银行资本约束对系统性风险传递的影响 - 基于DSGE模型的研究

The impact of bank capital constraints on system risk transfer -- Based on DSGE model

摘要:(摘要内容经过系统自动伪原创处理以避免复制,下载原文正常,内容请直接查看目录。)

2008年全球性次贷危机迸发,使得全球经济遭遇了史无前例的灾害,至今照样在向经济苏醒的过程中回旋。经济金融的稳固成绩也是以而获得了史无前例地普遍存眷,随之成为二十国团体(G20)引导人峰会的重要议题(BIS,2009;G20,2009.2010;FSB,2009).但是作为金融危机迸发的潜伏的体系性金融风险,不只仅是能够对全部金融体系带来相似多米诺骨牌效应,还能够会发生溢出从而涉及至全部经济体,日益成为世界列国当局、世界金融组织和学术界存眷金融稳固成绩时的重中之重。一来,对单个金融机构的监视治理本钱症结看它能否会惹起非正的体系内部性,是以微不雅谨慎的监视治理方法特别主要;二来,很多研讨者对金融监管的商量发觉到,当今银行监管显著少了针对内生体系性风险的监管束度,从而进一步强调要重视体系全体的稳固性成绩,也就是微观谨慎的监管准绳(Morris and Shin,2008;Acharya et al.,2010;Adrian and Brunnermeier,2011).从而,应当如何扶植一个有用的可以或许预防体系性风险迸发的谨慎监视治理轨制,这是全球列国金融体系改革的核心成绩。作为应对办法,银行监管国际尺度的制订者巴塞尔委员会于在2010年九9月公布了强化银行本钱监管请求的巴塞尔协定Ⅲ:起首是进步了银行焦点一级本钱充分率的请求,同时计提必定比例的反周期缓冲本钱及反周期预备本钱;其次是关于体系主要性银行再增长1%的从属本钱请求。国际方面的情形是,中国国民银行央行行长周小川在2012年5月16日在国际世界证监会组织第37届年会上表现,果断要守住不产生体系性金融风险的底线。2012年12月16日召开的中心经济任务会议更是强调我们要高度看重如今财务范畴、经济金融范畴隐含的各类风险,必定要果断守住区域性和体系性金融风险产生的能够的底线。可见,体系性金融风险现在已获得国际政策制订部分的高度存眷。理论经历中,我国相干监管部分也是很快跟随最新本钱协定巴塞尔协定Ⅲ,而且从2013年1月1日起开端正式实行中国版的巴塞尔协定Ⅲ。恰是在如许的配景下,本文以本钱束缚对体系性风险传递的影响为主体,从以下方面做了研讨剖析:作为全部研讨的基本,在导论部门起首说明了本研讨的实际配景,进而明白了本研讨的实际意义和理论意义,并对本研讨的思绪及研讨方法办法做了解释。本文的研讨是站在伟人的肩膀长进行的。第二个部门引见本文研讨的实际基本,则是对后人的研讨结果做了综合阐述。重要包含,对本钱监管的描写,对体系性金融风险的界说等成绩的研讨,对巴塞尔协定三的内容的引见,和就我国对DSGE模子的研讨状态及其运用的归结总结。本文的研讨是容身于我国的银行业本钱监管近况的。所以接上去从三个方面重点归结剖析了我国的根本情形。分离是从我国贸易银行本钱监管束度变迁、新本钱协定在我国的实行情形和我国银行业本钱监管面对的实际成绩。这三方面的论述有助于认清我国的根本情势,关于前面的研讨有导向感化。文章的研讨重点是本钱束缚对体系性风险传递机制的影响。本文经由过程树立一个包括家庭、企业和银行在内的三部分新凯恩斯静态随机普通平衡模子,剖析了技巧冲击对微观经济的影响机制,偏重点评论辩论了在分歧本钱充分率请求下,技巧冲击对经济影响的变更情形。研讨注解,进步本钱充分率请求,有助于金融系统(银行等)接收技巧冲击对微观经济的影响,可以或许有用克制经济动摇,在金融系统及经济系统中,较高的本钱充分率起到了平安垫的感化,有助于防备体系性风险的传递。

Abstract:

In 2008 the global subprime crisis erupted, the global economy suffered a disaster so far still There was no parallel in history., in the process of economic recovery in the cyclotron. Financial and economic stable performance is to obtain the unprecedented widespread concern and subsequently become the group of 20 nations guide on the agenda at the summit (BIS, 2009; G202009.2010; the FSB, 2009). But as the financial crisis burst out of the latent financial system risk. Not only is of all financial system have a similar domino effect, also may overflow which relates to all economies, increasingly become authorities of the nations in the world, world financial organizations and academic circles deposit a top priority attention to financial stability results. As a result, the cost of monitoring management crux of individual financial institutions to see if it would cause the non positive internal system, is based on the micro prudent governance monitoring method is particularly important; secondly, a lot of research on financial supervision to discuss that, in today's banking supervision significantly less needle on the endogenous risk supervision system beam degree, thus further emphasized the importance of performance stability of the system of all, it is the micro prudential regulation criterion (Morris and Shin Acharya et, 2008; al., 2010; Adrian and Brunnermeier, 2011). Thus, how to build a useful risk prevention system may burst monitoring management system carefully this is the core, the reform of the global financial system and performance. As a way to deal with that of international banking supervision scale formulation of Basel Committee on 9 September 2010 announced to strengthen bank capital regulatory requirements of Basel III: chapeau is the progress of the focus of bank capital sufficient rate request, while the provision must be the proportion of anti cycle buffer cost and anti pre cycle cost; the second is about system mainly banks increase 1% of the subordinate capital requirements. The international situation is that national bank Chinese central bank governor Zhou Xiaochuan in May 16, 2012 in the international World Commission organized the thirty-seventh annual meeting, determined to hold no systemic financial risks. Is 2012 December 16 meeting of the central economic work conference stressed the need for a highly valued today financial category and economic category of financial hidden risks must decisively to hold regional and systemic financial risk produced to the bottom line. Therefore, the system of financial risk has now obtained high attention is part of the international policy. The theory of experience, China's regulators also soon coherent follow the new capital agreement of Basel III agreement, and beginning from January 1, 2013 the formal implementation of the Basel agreement China version III. Is precisely under such background, this paper to cost bound to affect the risk transfer system as the main body, from the following aspects do research analysis: as the research basic, above all in the introduction part illustrates the of the study the actual background, then clearly the actual meaning and theory meaning of this research, and explains the research thoughts and research methods of the. This research is standing on the shoulders of giants of the. This paper introduces second basic practical research department, is the research on future generations of a comprehensive set of results. Important contain, description of the supervision cost, study on the performance of system of financial risk definition and so, introduction of the Basel III agreement content, and summed up our country the DSGE model research state and application of summary. This research is based on the status of banking capital supervision in our country. So pick up from three aspects summed up the basic situation of our country. The separation is from our country commercial bank capital regulatory system changes, the new capital accord in our country actual situation and achievements of China's banking industry in the face of the capital supervision. The fundamental situation these three aspects is helpful to recognize our country, on the front of the guiding role. The research focuses on the impact of capital constraint on system risk transfer mechanism. This paper through the process to establish a family, enterprises and banks, including three parts new Keynesian dynamic stochastic general equilibrium model, analysis skills impact on microeconomic effect mechanism, partial review focuses on the debate in different capital sufficient rate request, skill shocks on the economic impact of the changes. Research notes, progress cost full rate request, can receive skill shocks to the financial system (bank) on micro economic effects, may be useful in restraint of economic fluctuation, in the financial system and economy system, higher costs fully rate to the action of safe pad, help prevent system risk transfer.

目录:

摘要4-6
Abstract6-8
目录9-11
1. 导论11-16
    1.1 研究的重要意义11-14
    1.2 研究的主要问题14-15
        1.2.1 资本要求与系统性风险的关系14
        1.2.2 纳入不同资本充足率的微观金融中介的动态一般均衡模型14-15
    1.3 研究思路与方法15-16
2. 研究的理论基础:文献综述及评价16-25
    2.1 资本监管与银行风险16-18
    2.2 系统性金融风险传递18-19
    2.3 巴塞尔协议Ⅲ的监管效应19-20
    2.4 DSGE模型在国内研究中的应用20-23
        2.4.1 经济波动研究20-21
        2.4.2 宏观经济政策分析21-23
    2.5 对国内外研究现状的评述23-25
3. 我国银行资本监管与金融风险:现状描述与影响机制25-47
    3.1 我国商业银行资本监管的制度变迁25-34
        3.1.1 银行体制商业化转型初期的资本监管:以推进国有银行商业化转型为主要目标25-28
        3.1.2 市场化银行体制形成时期的资本监管:以増强银行体系资本实力和创造公平的市场环境为目标28-32
        3.1.3 银行体系日益国际化时期的资本监管:以提升商业银行风险管理能力和国际竞争力为目标32-34
    3.2 新资本协议在我国的实施及对银行业的影响34-42
        3.2.1 中国银行业实施新资本协议的进展34-36
        3.2.2 巴塞尔协议Ⅲ36-37
        3.2.3 中国银行业实施巴塞尔协议Ⅲ面临的挑战37-42
    3.3 银行系统性风险传染机制42-47
        3.3.1 银行系统性风险传染的现象42-46
        3.3.2 银行系统性风险传染渠道的分析46-47
4. 资本约束与系统性金融风险传递:一个DSGE模型47-56
    4.1 基本假定与前提47
    4.2 一个三部门的DSGE模型47-50
        4.2.1 家庭的效用最大化行为47-49
        4.2.2 厂商的利润最大化行为49-50
        4.2.3 商业银行的利润最大化行为50
    4.3 模型求解50-54
        4.3.1 家庭部门的最优化50-52
        4.3.2 厂商部门的最优化52
        4.3.3 稳态条件52-53
        4.3.4 参数校准53-54
    4.4 模拟结果分析54-56
5. 结论与建议56-58
参考文献58-62
致谢62-63