信用风险转移对金融稳定的影响研究
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摘要
快速的金融创新改变了风险的分布,使得市场参与者能够在金融部门和其他部门间交易信用风险。随着证券化工具与信用衍生品的出现,信用风险转移市场得到了迅速的发展,并为全球金融体系提供了实质性的好处。但是信用风险转移也带来了新的风险。2007年7月,美国次级贷款危机爆发并产生了一系列连锁反应,导致了投资者对房地产业、金融业、美国经济及全球资本市场的担忧。次贷危机为何爆发,又何以迅速传播至全球成为各国各界密切关注的问题。
我国的金融体系以商业银行为主体,金融风险主要集中于商业银行。信用风险问题一直是我国商业银行经营运行中存在的主要问题,信用风险转移市场的建立对于我国金融发展具有重要意义。因此,本文围绕信用风险转移对金融稳定的影响这一论题展开研究,旨在考察信用风险转移对金融稳定的影响机制和影响效应。本文遵循理论分析—构建理论模型—理论假设—样本统计检验—得出结论—案例分析—提出政策建议的研究路径。全文共分六章,主要内容如下：
第一章为导论,从迅速发展的信用风险转移市场和美国次贷危机的爆发入手,提出本文研究的理论和现实意义。并且对国内外的相关研究进行回顾,阐述本文的研究思路、研究方法及可能的创新与不足之处。
第二章介绍信用风险转移工具,信用风险转移市场的参与者、参与动机及风险承担状况,并且分析信用风险转移市场近年来的发展动向。从传统的贷款销售、资产证券化产品到近年来快速发展的信用衍生品,信用风险转移工具的范围不断扩大。目前,信用风险转移市场的参与者主要有商业银行、全能银行、证券交易商、保险公司、投资基金、养老基金、共同基金以及一些非金融机构,他们的参与动机各有不同。各个参与者根据他们的风险偏好选择不同的信用风险转移产品。2005年以来信用风险转移市场呈现以下特征：基础资产类型愈加丰富、产品日益复杂；市场参与者多样化与全球化；对冲基金成为信用风险转移市场的重要参与者。经历了2007年的市场动荡之后,一些结构复杂、高风险的信用风险转移产品将逐步退出市场。
第三章分析了信用风险转移市场潜在的风险,并深入探讨信用风险转移对金融稳定的微观和宏观影响机制。从微观上看,信用风险转移主要从信息不对称和单个银行行为来影响金融稳定；从宏观角度来说,信用风险转移通过金融监管、金融市场、货币政策及风险传染来影响金融稳定。基于以上分析文章从信息不对称的角度构建了银行业均衡模型,比较分析信用风险转移市场存在前后、理想信用风险转移与现实信用风险转移下银行业的福利和竞争变化。研究结果表明：理想状态的信用风险转移提高了银行的风险承担能力和市场参与者的整体福利,有利于金融稳定。存在信息不对称问题的现实信用风险转移市场直接导致了贷款质量的下降和激烈的竞争,因而对金融稳定性造成了不利的影响。因此,为了更好地发挥信用风险转移的作用,需要提高信用风险转移市场的透明度,有效解决信息不对称问题,并且提高监管的有效性确保银行的违约概率维持较低水平。
第四章实证分析信用风险转移对金融稳定的影响。以欧洲信用风险转移市场作为研究样本,采用联合超值数(Coexceedances)描述金融系统稳定,分别计算了金融机构的正、负收益率超值数。除了采用广义线性混合模型(GLMM)描述CDO发行量与金融稳定的关系之外,为了分析滞后变量及趋势变量的影响,本章进一步将CDO发行变化量作为系统输入变量,联合超值数作为系统输出变量,构建动态系统模型推断影响效应。分析结果表明在2002-2008年的欧洲信用风险转移市场上,信用风险转移对金融稳定的影响显著。其中CDO发行量对负收益率超值数的影响系数大于对正收益率超值数的影响系数,即负面影响效应大于正面影响效应。另外,滞后两期的CDO发行量影响效应最大,影响系数与当期和滞后一期的影响系数相反。这表明CDO发行初期利于金融机构收益率的提高,后期反而导致收益率的下降,这对监管政策的制定及有效实施十分重要。
第五章从信用风险转移对金融稳定影响的角度解读美国的次贷危机。次贷危机本质上是一场由信用风险的累积酿成的信用危机。次贷危机暴露出了美国信用风险转移市场的不足之处：次贷的借贷标准、信用评级机构的误导、流动性风险以及单一险种金融担保人的失职。在次贷危机爆发前,信用风险转移市场的潜在风险及监管缺失导致风险过度累积；危机爆发后,信用风险转移市场违约事件的发生造成风险传染加深了危机；此外,信用风险转移弱化了货币政策的实施效果加大了政府救助政策实施的难度。
第六章介绍了我国信用风险转移市场发展的现状,并结合我国国情分析我国发展信用风险转移市场的意义和障碍。在金融稳定视角下我国发展信用风险转移市场需要关注以下问题：信用风险转移中的信息不对称问题、内部交易问题、市场基础建设问题、信用风险转移对于不良资产处置的影响和金融监管问题。在实际操作中应该遵循以下原则：科学管理信用风险转移产品交易的杠杆比例；加强信息披露；信用风险转移产品的派生层次须有序推进。
综上所述,稳健运行的信用风险转移对一国金融发展具有重要意义,有利于提高金融稳定和效率,不会对金融体系造成系统性威胁。信用风险转移的主要问题在于信用风险转移市场的信息不对称以及监管的低效,这将导致风险的不适度集中、风险定价不准确以及缺乏透明度等,这些问题将给金融稳定带来负面影响。并且,信用风险转移还使得不同金融机构和市场之间的内部联系日益紧密,金融系统的任一冲击将通过这些内部联系和参与信用风险转移市场的广大投资者而被放大。另外,信用风险转移还加大货币政策的调控难度,在爆发危机后将减弱政府部门经济政策的实施效果。因此,政策的目标应该是通过各种措施来改善和促进信用风险转移市场的发展,而不是限制它。基于以上研究结论,本文的创新之处表现在：
第一、现有文献大多研究信用风险转移工具及其定价、信用风险转移对商业银行信用风险管理的影响,而关于信用风险转移对金融稳定影响的研究还比较缺乏。本文选取了较新的研究视角,开创性的深入探索信用风险转移对金融稳定影响的微观和宏观影响机制,构建了较系统全面的理论分析框架。
第二、在分析影响机制的基础上,从信息不对称的角度建立了信用风险转移对银行业影响的均衡模型。比较信用风险转移市场引入前后,以及理想的信用风险转移与现实的信用风险转移下银行业的福利和竞争水平,结果表明,信用风险转移提高了银行的风险承担能力。为了更好地发挥信用风险转移的作用,实现金融稳定,不仅需要提高信用风险转移市场的透明度,有效解决信息不对称问题,而且需要确保银行的违约概率维持较低水平,并提高金融监管的有效性。
第三、以联合超值数(Coexceedances)描述金融系统风险,构建动态系统模型分析CDO滞后变量及趋势变量对金融稳定的影响。联合超值数相比相关系数更易于对时间序列建模,而且相比极值方法避免了观测值过少导致的分布函数失灵问题。将CDO发行变化量作为系统输入变量,联合超值数作为系统输出变量构建的动态系统模型,不仅涵盖了潜在的宏观经济因素,而且有效区分了CDO变量滞后值对金融稳定的影响差异。模型校验结果表明动态分析方法的预测结果更加贴近实际数值,而且推断过程简洁清晰。
Rapid financial innovation has changed the distribution of risk, allowing market participants to trade credit risk in the financial sector and other sector. With the emergence of the securitization instruments and credit derivatives, credit risk transfer(CRT) market has been rapidly developed, and provides substantial benefits to the global financial system. But the credit risk transfer has also brought new risks. In July 2007, the U.S. sub-prime mortgage crisis has happened and generated a series of knock-on effect. It is concerned why sub-prime crisis broke out and how it can rapidly spread to the world. Therefore, this thesis focus on the effect of credit risk transfer on financial stability. The main structure and viewpoint is as follows:
Chapter 1 is the preface. The research background and significance are proposed, relevant research are explained, research methods and possible innovations are also introduced.
Chapter 2 describes the instruments, participants and the trend of CRT market. The range of CRT instruments is continually expanding. At present, the credit risk transfer market participants are mainly commercial banks, universal banks, securities dealers, insurance companies, investment funds, pension funds, mutual funds, as well as some non-financial institutions, and their motivation are different. Since 2005, the CRT market presents the following characteristics:underlying asset is increasing and products are complex; market participants are diversified and global; hedge funds becomes an important participant.
Chapter 3 analyzes the potential risks of CRT market, microcosmic and macroscopical impact mechanism of CRT on financial stability. The microcosmic impact mechanism includes information asymmetry and individual banks' behavior. From a macro perspective, the mechanism consists financial supervision, financial markets, monetary policy and the risk contagion. This chapter also builds the banking industry equilibrium model to test the influence of CRT market on the financial stability based on information asymmetry. The results show that:an ideal CRT improving the bank's risk-taking ability and the overall welfare of market participants is conducive to financial stability. Asymmetric information problem exists the reality of CRT market, directly leads to the decline in loan quality and fierce competition, thus has the adverse effects to financial stability.
Chapter 4 takes the European CRT market as a research sample, describes the financial system stability using Coexceedances. In addition to describe the relationship between CDO issuance and the financial stability through generalized linear mixed model, this chapter further build a dynamic system model in order to analyze the impact of lagged variables and trends variables, in which using the change amount of CDO as the system input variables and the Coexceedances as the system output variables. The results show that CRT on financial stability is significant, the impact of CDO issuance on the Coexceedances of negative returns is greater than on the positive returns.
Chapter 5 analyzes the U.S. sub-prime crisis based on the impact of CRT. Sub-prime crisis is essentially the credit crisis. It has exposed the shortage of U.S. CRT market:weak subprime origination standards, the role of credit rating agencies, liquidity risk and the role of monoline financial guarantors. Before the outbreak of the sub-prime crisis, the potential risks and regulatory deficiencies led to the risk of excessive accumulation in CRT market; the risk contagion caused by default event deepened the crisis; CRT weakening the effect of monetary policy made the implementation of Government's aid policies more difficult.
Chapter 6 describes the development, significance and obstacles of China's CRT market. In the perspective of financial stability, we need to focus on the following issues:the information gaps, insider trading, market infrastructure, effect on workouts and financial supervision. In practice, we should follow the principles:manage the leverage ratio of CRT products; strengthen information disclosure; CRT products derived from level to be an orderly way.
In summary, the stable operation of CRT will help improve financial stability and efficiency. The main problem of CRT is asymmetric information and regulatory inefficiencies, which will give a negative impact on financial stability. Also, the CRT also lead to close relations in financial institutions and markets, which will magnify the financial shock. In addition, CRT weakening monetary policy has increased the difficulty of government economic policy. Therefore, the objective of policy is to improve and promote the development of CRT market, rather than limit it. Based on the above findings, the possible aspects of innovation of this dissertation are followed:
Firstly, it selects a relatively new research perspective and builds a systematic and comprehensive theoretical analysis framework.
Secondly, it establishes the equilibrium model based on information asymmetry to test the effect of CRT market on financial stability.
Finally, Describe the risks of the financial system by use of Coexceedances, and build dynamic system model to analyze the impact of CDO lagged variables and trends variables on financial stability. The dynamic system model not only cover the latent macro-economic factors, but also effectively distinguish the impact of CDO lagged variables on financial stability.
我国的金融体系以商业银行为主体,金融风险主要集中于商业银行。信用风险问题一直是我国商业银行经营运行中存在的主要问题,信用风险转移市场的建立对于我国金融发展具有重要意义。因此,本文围绕信用风险转移对金融稳定的影响这一论题展开研究,旨在考察信用风险转移对金融稳定的影响机制和影响效应。本文遵循理论分析—构建理论模型—理论假设—样本统计检验—得出结论—案例分析—提出政策建议的研究路径。全文共分六章,主要内容如下：
第一章为导论,从迅速发展的信用风险转移市场和美国次贷危机的爆发入手,提出本文研究的理论和现实意义。并且对国内外的相关研究进行回顾,阐述本文的研究思路、研究方法及可能的创新与不足之处。
第二章介绍信用风险转移工具,信用风险转移市场的参与者、参与动机及风险承担状况,并且分析信用风险转移市场近年来的发展动向。从传统的贷款销售、资产证券化产品到近年来快速发展的信用衍生品,信用风险转移工具的范围不断扩大。目前,信用风险转移市场的参与者主要有商业银行、全能银行、证券交易商、保险公司、投资基金、养老基金、共同基金以及一些非金融机构,他们的参与动机各有不同。各个参与者根据他们的风险偏好选择不同的信用风险转移产品。2005年以来信用风险转移市场呈现以下特征：基础资产类型愈加丰富、产品日益复杂；市场参与者多样化与全球化；对冲基金成为信用风险转移市场的重要参与者。经历了2007年的市场动荡之后,一些结构复杂、高风险的信用风险转移产品将逐步退出市场。
第三章分析了信用风险转移市场潜在的风险,并深入探讨信用风险转移对金融稳定的微观和宏观影响机制。从微观上看,信用风险转移主要从信息不对称和单个银行行为来影响金融稳定；从宏观角度来说,信用风险转移通过金融监管、金融市场、货币政策及风险传染来影响金融稳定。基于以上分析文章从信息不对称的角度构建了银行业均衡模型,比较分析信用风险转移市场存在前后、理想信用风险转移与现实信用风险转移下银行业的福利和竞争变化。研究结果表明：理想状态的信用风险转移提高了银行的风险承担能力和市场参与者的整体福利,有利于金融稳定。存在信息不对称问题的现实信用风险转移市场直接导致了贷款质量的下降和激烈的竞争,因而对金融稳定性造成了不利的影响。因此,为了更好地发挥信用风险转移的作用,需要提高信用风险转移市场的透明度,有效解决信息不对称问题,并且提高监管的有效性确保银行的违约概率维持较低水平。
第四章实证分析信用风险转移对金融稳定的影响。以欧洲信用风险转移市场作为研究样本,采用联合超值数(Coexceedances)描述金融系统稳定,分别计算了金融机构的正、负收益率超值数。除了采用广义线性混合模型(GLMM)描述CDO发行量与金融稳定的关系之外,为了分析滞后变量及趋势变量的影响,本章进一步将CDO发行变化量作为系统输入变量,联合超值数作为系统输出变量,构建动态系统模型推断影响效应。分析结果表明在2002-2008年的欧洲信用风险转移市场上,信用风险转移对金融稳定的影响显著。其中CDO发行量对负收益率超值数的影响系数大于对正收益率超值数的影响系数,即负面影响效应大于正面影响效应。另外,滞后两期的CDO发行量影响效应最大,影响系数与当期和滞后一期的影响系数相反。这表明CDO发行初期利于金融机构收益率的提高,后期反而导致收益率的下降,这对监管政策的制定及有效实施十分重要。
第五章从信用风险转移对金融稳定影响的角度解读美国的次贷危机。次贷危机本质上是一场由信用风险的累积酿成的信用危机。次贷危机暴露出了美国信用风险转移市场的不足之处：次贷的借贷标准、信用评级机构的误导、流动性风险以及单一险种金融担保人的失职。在次贷危机爆发前,信用风险转移市场的潜在风险及监管缺失导致风险过度累积；危机爆发后,信用风险转移市场违约事件的发生造成风险传染加深了危机；此外,信用风险转移弱化了货币政策的实施效果加大了政府救助政策实施的难度。
第六章介绍了我国信用风险转移市场发展的现状,并结合我国国情分析我国发展信用风险转移市场的意义和障碍。在金融稳定视角下我国发展信用风险转移市场需要关注以下问题：信用风险转移中的信息不对称问题、内部交易问题、市场基础建设问题、信用风险转移对于不良资产处置的影响和金融监管问题。在实际操作中应该遵循以下原则：科学管理信用风险转移产品交易的杠杆比例；加强信息披露；信用风险转移产品的派生层次须有序推进。
综上所述,稳健运行的信用风险转移对一国金融发展具有重要意义,有利于提高金融稳定和效率,不会对金融体系造成系统性威胁。信用风险转移的主要问题在于信用风险转移市场的信息不对称以及监管的低效,这将导致风险的不适度集中、风险定价不准确以及缺乏透明度等,这些问题将给金融稳定带来负面影响。并且,信用风险转移还使得不同金融机构和市场之间的内部联系日益紧密,金融系统的任一冲击将通过这些内部联系和参与信用风险转移市场的广大投资者而被放大。另外,信用风险转移还加大货币政策的调控难度,在爆发危机后将减弱政府部门经济政策的实施效果。因此,政策的目标应该是通过各种措施来改善和促进信用风险转移市场的发展,而不是限制它。基于以上研究结论,本文的创新之处表现在：
第一、现有文献大多研究信用风险转移工具及其定价、信用风险转移对商业银行信用风险管理的影响,而关于信用风险转移对金融稳定影响的研究还比较缺乏。本文选取了较新的研究视角,开创性的深入探索信用风险转移对金融稳定影响的微观和宏观影响机制,构建了较系统全面的理论分析框架。
第二、在分析影响机制的基础上,从信息不对称的角度建立了信用风险转移对银行业影响的均衡模型。比较信用风险转移市场引入前后,以及理想的信用风险转移与现实的信用风险转移下银行业的福利和竞争水平,结果表明,信用风险转移提高了银行的风险承担能力。为了更好地发挥信用风险转移的作用,实现金融稳定,不仅需要提高信用风险转移市场的透明度,有效解决信息不对称问题,而且需要确保银行的违约概率维持较低水平,并提高金融监管的有效性。
第三、以联合超值数(Coexceedances)描述金融系统风险,构建动态系统模型分析CDO滞后变量及趋势变量对金融稳定的影响。联合超值数相比相关系数更易于对时间序列建模,而且相比极值方法避免了观测值过少导致的分布函数失灵问题。将CDO发行变化量作为系统输入变量,联合超值数作为系统输出变量构建的动态系统模型,不仅涵盖了潜在的宏观经济因素,而且有效区分了CDO变量滞后值对金融稳定的影响差异。模型校验结果表明动态分析方法的预测结果更加贴近实际数值,而且推断过程简洁清晰。
Rapid financial innovation has changed the distribution of risk, allowing market participants to trade credit risk in the financial sector and other sector. With the emergence of the securitization instruments and credit derivatives, credit risk transfer(CRT) market has been rapidly developed, and provides substantial benefits to the global financial system. But the credit risk transfer has also brought new risks. In July 2007, the U.S. sub-prime mortgage crisis has happened and generated a series of knock-on effect. It is concerned why sub-prime crisis broke out and how it can rapidly spread to the world. Therefore, this thesis focus on the effect of credit risk transfer on financial stability. The main structure and viewpoint is as follows:
Chapter 1 is the preface. The research background and significance are proposed, relevant research are explained, research methods and possible innovations are also introduced.
Chapter 2 describes the instruments, participants and the trend of CRT market. The range of CRT instruments is continually expanding. At present, the credit risk transfer market participants are mainly commercial banks, universal banks, securities dealers, insurance companies, investment funds, pension funds, mutual funds, as well as some non-financial institutions, and their motivation are different. Since 2005, the CRT market presents the following characteristics:underlying asset is increasing and products are complex; market participants are diversified and global; hedge funds becomes an important participant.
Chapter 3 analyzes the potential risks of CRT market, microcosmic and macroscopical impact mechanism of CRT on financial stability. The microcosmic impact mechanism includes information asymmetry and individual banks' behavior. From a macro perspective, the mechanism consists financial supervision, financial markets, monetary policy and the risk contagion. This chapter also builds the banking industry equilibrium model to test the influence of CRT market on the financial stability based on information asymmetry. The results show that:an ideal CRT improving the bank's risk-taking ability and the overall welfare of market participants is conducive to financial stability. Asymmetric information problem exists the reality of CRT market, directly leads to the decline in loan quality and fierce competition, thus has the adverse effects to financial stability.
Chapter 4 takes the European CRT market as a research sample, describes the financial system stability using Coexceedances. In addition to describe the relationship between CDO issuance and the financial stability through generalized linear mixed model, this chapter further build a dynamic system model in order to analyze the impact of lagged variables and trends variables, in which using the change amount of CDO as the system input variables and the Coexceedances as the system output variables. The results show that CRT on financial stability is significant, the impact of CDO issuance on the Coexceedances of negative returns is greater than on the positive returns.
Chapter 5 analyzes the U.S. sub-prime crisis based on the impact of CRT. Sub-prime crisis is essentially the credit crisis. It has exposed the shortage of U.S. CRT market:weak subprime origination standards, the role of credit rating agencies, liquidity risk and the role of monoline financial guarantors. Before the outbreak of the sub-prime crisis, the potential risks and regulatory deficiencies led to the risk of excessive accumulation in CRT market; the risk contagion caused by default event deepened the crisis; CRT weakening the effect of monetary policy made the implementation of Government's aid policies more difficult.
Chapter 6 describes the development, significance and obstacles of China's CRT market. In the perspective of financial stability, we need to focus on the following issues:the information gaps, insider trading, market infrastructure, effect on workouts and financial supervision. In practice, we should follow the principles:manage the leverage ratio of CRT products; strengthen information disclosure; CRT products derived from level to be an orderly way.
In summary, the stable operation of CRT will help improve financial stability and efficiency. The main problem of CRT is asymmetric information and regulatory inefficiencies, which will give a negative impact on financial stability. Also, the CRT also lead to close relations in financial institutions and markets, which will magnify the financial shock. In addition, CRT weakening monetary policy has increased the difficulty of government economic policy. Therefore, the objective of policy is to improve and promote the development of CRT market, rather than limit it. Based on the above findings, the possible aspects of innovation of this dissertation are followed:
Firstly, it selects a relatively new research perspective and builds a systematic and comprehensive theoretical analysis framework.
Secondly, it establishes the equilibrium model based on information asymmetry to test the effect of CRT market on financial stability.
Finally, Describe the risks of the financial system by use of Coexceedances, and build dynamic system model to analyze the impact of CDO lagged variables and trends variables on financial stability. The dynamic system model not only cover the latent macro-economic factors, but also effectively distinguish the impact of CDO lagged variables on financial stability.
引文
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①数据引自：李德,我国银行业不良资产处置现状与展望.金融与经济,2007(9)