement in global economy, so there will be intermittent financial crisis in global economy and some countries. Fourth, the regulation to prevent the eruption of financial crisis is the regulation and self-discipline of government itself, so the government must strictly comply with the monetary discipline and maintain the stability of money and the regulation authority should pay attention to the regulation of macroeconomic financial leverage. Fifth, the government and regulation authority should continue to encourage the innovation of financial product and markets.
In the context of methodology, some key theory in economics and finance was used to study the financial crisis from different perspective in this paper. First, we use global game methodology to study the relationship between the liquidity crisis and government bailouts, and we also discuss the incentive mechanism in the bailouts. Second, we use market microstructure theory and some important theory in behavioral finance to study the functioning and internal mechanism of the credit market and credit derivative market. Third, we use corporate finance theory to analyze and discuss some important market phenomenon during the crisis and macro-prudential regulation reform after the crisis. Fourth, we use corpotate finance and asset pricing theory to discuss and review the theory of corporate financing credit risk pricing and the impending challenge to it.
The structure of the paper is as follows. In chapter 1, we will briefly review the three phases during the 2007～2009 financial crisis. In chapter 2, we will review the theoretical literature of classical bank runs models and the theory of liquidity crisis of financial intermediary, we will also review some key liquidity benchmarks in market microstructure and fire sale theory. In chapter 3, we will develop a model of rollover game of short-term creditor to study the government bailouts effects and the incentive issures. In chapter 4, we will study the malfunctioning of debt markets from the perspective of market microstructure during the financial crisis. In chapter 5, we will comprehensively review the structural models in coporate finance and credit risk pricing. In chapter 6, we will analyze the functioning of CDS market and its market microstructure. In chapter 7, we discuss macro-prudential regulation reform. Chapter 8 is concluding remarks of this paper.
引文
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