摘要
20世纪70年初至今,伴随着发达国家以及部分新兴市场国家／地区所经历的一系列金融危机,有众多国内以及国外的学者开始着手进行大量的理论研究。但由于各个时期造成危机的原因不尽相同,对金融危机成因的理论分析随着时代的变迁逐步演变,经历了三个不同的阶段。其中第一阶段的危机模型大多用来解释1960年代和1970年代的拉美危机。第二阶段的模型旨在解释1992年欧洲危机、1994年墨西哥比索危机(所谓的龙舌兰酒效应)。第三阶段的模型旨在解释1994年的墨西哥比索危机和1997年产生自东南亚并蔓延至整个亚洲的金融危机。丰富的理论模型都可以很好的解释和分析各个时期的货币危机。但2007年美国爆发的次贷危机并蔓延至全球,不仅引发了严重的世界经济衰退——该衰退是从1929年经济大萧条以来最严重的一次,也迫使经济学界和各国政府管理当局开始重新审视和反思传统的货币政策理论和金融监管机制,并达成共识：通过构建并实施一个有效的宏观审慎监管框架,可以有效地规避系统性风险,维护金融稳定。
基于金融风险转变为金融危机的突发性和破坏性,对金融风险的防范时,其重点首先是需要从内部建立一个有效的风险防范机制,及时地发现风险隐患并坚决地加以消除,而不是后拖、掩盖和累积风险隐患。从而在降低本国发生金融危机的同时,防止受到国际金融风险的冲击。国家发展与改革委员会于2012年3月18日发布的《关于2012年深化经济体制改革重点工作的意见》中提出,金融体制改革的关键点是：应加快构建并完善宏观审慎政策框架,研究建立防范系统性金融风险的预警和评估体系,形成有效的危机处理机制。因此,建立适当的风险预警体系成为首先需研究的重点内容。目前大量的实证研究也试图使用参数和非参数等数据方法,来识别基于理论基础的指标和危机之间的关联性,并建立风险的预警模型。但实证文献中建立的具有“普适性”的模型也仅能解释当前危机,却无法有效验证下次危机。所以,大多数模型在样本外‘的检验效果也差强人意。因此,为了有效地监督和防范金融危机的发生,首先需要研究为什么传统预警模型的绩效总是差强人意?是否有更好的研究方法能够对其加以系统的研究?等等。如果能够解决上述一系列问题,不但可以对当前指标体系研究的混战提供一个解决思路,同时也更有利于实务界在金融风险预警方面的便捷应用,从而有助于进一步提高金融风险预警理论和指标体系的可扩展性、应用性,对于我国金融风险预警系统的建立也能够带来较为重要的理论意义和现实指导性。
而且,当政策当局准确地识别出形成金融风险的原因和类别后,中央银行和银行监管部门便需采取有力的政策措施去提前纠正,对症下药。但此次以美国为首的发达国家爆发的全球金融危机也使人们开始对传统的货币政策工具和监管理论方法进行了反思。随着金融机构和市场的不断发展,对传统的货币政策理论和银行监管理论提出了挑战。在监管方面,传统的银行监管仅关注单家机构,认为只要确保单家机构的审慎经营,就能防止系统性风险的发生,在很大程度上忽视了宏观经济周期,并且无力应对总体的信贷波动。对银行进行有效监管的基本框架和指导性文件,分别是巴塞尔委员会于1988年、2001年颁布的《巴塞尔协议》和《新巴塞尔资本协议》。但从此次全球金融危机来看,即使是改进后的《新巴塞尔协议》,也没有从根本上解决全球金融体系的安全与稳定问题,反而加剧了金融市场的顺周期性和波动性。而且,微观个体理性往往会导致整体的非理性,出现金融稳定中的“囚徒困境”,形成所谓的“合成谬误”。这表明,传统以控制通胀为目标范围的货币政策与微观监管机制所形成了宏观监管框架,并不能有效防范系统性风险和金融危机。因此,如何建立逆周期的宏观审慎管理工具成为下一步需重点研究的问题。2013年两会政府工作报告中强调：需要重视宏观审慎政策框架的建立和完善,同时充分发掘货币政策逆周期调节的功能。此外,还应当完善货币政策传导机制,进一步协调货币政策与金融监管的关系,不断优化监管标准和监管方式。因而如何选择适合我国金融体系的逆周期宏观审慎监管工具和政策,同时形成监管政策与其它金融财政政策的良好协调机制,成为当前我国金融当局亟待解决的重大现实问题,也成为学术研究的前沿课题。
但从国际实践来看,目前全球范围内关于宏观审慎监管的研究尚处于探索阶段,一些重要的议题,如宏观审慎监管的基本框架如何构建、实施工具如何开发、货币政策与宏观审慎监管如何协调等,都处于开放式的讨论过程中。毫无疑问,只有从理论上率先对上述问题进行澄清才能为宏观审慎监管的实施开辟实践道路。因此,本文将基于上述逻辑框架,对宏观审慎监管的实践路径进行一个全面系统的分析,这有助于加深我们对宏观审慎监管内在机理和实践路径的认识。本文将从以下四个方面对进行探讨：
(一)进行宏观审慎分析,开发金融体系的早期预警指标体系,并分析、监测及评估金融体系稳健性,对宏观经济周期的趋势性和金融体系的风险状况做出判断。首次运用最新的BCT分析方法对新兴市场国家过去40年期间发生的货币危机进行了详细的分析,建立了针对不同类型危机的具有前瞻性的风险预警指标体系。得出一些非常有意义结论：(1)新兴市场国家爆发的货币危机属于不同的类型,可将其划分为：政策失衡类危机、金融过度类危机、外部债务和突然停止类危机；这也有力地解释了为什么大部分实证文献中建立的具有“普适性”的模型仅能解释当前的危机,但却无法有效验证下次危机。(2)货币危机是由多种脆弱性因素共同引发的,并且各类危机的预警指标组合及阈值不尽相同,因此,我们不应该采用一刀切的预警指标体系,该结论对我国也具有重要的实践意义；(3)第一类危机以货币贬值为代表,第二类及第三类危机呈现出以货币升值为代表,且均与信贷扩张相关,表明这些危机的起源非常相似,同时也表明实际货币升值和国内信贷扩张是能够有效预测金融危机的最重要指标；(4)当资本市场呈现过度杠杆化时,易引发货币危机；(5)外部债务和突然停止类危机占总样本的21.69%,排名第二,说明此类危机具有很高的普遍性,应重点关注。(6)本文也给出了识别各类危机的关键预警指标及阈值组合。
(二)运用建立的预警模型,识别出我国现阶段潜在的系统性风险。该章运用BCT模型对中国1994-2011年数据进行实证分析后发现：当前我国发生货币危机的概率较低,但仍应重点防范发生“信贷”危机,也为后续采取有针对性的货币政策及逆周期宏观审慎管工具提供了方向。
(三)面对资产价格泡沫,研究现行的货币政策框架是否能有效加以应对,是否应该对货币政策框架进行调整?该章主要分为两个研究,分别从货币政策的数量调控和价格调控两个方面进行分析。在数量调控方面,主要分析存款准备金工具是否具有逆周期特征；在价格调控方面,主要研究货币政策利率调控与金融稳定之间的关系,重点探讨一种新的货币政策传导机制——货币政策的风险承担渠道。研究一：存款准备金率与信贷总额之间存在负向协整关系,法定存款准备金具有逆周期特征。央行频繁提高存款准备金率工具,产生了较好的逆周期效果。研究二：运用动态面板实证分析后发现：(1)银行间短期拆借利率与银行风险承担之间呈显著地正相关。表明短期利率的下降对银行贷款组合的质量及金融稳定有正面影响,即当利率降低时,银行风险承担行为减少。(2)货币政策立场与银行风险承担呈显著地负相关。表明当短期利率低于基准水平时,银行将增加他们的风险行为。即相对低水平的利率可能导致银行减少风险感知或者增加风险容忍度,也证实了货币政策传导渠道中风险承担渠道。(3)银行风险承担行为也受市场结构、资本资产比、银行规模的影响,且呈现负相关,但与GDP增长率呈正相关。具体表现在,当银行业集中度增加或竞争减少时,银行贷款风险下降；当资本资产比及规模越大时,银行承担的风险也越低,贷款组合的质量越好。上述结果也具有重要的实践意义。首先,银行并非是被动的风险中性角色,央行制定货币政策时,应考虑到银行业的条件。因为从金融稳定的角度来看,货币政策并不是中性的,所以,货币政策能够减轻或至少抵消一些金融不稳定性对实体经济活动的负面影响。而风险承担渠道的潜在影响也意味着长期的宏观经济政策展望应该包括产出增长、投资和信贷。其次,银行的具体特征(如资本水平和规模)在银行的贷款和风险承担行为中扮演重要角色,应对这些特征进行更有效监管,而有效的监管是保证银行实施审慎行为的重要因素。第三,在持续的低利率时期,尤其是如果还伴随着其它风险承担的信号,比如快速的信贷扩张和资产价格上涨时,银行监管部门更应该加强警觉,采取更有效的监管政策来限制银行的风险承担行为。
(四)研究制定宏观审慎政策。通过宏观审慎管理工具与调整后的货币政策一起共同应对金融失衡,最终实现防范和化解系统性风险,促进经济可持续增长的目标。该章主要分为三个研究,首先对国际上常用的宏观审慎管理工具的有效性进行系统性分析,并对工具进行具体的细分以处理特定类型的系统性风险,避免对所有工具采取一刀切的方法,提高工具的有效性。然后,深入剖析我国在应对信贷波动过程中所采用的政策工具,并对其调控的效果进行系统地分析；最后,针对巴塞尔协议三中最新提出的逆周期资本缓冲机制进行重点研究。经过上述系统性分析,研究一：为有效应对信贷繁荣危机,将常用的宏观审慎工具分为以下四类,分别为资本要求、流动性要求、资产集中和信贷增长限制及与贷款资格标准相关的变量。研究发现,能有效减缓信贷顺周期的宏观审慎工具有：贷款价值比率(LTV)、债务收入比(DTI)、信贷增长上限、准备金需求和动态拨备提取规则。研究二：(1)存款准备金率的调整对信贷增长率的调控效果非常显著,具有明显的逆周期特征,这与第5章的研究一结论相同；(2)存贷款基准利率对房屋价格指数的调控比较显著,这也表明其紧缩信号的作用非常明显,与第5章的研究二结论相同。(3)恰当的货币政策、准备金率手段及宏观审慎政策的组合使用可以达到稳定经济的目标,政策的连续性对抑制房屋价格上涨具有显著地作用。(4)不同时期房价上涨的驱动因素有所不同。其中2009年后房价上涨的主要驱动原因是由过度信贷所导致,这与第3章分析的结果相一致。(5)我国在进行逆周期的调整过程中,调控的总体方向是非常正确的,采取的管理工具都非常有针对性。展望2013年,国家应继续坚持调控不放松,不断深化调控的行政及经济手段,重点是结构性的信贷政策,确保政策的连续性及执行力。研究三：巴塞尔委员会(BCBS)建议采用Credit/GDP缺口作为锚定变量,并认为其是用来识别信贷扩张状态的最佳指标；但结合BCT模型的分析结果及我国数据实证研究后表明,信贷/GDP不太适合作为我国逆周期资本缓冲比率提取的锚定变量,本文建议采用信贷/M2缺口的季度数据来作为锚定变量。
Since the late1970s, with a series of financial crisis in the developed countries and emerging market countries and regions, domestic and foreign scholars had researched a large amount of theory. But due to the different causes of the crisis in the different historical periods, the theoretical analysis of the causes of the financial crisis had evolved with The Times change, and the causes also can be roughly divided into three generations. The first generation of the crisis models were used to explain the crisis of Latin America in the1960s and1970s. The second generation was used to explain the crisis of the European exchange rate mechanism in1992, the Mexican peso crisis of1994. The third generation was used to explain the Mexican crisis of1994and the Asian financial crisis in1997.Plenty theoretical models can explain and analyze the various periods of currency crisis very well. But in2007, the subprime mortgage crisis has spread around the world, and not only lead to the most severe economic recession after the economic depression of1929, but also sparked the economists and governments rethinking and reviewing deep. It's indispensable to establish a effective macro-prudential financial supervision framework, and to overcome the pro-cyclicality of financial supervision at the same time. It will effective reduce the system risk and maintain the financial stability.
It's sudden and destructive that financial risk changed into the financial crisis. To prevent the financial risk, firstly, the key point is to build an effective risk prevention mechanism from within. And timely found the potential risks and resolutely eliminated them, rather than delay or cover up the risk to cumulate the hidden danger. It can reduce the nation's financial crisis, and prevent the impact of international financial risk at the same time. On March18,2012, the National Development and Reform Commission (NDRC) issued "The key work opinion about deepening the reform of economic system in2012", to decide that,"to accelerate the establishment and improvement of macro-prudential policy framework, and to research the method to set up the systemic system of preventing and early warning and assessing the financial risk, and the mechanism of disposing of the financial risk" as the important content to reform the financial system. Because of this, it's the key content of research, which have to research firstly, to established the appropriate risk early warning system. At present, a lot of empirical studies have tried to identify the correlation between indicators based on the theoretical basis and the crisis, and to establish the risk early warning model, by using the data such as parameterized and nonparametric methods. But in the empirical literature, it's ineffective to verify the next crisis by using the established "universality" model, with the except of explaining the current crisis. So most of the models also was poor in the result of the other sample test. Therefore, in order to effectively monitor and prevent the financial crisis, it's primary to research the reason of why the performance of the traditional early warning model was barely satisfactory, and whether there were better methods to research the system, and so on. If it's possible to solve the above problems, we can not only provide a solution to deal with the melee of the index system research in the current, but also provide a more convenient application to the practice authorities in the early warning of financial risk, which helps to improve the scalability and application of early warning theory and the index system of the financial risk. And it also has important theoretical and realistic significance for the establishment of the financial risk early warning system in our country.
When policy authorities, meanwhile, accurately identifyed the category and the reason of forming financial risks, the central bank and banking regulators would need to take effective measures to correct in advance. But in this time, the global financial crisis that outbreaked in the developed countries, led by the United States, made us to rethink the traditional monetary policy tools and the regulatory theory methods. With the continuous development of financial institutions and markets, the traditional theory of monetary policy and bank supervision theory face to the challenge. In regulation, the traditional banking supervision methods only focus on the single agencies, and think it was enough to prevent the occurrence of systemic risk by ensuring that the single institutions of prudent operation. They largely ignored the macroeconomic cycle, and unable to cope with the overall credit wave. The Basel committee in1988and2001respectively promulgated the "Basel agreement" and "the new Basel capital accord", They were the basic framework and guidance documents of effective regulation on banks. But by analyzing the recent the global financial crisis, which triggered by the subprime mortgage crisis in U.S, we found even the improvement of the Basel agreement also have done nothing on fundamentally solving the problem of the security and stability of the global financial system. On the contrary, it adds the pro-cyclicality and volatility in the financial markets. And microcosmic individual rationality can make the overall irrationality, it will lead to the "prisoner's dilemma" in the financial stability, which formed the so-called "combining fallacy". This suggests that the monetary policy in order to control inflation as the target in the past, and the macro-prudential financial supervision framework which was formed by the micro-prudential financial supervision, does not effectively prevent systemic risk and the financial crisis. Therefore, it's the key problem on the further study that how to establish the counter-cyclical macro-prudential financial supervision tools. NPC and CPPCC in2013government work report emphasized,"macro-prudential policy framework should be improve and play a role of counter-cyclical monetary policy regulation, improving the monetary policy transmission mechanism and strengthening financial supervision and coordination of monetary policy, and optimizing the regulatory standards and regulation methods." So how to choose the counter-cyclical macro-prudential regulation tools and policy to suit our nation's finance system, and form the well coordination mechanism between the financial regulatory policy and the other fiscal policy at the same time, has become the major realistic problem urgently to be solved in China's financial authorities and the forefront of academic research project.
But by analyzing the international practice, at present the global study of macro-prudential regulation is still at the exploration stage. Some important issues, such as how to construct the basic framework of macro-prudential regulation, how to develop the implementation tools, how to coordinate the monetary policy and the macro-prudential supervision, etc., were in a process of open discussion. There was no doubt that only clarify these problems theoretically firstly pave a way for the implementation of the macro-prudential regulation practice. Therefore, based on the above logic framework, this paper will totally analysis the practical path of macro-prudential regulation, to deepen the comprehension of the inner mechanism of macro-prudential regulation and the path of practice. There were three aspects of content in this paper to establish and analyze the macro-prudential financial supervision framework.
Firstly, macro-prudential analysis have to establish a financial system robustness analysis and evaluation system, to develop the financial system of early warning index system, to judge the trend of macro-economic cycle and the financial system's risk. This paper studies the currency crisis and discovery the conclusion that:(1) Currency crisis were belong to different types, which was divided into three categories:policy unbalance crisis, financial excessive crisis, external debt and suddenly stop crisis.(2) Crisis was caused by a variety of vulnerability factors.(3) The origin of the crisis is very similar, and currency appreciation and domestic credit expansion were the most important predictor.(4) The excessive leveraged capital market easily lead to crisis.(5) The third crisis to total sample was21.69%, We should pay more attention to this universality crisis;(6)This paper also identify key indicators and threshold combination of "bad" factors.
Secondly, macro-prudential policy research have had to support the policies and measures corresponding with the potential systemic risk which identified by the macro-prudential analysis. Base On China's1994-2011data and BCT model, we carried on real diagnosis analysis and found that the probability of currency crisis is low, but we should still focus on " financial excesses crisis". This result also provided the direction of niche targeting Counter-cyclical macro-prudential management tools.
Thirdly, This chapter was divided into two main research, separately analyzed from the quantity-based regulation and price-based regulation of monetary policy. In terms of quantity-based regulation, the main analysis was whether the reserve against deposit have counter-cyclical characteristics. In terms of price-based regulation, mainly studies was the relationship between the monetary policy interest rate regulation and financial stability, and have discussed a new kind of monetary policy transmission mechanism, the risk-taking channel. In the first study, We found the cointegration relationship between the reserve against deposit ratio and total credit, and the reverse cycle characteristics of legal reserve against deposit. Central bank had raised the reserve against deposit ratio frequently, produced a positive reverse cycle effect. In the second study,(1) We find evidence that low levels of interest rates have a positive impact on banks'risk-taking behavior. Decrease in short term interest rates has a positive impact on the loan portfolio quality and thereby, financial soundness of banks.(2) This result implies that when short-term interest rates were below a benchmark level, banks increase their risk-taking. Relatively low levels of interest rates cause either a decrease in risk perception or an increase in risk tolerance. This result gives evidence of a change in risk perception or risk tolerance and accordingly, it confirms the impact of the risk-taking channel of monetary policy transmission channel.(3) Bank risk-taking behavior was negative influenced by the market structure, the capital asset ratio, and the bank size, but positively correlated with GDP growth. When banking concentration increased or competition reduced, the loan risk of banks was less. The larger the capital asset ratio and capital size was, the lower the risk the banks take, and the better the loan portfolio quality was. Our findings also have several practice significance. First of all, the banks was not risk-neutral. When setting monetary policy, central bank should think about the banking conditions. As judging financial stability, the monetary policy was non-neutral. So, monetary policy was able to mitigate some negative influence of financial instabilities on the real economic activity. The potential effect of risk-taking channel also have implied that long-term macroeconomic policy outlook should include output growth, investment and credit. Secondly, the bank specific characteristics, such as capitalization and liquidity, have play a key role in banks'lending and risk-taking behavior. Therefore, it's an important factor of efficient regulation and supervision in providing prudent bank behavior. Thirdly, In a continuous period of low interest rates, especially if accompanied with other risk-taking signals, such as rapid expansion of credit and asset prices, banking supervisors should their vigilance and take more effective regulatory policy to limit risk-taking behavior of Banks.
The forth was research the macro-prudential policy, and designed the macro-prudential management tool by the perspective of macro-prudential regulation. This chapter was mainly divided into three research. First of all, it have systematic analyzed the effectiveness of macro-prudential management tools, which was used international commonly. It have divided tools to handle specific types of systemic risk, avoiding a unified approach to all tools and improving the effectiveness of the tool. Then, it have a further analysis of the policy tools that adopted in the process of our country dealing with the fluctuation of credit, and have a systematic analysis on its control effect. Finally, it researched the Counter-cyclical capital buffer mechanism in the Basel3. In the first study, to effectively cope with crisis of credit boom, we have divided the popular macro-prudential tools into the following four categories. They were capital requirements, liquidity requirements, assets and credit growth limitation, and the variables associated with loan eligibility criteria. We found that tools can effectively slow down the credit pro-cyclical macro-prudential were loan to value ratio (LTV), debt-to-income ratio (DTI), the upper limit of credit growth, reserve requirements and dynamic provisioning extraction rules. In the second study, we found that (1) the adjustment of reserve against deposit ratio was significantly influence the regulation effect of credit growth. And the influence has obvious counter-cyclical features. This result was the same as chapter5study1.(2) the benchmark deposit and lending interest rates was significantly influence the control of the housing price index, and it also showed that the effect of tightening signal was very obvious, the same with the result of chapter5study2.(3) It was the combination of the proper means of monetary policy, the reserve against deposit ratio and macro-prudential policy that could stabilize economy, the continuity of policies have significantly effect to curb housing prices.(4) There were different factors that driving house prices rose. The main factor that driving house prices rose after2009was the excessive credit, which was consistent with chapter3.(5) During the adjustment process of counter-cyclical, the overall direction was very correct, and the management tools were targeted. Looking ahead to2013, the country should continue to adhere to the regulation, and deepen the adjustment of administrative and economic means. The focus was the structured credit policy, to ensure the continuity of policy and implementation. In the third study, The Basel committee (BCBS) have recommended the Credit/GDP gap as anchor variables and have argued that it was the best indicators of Credit expansion. Combined with the analytical results of BCT model and the data of our country's empirical study, we found that the credit/GDP was not a suitable anchor variable of countercyclical capital buffer ratio. This paper suggests using the quarterly data of the credit/M2gap as the anchor variable.
引文
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