金融衍生工具与银行系统性风险

从巴林银行倒闭到中航油、中石化衍生品交易巨亏,重新审视金融衍生工具与系统性风险的关系成为必然。金融衍生工具运用规模和比例呈急剧上升趋势,其初衷为对冲风险,契合金融服务实体经济功能,但由于其交易规则具有复杂性和不透明性,实施效果亟待检验。本文采用金融衍生工具视角,探索了分类金融衍生工具对银行系统性风险的影响及作用机理。结果表明,金融衍生工具会加剧银行系统性风险,包括外汇类和利率类金融衍生工具。金融衍生工具运用总体效果并不理想,且存在情境依赖,作用发挥呈现异质性。在后金融危机时代以及股市处于熊市时,金融衍生工具均加剧了银行系统性风险,在危机前则降低了银行系统性风险,但当处于牛市时则无显著影响。此外,在市场化进程高、机构持股比例高时,金融衍生工具加剧银行系统性风险的作用更为明显。本文从一个新的视角检验了银行系统性风险的影响因素,为探究其成因提供了新解释,也为未来系统性风险防控提供了新思路。

Financial Derivatives and Banking Systemic Risks

Given the facts from the bankruptcy of Barings Bank to the huge losses in the trading of China Aviation Oil,Air China and Sinopec derivatives,it is necessary to re-examine the relationship between the use of financial derivatives and systemic risks.In recent years,the scale and proportion of financial derivatives use has risen sharply.The original intention is nothing more than hedging risk and better matching the economic function of financial services.However,its implementation effect needs to be tested urgently.This article takes listed banks as a sample and uses bank financial derivatives as a starting point.This article attempts to analyze the causes of systemic risk from this micro perspective and analyzes its mechanism of action.Considering the possible endogenous problems,the article adopts the Heckman two-step method,2 SLS,systematic GMM method and other methods,with the research conclusion finally reached.The results show that:financial derivatives may increase the systemic risks of banks.This is particularly true with foreign exchange and interest rate related financial derivatives,both of which have in-creased the systemic risk of banks.In the post-financial crisis era,the bearish stock market significantly exacerbated the systemic risk of the banking industry.Especially in the process of high marketization with high proportion of institutions holding shares,the role of financial derivatives in aggravating the systemic risks of banks has become more obvious.The potential contributions of this paper are as followed.First,the results will improve the understanding of the effects of the use of financial derivatives.Second,the depth and dimensions of the research have been expanded from the information content of the nominal amount of financial derivatives.The conclusion of this study is of great pertinence and significance for China’s financial supervision.Third,it solves the problems of endogeneity and pseudo-regression that may exist in the existing research.This article gives three suggestions.First,appropriately guide and control the scale and proportion of derivatives held by financial institutions.Second,improve the disclosure of derivatives information.Third,strengthen the supervision of financial institutions and continue to promote the disclosure system of derivatives information used by financial institutions.