【作者】 李鹏；

【导师】 杜亚斌；

【作者基本信息】 南京大学 ， 应用经济学， 2016， 博士

【摘要】 近年来,我国影子银行活动日益活跃,形成了独特的业务模式,一定程度上缓解了我国经济运行中存在的融资难困局,但其生成的系统性风险对我国金融稳定的威胁也越来越大。金融稳定是我国经济健康发展的基础,而维护金融稳定的关键在于有效遏制系统性风险的生成。本文将研究对象聚焦到我国特有的影子银行活动及其引发的金融稳定等问题上,从厘清我国影子银行业务运行模式和特征出发,分析其中存在的各类风险,并从时空维度剖析系统性风险生成的机理和对金融稳定的影响途径,最后在分析影子银行对我国金融监管带来的挑战基础上,提出增强金融监管有效性和完善金融稳定管理的政策建议。按照是否持有金融牌照,本文将我国影子银行划分为传统金融体系内影子银行和传统体系外的影子银行两大类。前者包括银行表外理财、融资类信托、委托贷款、同业业务和资产证券化,而后者主要包括小额贷款、融资性担保、P2P网络借贷等。当前,我国影子银行业务已形成典型的中国特色。总体上,我国影子银行产品相对简单,业务活动以银行为主导,主要发挥着“类银行”的金融中介职能。与美国不同,我国影子银行不是金融自由化的结果而是金融抑制的产物。我国影子银行业务中存在信用风险、流动性风险、市场风险和操作风险等风险,同时,这些风险通过金融机构、金融市场、金融基础设施、资产价格等渠道传导,并且借助抵押品担保链、关联性和市场波动性等直接传染机制,以及信息不对称、市场竞争和心理行为等间接传染机制,进行交叉传染和扩散,并最终生成系统性风险。为得到更加直观的分析结果,本文基于信托公司和银行业的数据,使用基于生物种群理论的元胞自动机模型,编制Matlab程序对我国影子银行的风险传染和扩散过程进行了计算机模拟仿真分析。此外,我国影子银行业务活动存在明显的顺周期性。该特征在2008年至2014年间体现地较为明显,而且委托贷款的顺周期性更为突出。我国影子银行顺周期性对金融稳定的影响主要通过资产价格螺旋和流动性螺旋生成的系统性风险来实现。为进一步分析影子银行顺周期性对金融稳定的影响,本文在使用混频向量自回归模型(MFVAR)构建出我国金融稳定状况指数(FSCI)的基础上,采用时变向量自回归模型(TVP-VAR)对两者之间的关系进行实证分析。研究发现,在2010年之前,短期内影子银行导致金融不稳定,然而,在长期内影子银行却增强了金融稳定,但是在2010年之后结论则完全相反。我国影子银行生成的系统性风险给金融监管带来严峻挑战。这主要体现在可能弱化微观审慎监管的有效性,并凸显宏观审慎监管的必要性,且最终倒逼我国金融监管框架进行调整。然而,任何事物影响都有两面性。我国影子银行的发展打破了现有金融业经营的格局,加速了利率市场化步伐,增加了金融资产供给,弥补了传统银行信贷业务的缺口,为中小企业融资提供了新选择。这在一定程度上对金融稳定甚至起到了积极作用。但是,政府对影子银行造成的负面影响决不能轻视,必须对我国金融监管体制进行改革和调整,同时完善我国金融稳定的管理框架,以增强我国金融体系稳定性。对于微观审慎监管,一是从机构监管渐进转向功能监管。在短期内建立合作性监管机制,中长期内对相关法律法规进行修订,建立统一的金融监管机构,实现功能性监管;二是建立资本充足性区间管理的弹性机制,引入预先承诺制的监管思想,增强资本充足性管理的弹性;三是重点加强商业银行的影子银行业务的微观审慎监管。对于宏观审慎监管,应完善宏观审慎监管工具体系,强化微观审慎监管和宏观审慎监管之间的协调,注重经济政策与宏观审慎管理工具相配合。此外,在提高金融宏微观审慎管理有效性基础上,政府还应不断完善我国金融稳定的管理框架。一是加强金融稳定的监测与预警;二是适时在中央层面设立专门的金融监管与稳定委员会,对不同监管机构进行统一协调;三是重视使用央行的金融稳定沟通工具,减少信息不对称;四是以存款保险为突破口,继续完善我国金融安全网。更多还原

【Abstract】 In recent years,shadow banking activities in China have become increasingly active and formed unique business models which could improve condition of the financing problem of the enterprises whereas could cause systemic risk at the same time.Furthermore,shadow banking is becoming a bigger threat to whole financial stability of the country.Financial stability is one of the foundations in the healthy development of the national economy,and in so effectively curbing the formation of systemic risks are the keys to maintain financial stability.Therefore,this thesis attempts to focus on the uniqueness of the shadow banking business model in China and its systemic risks and procyclicality that could cause financial instability.Firstly,this work specifies the operation model and its risks in the financial activities related to shadow banking in China.Thereafter,the mechanism of systemic risk will be analyzed.Lastly the micro and macro prudential regulation of shadow banking will be studied in order to put forward policy suggestions that would enhance financial stability.Depending on whoever holds a financial license,shadow banking in China is divided into shadow banking within the financial system and outside of it.The former mainly includes off-balance-sheet financing businesses,trust businesses,entrusted loans,and interbank financing and asset securitization,while the latter mainly include small loans,financing guarantees,and P2P lending.Currently,the shadow banking business led by banks have formed a banking system of Chinese characteristics.In general,the products of China’s shadow banking are relatively simple,led by banks and play similar role of banks.However,unlike the American banking system,shadow banking in China is not the result of financial liberalization,instead it is a result of the state’s financial repression.In China’s shadow banking activities there are credit risk,liquidity risk,market risk and operational risk.These risks spread through financial institutions,financial markets,financial infrastructure and asset prices.At the same time there are cross contagion effects between different risk transmission channels,which include collateral chain effects,market volatility and other indirect transmissions including information asymmetry,market competition and indirect transmission mechanisms.In order to attain more intuitive analytic results,this paper based some of its conclusions utilizing the CA model to simulate the shadow banking risk diffusion process based on data obtained from financial trusts and the bank industry.Matlab software was used to perform most of these results.In addition,China’s shadow banking activities are obviously procyclical.This characteristic in the period from 2008 to 2014 is evident,and the procyclicality of entrusted loans is more outstanding.In this paper,the method of spectrum analysis was used to confirm the procyclical pattern of shadow banking business activities in China.And China’s shadow banking procyclical effect on financial stability is mainly done by asset prices spiral and liquidity spiral.Additionally,based on FSCI the TVP-VAR model was used to make empirical studies on the relationship between shadow banking and financial stability.The results show that the shadow banking exacerbated the financial instability in the short term,but marginally contributed to the financial stability before 2010.However,this trend is reversed after 2010.The systemic risk caused by shadow banking brings severe challenges to financial stability.This is mainly embodied in the weakening of the effectiveness of micro-prudential supervision,and highlights the necessity of macro-prudential regulation,ultimately forcing the financial regulatory framework to be modified.However,there is a dilemma to this regulation.Although shadow banking can exert negative effects to financial stability,there are certain advantages to improve financial stibility in its current form.To a certain extent,the shadow banking activities change the pattern of financial industry,fasten the pace of interest rate liberalization,enrich the supply of assets,and provide a new choice of financing for small and medium-sized enterprises.However,the negative impact of the shadow banking must not be neglected.It is necessary to reform and adjust China’s financial regulatory system and management framework of financial stability at the same time in order to enhance the stability of finance system.From micro-prudential regulation,it is necessary to turn from institutional supervision to functional regulation,establish a regulation and cooperation mechanism in the short term,in the medium term,to revise and reform relevant laws,and in the long term,to build a unified financial regulating system.The government should build a flexible mechanism for the management of capital,and introduce a prior commitment supervision and management system in order to increase the elasticity of capital adequacy supervision.Also,the government should strengthen the regulation of shadow banking business sponsored by banks.From macro-prudential regulation,the government should enhance the effectiveness of it and it strengthen the coordination between the micro and macro prudential regulation and pay more attention to economic policies and macro-prudential management cooperation.Alternatively,policymakers should also constantly improve the management framework of the financial stability based on effectiveness of financial regulation parameters.This includes building an early warning system and financial stability monitoring system,setting up a unified special committee to coordinate regulation affairs,and for the central bank to create a better communicational system to socialize the general public of its decisions central,thus reducing any information asymmetry or distortion.Lastly,the financial safety net should be improved with an emphasis on deposit insurance.更多还原