摘要
金融业作为现代经济的核心，一旦整个金融体系出现危机，不论是对各国的实体经济还是虚拟经济都会造成巨大的影响。银行业是金融业的基础和核心，金融业的稳定与发展首先是银行业的稳健与发展。大量的理论和实证研究充分证明：在金融危机造成的严重后果中，大部分破坏是由银行危机所造成的，说明保持银行业的稳健经营是维护金融稳定的核心，其能否既保证经济增长，又有效控制金融风险是个重中之重的问题。而银行的安全与稳健经营又依赖于银行的治理，有效的银行治理是防范银行风险、促进银行稳健经营乃至金融体系稳定发展的关键。众多学者研究认为，美国次贷危机造成的严重后果主要是由商业银行治理结构的缺陷，以及由此而产生的脆弱的风险控制体系所导致的，强化商业银行的治理结构有助于规避银行风险。这进一步引发了理论界和实务届对银行治理问题与风险控制的关注。因此，在当前的国内外经济背景下，对我国商业银行的稳健性及其与宏观经济的关联性、银行董事会治理对银行稳健性的影响进行系统研究，具有非常重要的理论和现实意义。
本文基于金融稳定的理论背景和国内外学者针对银行领域的相关研究现状，对我国银行业的稳健性、银行稳健性与宏观经济运行之间的关联性，与宏观经济政策（财政政策和货币政策）之间的相互影响和冲击响应路径，以及银行治理结构对银行稳健性的影响等方面采用计量方法进行了系统深入地研究。
首先，本文在IMF（2006）颁布的《金融稳健指标》的基础上，结合我国央行提出的宏观审慎监管指标，从反映资本充足性，资产质量，盈利能力，流动性四个方面分别确定了银行的代表性指标，构建了我国银行稳健性指标体系，并利用体系中的核心指标组合成了我国银行稳健性指数BSI，以综合评价我国银行业的稳健性水平，分析结果显示：三类银行稳健性水平的总体变化趋势非常相似，在2004-2007年，BSI都处于上升态势，而到了2007-2009年BSI普遍有所下降。2010-2011年，各银行的曲线变化基本相似，BSI呈快速回升态势，甚至绝大多数都超越了前几年的高点。可见，自2004年以来银行业改革取得了显著成效，我国银行业的稳健性水平不断上升，但由于2007年美国次贷危机引发的全球性金融危机造成的严重影响，世界各国的金融机构都遭受到严重的打击甚至破产清算或被政府接管，我国虽然从表面上看没有发生金融危机，但这种影响通过实体经济等各种途径的传导波及到我国经济社会的各个层面，也给银行业带来了一定程度的冲击，稳健性水平显著下降。面对金融危机，我国政府出台了财政政策和货币政策等一系列措施刺激国内私人部门的投资和就业，促进经济平稳快速增长，经济稳步好转，作为金融中介的银行稳健性水平也逐步回升。
其次，本文对银行稳健性与宏观经济运行之间的关联性进行了研究。检验了银行稳健性与宏观经济运行（经济增长、信贷规模扩张及资本市场价格）之间的长期均衡关系和面板Granger因果关系，结果显示变量之间存在长期均衡关系，其中，银行稳健性与GDP增长率、银行稳健性与股票价格指数之间存在着单向的Granger因果关系，其他变量之间则是两两互为Granger原因。此外，通过构建PVAR模型对宏观经济运行与银行稳健性的冲击响应路径进行了分析。脉冲响应分析结果显示，经济增长率、信贷规模增长率和股票市场价格指数的冲击都对银行稳健性产生正向的影响，且基本在第一期响应程度最高，长期来看均有所下降并趋近于一个较低的水平，说明这种影响并不具有持续效应。反过来，银行稳健性在短期对经济增长产生负向的冲击，对信贷规模增长率和股票市场价格指数产生正向的冲击，但这种冲击影响没有持续性且并不显著，可见它们之间是一种非对称关系。同时，方差分解的结果显示，银行作为服务和支持实体经济发展的主要中介结构，经济增长对银行稳健性的影响较小，而经济的平稳快速增长则需要银行的稳健经营为其提供保障和支持。同时，信贷规模扩张速度和股票价格指数对银行稳健性的波动有着一定程度的影响，信贷规模的扩张有赖于银行的稳健经营。
第三，本文对银行稳健性与宏观经济政策之间的相互影响进行了研究，包括财政政策、货币政策传导工具或效果对银行稳健性的影响，以及银行稳健性在财政政策、货币政策传导过程中的反馈作用，并对其进行了脉冲响应分析。结果显示，银行稳健性在短期内会对财政政策传导工具产生正向的促进作用，但长期来看影响是负向的；宽松的财政政策对银行稳健性产生负面影响，且影响具有长期效应；面对利率的冲击，银行稳健性在最初产生了较小的负响应值，但从长期来看，利率的冲击给银行稳健性带来了正向的影响；汇率的冲击会对银行产生正向的影响，但长期影响并不显著；银行的稳健性短期内有助于货币政策的传导效果，但是长期来看，其对货币政策效果的影响很小。
第四，本文还就董事会治理对银行稳健性的影响进行了研究。Panel Data模型估计结果显示，在以M2/GDP、信贷增长率作为控制变量的情况下，董事会组织结构和董事会运作效率对银行稳健性的影响均是显著的。其中，董事会组织结构与银行的稳健性之间呈正相关关系，即董事会的独立董事制度、领导结构、专业委员会设置合理有利于提高董事会治理效率，促进银行的稳健经营；董事会运作效率与银行稳健性之间的关系是负向的，说明董事会会议次数过多，会降低董事会决策效率，降低银行的稳健性，而高管中的董事人数过多，管理层的权利集中，则不利于董事会对银行高级管理层的监督，降低董事会治理效率，影响银行的稳健性经营。通过构建PVAR模型本文对变量之间的具体冲击路径进行了刻画。结果显示，银行董事会组织结构会对银行稳健性在第一期产生较小的影响，但影响短暂，不具有持续性；银行董事会运作效率的冲击会在第一期对银行稳健性产生正向促进作用，影响相对而言具有长期性。
The financial industry is the core of modern economy, once a financial crisis happened,both real economy and virtual economy will be under huge attack.Bank industry is the basis andcore of the financial industry, the bank soundness is the premise of the financial stability. Manytheories and empirical researches fully demonstrate that in the financial crisis, the bank crisesmade the most of the destruction.So, keeping the soundness of the banks is the core ofmaintaining the stability of the financial system, whether it can both guarantee the economicgrowth, and also controll the financial risk efficiently is a top priority. The safety and soundnessof the banks depend on the banking governace, valid banking governance is the key to thedevelopment of the stability of the financial system,for preventing the risks of banks andpromoting the soundness of banks, it is very important and irreplaceable.Many researchersthought that, the serious consequences of the U.S. subprime mortgage crisisthe is mainlyattributed to the defect of the banking governance and the resulting fragile risk controlsystem,improving the governance of the banks is in favor of avoiding the risks of the banks. Thisfurther led to the attention of theory and practice session on bank governance and risk controlling.In the current domestic and international context, making a systematic research on the bankingsoundness and the impact of the Board of Directors of the Bank governance on the banksoundness has a very important theoretical and practical significance.
First,Based on financial soundness indicators system prepared by IMF and macro-prudentialindicators proposed by the people’s bank of China, this paper construct the core set of indicatorsfor China’s banking soundness indicator system, this core set of indicators include capitaladequacy, asset quality, bank earnings and profits, and liquidity four aspects of the bankrepresentative indicators, then synthesis banking soundness index BSI and use BSI to evaluatecomprehensively the stability of China’s banking system.As the result shows, the BSI of all thekinds of banks are substantially similar.From2004to2007,the BSI are on the rise,but from2007to2009,the BSI are generally declined,form2010to2011,the curve of the banks are essentiallysimilar,the BSI showed a rapid upward trend,and most of them even exceed the highest point ofthe pre-.It means that,since2004,the reform of the banking industry achieved remarkableresults,increasing the soundness level of the banking industry in China,but due to the seriousimpact of the global financial crisis triggered by the subprime mortgage crisis happened in 2007,the world financial institutions suffered to serious blow even bankruptcy liquidation or tookover by government.On the surface the financial crisis did not happen in our country,but theeffect spread to all levels of our economy society through the conduction of the real economyand others,then also to the banking industry with a certain degree of impact,as a result of theimpact,the level of the soundness of banks decreased significantly.Facing the financial crisis,theChinese government introduced a series of measures such as fiscal policy and monetary policyinstrument to stimulate the investment and employment of the domestic private sector,promotethe economy to grow steadily and rapidly.Then the economy improves,as the financialintermediaries,the level of the soundness of the banks also gradually picked up.
Second, on this basis, this paper made a research on the relevance between the soundnessof the banks and Macroeconomic performance. We tested panel Granger causality among thesoundness of banks, economic growth, the expansion of credit size and capital market prices, wefound that there is a one-way Granger causality between the index of bank soundness and theGDP growth rate, the index of the bank soundness and the stock price，but between the othervariables pairwise of them are mutually Granger cause.Afterwards, this paper measured theimpact of the macroeconomic and financial variables on the soundness of the banks throughconstructing a PVAR model. The results of the Impulse response analysis show that the shocks ofeconomic growth、the expansion of credit size and stock market price to the soundness of thebanks have a positive impact, and the responses have a higher value in the first phase basically,but in the long run，the impact decreased and then return to the steady，it means that the impactisn’t persistent. In the other hand, the soundness of the banks has a negative impact on economicgrowth and has a positive impact on the expansion of credit size and stock market price, but theimpact isn’t persistent and significant.It shows that there is an asymmetric relationship betweenthem. The results of variance decomposition shows that, as the main financial organizationserving the growth of economic, the steady and rapid growth of GDP depends on the soundnessof the banks, the economic growth has a smalll degree of impact on the soundness of thebanks.In the same time, the expansion of credit size also depends on the soundness of the banks,in turn, the expansion of credit size and the stock market price have a small impact on thesoundness of the banks.
Third, this paper made a research on the inter-impact between the soundness of the banks andmacroeconomic policy. The results of the Impulse response analysis said that, in the short term,bank soundness has a positive role in promoting the fiscal policy transmission tool--fiscaldeficit/GDP and fixed asset investment growth rate, but in the long run, the impact is negative;loose fiscal policies have a negative impact on the bank soundness, and the impact have long-term effects;facing the shock of the interest rates, bank soundness initially will produce a small negativeresponse, but in the long term, the impact is positive; the shock of the exchange rates will have ashort positive impact on the soundness of the banks,but in the long term,the impact isinsignificant;in the other hand,the bank soundness is beneficial to the results of the transmission ofmonetary policy in short-term, but in long term, it has little effect.
Fourth, this paper made a research on the impact of the Board organizational efficiency onthe banking soundness. We synthesize several variables that will reflect the characteristics of theBoard to two variables: the organizational structure of the Board and the operational efficiency ofthe Board, and take a new way to portray the governance efficiency of the Board; and takeM2/GDP, credit growth rate as control variables to build Panel Data model and estimate it. Theresults show that the organizational structure and operational efficiency of the Board have asignificant impact on the stability of the banks. Among them, there is a positive correlationbetween the organizational structure of the Board and the stability of banks, it can be seen that,independent director system, leadership structure, the reasonable set of professional committeehelp to improve the efficiency of Board Governance, promote the sound operation of the bank; therelationship between the operational efficiency of the Board and bank soundness is negative, theexcessive number of board meetings will reduce the efficiency of board decisions, and reduce thestability of banks, but too many executives in the board, concentration of the management's right,is not conducive to supervision of the senior management to the board of directors of banks, willreduce the efficiency of board governance, affect the stability of the banks. In the same time, byimpulse response analysis and variance decomposition, we found that the organizational structureof the Board has a smaller positive role in promoting the soundness of the banks in the first phase,but the effect does not have long-term; operational efficiency changes of the Board will produce apositive role in promoting the soundness of the banks in the first phase, the effect is relativelylong-term.
引文
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