中国证券行业宏观审慎监管研究
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摘要
美国金融危机爆发并席卷全球后,世界各国纷纷推出大规模的救市方案、经济刺激计划,制订并实施新的金融监管改革法案,以拯救陷于崩溃边缘的金融体系,处置并防范系统性金融风险。全球金融监管机构也加强了国际金融监管改革的合作与协调,新巴塞尔资本协议(“巴塞尔Ⅲ”)应运而生。针对此次金融危机暴露出来的金融体系顺周期性、金融机构风险传染性等特征,“巴塞尔Ⅲ”着力通过构建宏观审慎金融监管框架以防范系统性金融风险,增强金融体系的稳健性。“巴塞尔Ⅲ”提出的宏观审慎金融监管框架立足于商业银行监管,但是在西方国家混业经营、功能性监管的金融体系里,宏观审慎监管的对象涉及整个金融体系。对于实行金融分业经营、机构监管的我国来说,在全球金融监管改革纵深推进、国内金融机构综合经营步伐加快的背景下,构建涵盖银行、证券和保险等金融体系的宏观审慎监管框架将是我国金融监管改革的重要内容。
作为资本市场的主要中介机构和重要的机构投资者,证券公司在追求利润最大化的过程中,其经营管理行为无疑也存在和商业银行类似的顺周期性特征。净资本比率是证券公司风险业务的集中反映,以我国45家证券公司为样本建立的面板数据模型进行的回归分析表明,我国证券公司净资本比率存在明显的顺周期性。证券公司的自营、经纪、资产管理等业务也存在顺周期性特征,而公允价值会计计量方法以及外部信用评级则加剧了证券公司的顺周期性。同时,运用Copula函数对我国8家主要上市证券公司股价收益率进行的相关性分析发现,我国证券公司股价收益率之间存在明显的上尾相依性与下尾相依性,这表明我国证券公司之间存在明显的风险传染性。虽然从相关研究文献以及本文的实证研究结果来看,目前我国资本市场的“托宾Q”效应以及财富效应并不明显,但是其对于拓宽企业融资渠道、提高资本配置效率以及产业结构优化等方面的功能不可替代。因此加强宏观审慎监管,缓解证券公司的顺周期性、防止证券行业风险传染与扩散对于增强证券行业稳健性,维护资本市场稳定、健康发展进而促进宏观经济稳定运行具有非常重要的现实必要性。
借鉴“巴塞尔Ⅲ”提出的宏观审慎监管有关措施,我国应抓紧构建并完善证券行业宏观审慎监管框架。首先,要构建宏观审慎监管框架,即构建统一的宏观审慎金融监管机构；通过实施逆周期净资本监管机制、动态调整风险资本准备、实行动态杠杆率、建立证券市场稳定基金、改革公允价值会计准则、加强对信用评级机构的监管等措施缓解证券行业的顺周期性；通过加强对重点机构的监管、加强证券行业危机预警与压力测试、健全投资者保护机制、加强表外业务监管、加快金融市场建设等措施防范证券行业风险传染与扩散。此外,还应加强证券行业的自律管理,完善证券公司合作机制、建立明确的惩罚机制以及加强监管信息披露,降低宏观审慎监管过程中的交易成本。
总体而言,目前对证券行业实施宏观审慎监管的相关工具与机制的研究尚处于探索与完善阶段。本文立足于后金融危机时期全球金融监管改革的大背景,借鉴“巴塞尔Ⅲ”有关宏观审慎监管措施,力图为构建我国证券行业宏观审慎监管的基本框架、完善证券公司监管制度提供政策建议。
After U.S. financial crisis sweeping the globe, countries around the world launched a massive bailout plan and economic stimulus plan, developed and implemented a new financial regulatory reform bill, in order to save the financial system collapsed edge, disposal and to prevent systemic financial risks. Global financial regulatory agencies strengthened cooperation and coordination of the international financial regulatory reform, then the New Basel Capital Accord ("Basel III") came into being. Againsting the characteristics such as pro-cyclical and risk contagion in financial institutions,"Basel Ⅲ" strived to build a macro-prudential financial regulatory framework in order to prevent systemic financial risks and enhance the soundness of the financial system. Macro-prudential financial regulatory framework in "Basel Ⅲ" is based on the commercial banking system supervision, but in mixed operation and functional regulatory financial system in Western countries, the scope of the macro-prudential supervision coved the entire financial system. For the separate operation and separate supervision financial system in China, in the background of global financial regulatory reform deepened and the accelerated pace of the domestic financial institutions consolidated operating, it is of great importance to build macro-prudential regulatory framework covering financial institutions banking, securities and insurance.
As the main intermediaries and important institutional investors in capital markets, securities companies' management behavior is undoubtedly the presence of pro-cyclical characteristics similar to commercial banks in the pursuit of profit maximization. The net capital ratio is the concentrated reflection of the risk business of securities companies. The regression of panel data model which based samples of45Chinese securities companies shows China's securities companies' net capital ratio are significant pro-cyclical. Securities companies' proprietary trading, brokerage and asset management business are also pro-cyclical and the fair value accounting measurement methods as well as external credit rating exacerbated securities companies' pro-cyclical. Moreover, the copula model analysis which based on8listed securities companies shows that there are apparent up tail and low tail correlation between the stock return rates of China's securities companies, which show the risk contagious among China's securities companies. Although "Tobin's Q value" and the wealth effect of China's capital market'is not obvious from the relevant research literature and empirical results, its function of broadening the financing channels for enterprises, improving the efficiency of capital allocation and optimizing of industrial structure etc. can't be replaced. Therefore, it is of very important practical necessity to strengthen the macro-prudential regulation to ease the pro-cyclicality of securities companies as well as prevent infection and spread of the risk of the securities industry in order to enhance the robustness of the securities industry, maintain capital market stability and healthy development and thus to promote macroeconomic stability running.
Learning from the "Basel III" macro-prudential measures, China should pay close attention to build and improve macro-prudential framework for the securities industry.In the macro-prudential tools, we can implement counter-cyclical net capital regulatory mechanism, dynamic venture capital preparation and dynamic leverage ratio and in accordance with the international economic situation, macroeconomic and dynamically adjust above three tools combined with the early warning mechanism of securities industry risk to alleviate the pro-cyclicality. Meanwhile, in order to reduce the risks correlation and infectious, we should allocate more supervision resources to key institutions; through the usage of supervision tool such as improvement of the stress testing of the securities companies, improving investor protection mechanisms and "lender of last resort" system of securities companies, strengthening supervision of off-balance sheet business, accelerating the construction of financial markets, reform of fair value accounting credit rating to improve the risk management of securities companies and securities markets risk control systems and promote the sound development of the securities industry. In addition, we should also to strengthen the securities industry self-regulation, improve the cooperation mechanism of the securities company, establish a clear penalty mechanism and strengthen the disclosure of regulatory information, in order to lower transaction costs in the process of macro-prudential supervision.
Overall, the research of implementation of macro-prudential tools and mechanisms is still in the exploration and improvement stage. Based on the background of global financial regulatory reform in the times of pre-financial crisis period and drawing on the macro-prudential supervision measures in "Basel III", this paper try to provide policy recommendations for building the basic framework of macro-prudential supervision of the securities industry in China and improving the regulatory system of securities companies.
作为资本市场的主要中介机构和重要的机构投资者,证券公司在追求利润最大化的过程中,其经营管理行为无疑也存在和商业银行类似的顺周期性特征。净资本比率是证券公司风险业务的集中反映,以我国45家证券公司为样本建立的面板数据模型进行的回归分析表明,我国证券公司净资本比率存在明显的顺周期性。证券公司的自营、经纪、资产管理等业务也存在顺周期性特征,而公允价值会计计量方法以及外部信用评级则加剧了证券公司的顺周期性。同时,运用Copula函数对我国8家主要上市证券公司股价收益率进行的相关性分析发现,我国证券公司股价收益率之间存在明显的上尾相依性与下尾相依性,这表明我国证券公司之间存在明显的风险传染性。虽然从相关研究文献以及本文的实证研究结果来看,目前我国资本市场的“托宾Q”效应以及财富效应并不明显,但是其对于拓宽企业融资渠道、提高资本配置效率以及产业结构优化等方面的功能不可替代。因此加强宏观审慎监管,缓解证券公司的顺周期性、防止证券行业风险传染与扩散对于增强证券行业稳健性,维护资本市场稳定、健康发展进而促进宏观经济稳定运行具有非常重要的现实必要性。
借鉴“巴塞尔Ⅲ”提出的宏观审慎监管有关措施,我国应抓紧构建并完善证券行业宏观审慎监管框架。首先,要构建宏观审慎监管框架,即构建统一的宏观审慎金融监管机构；通过实施逆周期净资本监管机制、动态调整风险资本准备、实行动态杠杆率、建立证券市场稳定基金、改革公允价值会计准则、加强对信用评级机构的监管等措施缓解证券行业的顺周期性；通过加强对重点机构的监管、加强证券行业危机预警与压力测试、健全投资者保护机制、加强表外业务监管、加快金融市场建设等措施防范证券行业风险传染与扩散。此外,还应加强证券行业的自律管理,完善证券公司合作机制、建立明确的惩罚机制以及加强监管信息披露,降低宏观审慎监管过程中的交易成本。
总体而言,目前对证券行业实施宏观审慎监管的相关工具与机制的研究尚处于探索与完善阶段。本文立足于后金融危机时期全球金融监管改革的大背景,借鉴“巴塞尔Ⅲ”有关宏观审慎监管措施,力图为构建我国证券行业宏观审慎监管的基本框架、完善证券公司监管制度提供政策建议。
After U.S. financial crisis sweeping the globe, countries around the world launched a massive bailout plan and economic stimulus plan, developed and implemented a new financial regulatory reform bill, in order to save the financial system collapsed edge, disposal and to prevent systemic financial risks. Global financial regulatory agencies strengthened cooperation and coordination of the international financial regulatory reform, then the New Basel Capital Accord ("Basel III") came into being. Againsting the characteristics such as pro-cyclical and risk contagion in financial institutions,"Basel Ⅲ" strived to build a macro-prudential financial regulatory framework in order to prevent systemic financial risks and enhance the soundness of the financial system. Macro-prudential financial regulatory framework in "Basel Ⅲ" is based on the commercial banking system supervision, but in mixed operation and functional regulatory financial system in Western countries, the scope of the macro-prudential supervision coved the entire financial system. For the separate operation and separate supervision financial system in China, in the background of global financial regulatory reform deepened and the accelerated pace of the domestic financial institutions consolidated operating, it is of great importance to build macro-prudential regulatory framework covering financial institutions banking, securities and insurance.
As the main intermediaries and important institutional investors in capital markets, securities companies' management behavior is undoubtedly the presence of pro-cyclical characteristics similar to commercial banks in the pursuit of profit maximization. The net capital ratio is the concentrated reflection of the risk business of securities companies. The regression of panel data model which based samples of45Chinese securities companies shows China's securities companies' net capital ratio are significant pro-cyclical. Securities companies' proprietary trading, brokerage and asset management business are also pro-cyclical and the fair value accounting measurement methods as well as external credit rating exacerbated securities companies' pro-cyclical. Moreover, the copula model analysis which based on8listed securities companies shows that there are apparent up tail and low tail correlation between the stock return rates of China's securities companies, which show the risk contagious among China's securities companies. Although "Tobin's Q value" and the wealth effect of China's capital market'is not obvious from the relevant research literature and empirical results, its function of broadening the financing channels for enterprises, improving the efficiency of capital allocation and optimizing of industrial structure etc. can't be replaced. Therefore, it is of very important practical necessity to strengthen the macro-prudential regulation to ease the pro-cyclicality of securities companies as well as prevent infection and spread of the risk of the securities industry in order to enhance the robustness of the securities industry, maintain capital market stability and healthy development and thus to promote macroeconomic stability running.
Learning from the "Basel III" macro-prudential measures, China should pay close attention to build and improve macro-prudential framework for the securities industry.In the macro-prudential tools, we can implement counter-cyclical net capital regulatory mechanism, dynamic venture capital preparation and dynamic leverage ratio and in accordance with the international economic situation, macroeconomic and dynamically adjust above three tools combined with the early warning mechanism of securities industry risk to alleviate the pro-cyclicality. Meanwhile, in order to reduce the risks correlation and infectious, we should allocate more supervision resources to key institutions; through the usage of supervision tool such as improvement of the stress testing of the securities companies, improving investor protection mechanisms and "lender of last resort" system of securities companies, strengthening supervision of off-balance sheet business, accelerating the construction of financial markets, reform of fair value accounting credit rating to improve the risk management of securities companies and securities markets risk control systems and promote the sound development of the securities industry. In addition, we should also to strengthen the securities industry self-regulation, improve the cooperation mechanism of the securities company, establish a clear penalty mechanism and strengthen the disclosure of regulatory information, in order to lower transaction costs in the process of macro-prudential supervision.
Overall, the research of implementation of macro-prudential tools and mechanisms is still in the exploration and improvement stage. Based on the background of global financial regulatory reform in the times of pre-financial crisis period and drawing on the macro-prudential supervision measures in "Basel III", this paper try to provide policy recommendations for building the basic framework of macro-prudential supervision of the securities industry in China and improving the regulatory system of securities companies.
引文
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