宏观审慎下我国跨境资金流动监管问题分析

国际金融危机后,为了更好地防控跨境资金流动带来的系统性风险,各国监管部门开始推进跨境资金流动监管方式的改革,其基本思路在于稳步推进宏观审慎管理方式,构建宏观审慎管理体系.本文将以我国跨境资金流动监管现状出发,探析现行监管体系的不足与缺陷,进一步探析如何根据我国的基本国情与现阶段特征,丰富与完善跨境资金流动宏观审慎管理体系框架,为维护国家经济金融安全,保持我国经济平稳健康发展提供参考.     

跨境资本流动宏观审慎政策防范输入性金融风险机制研究

随着中国金融市场开放程度扩大,输入性金融风险防范和金融稳定的重要性日益凸显。本文将金融稳定概念引入传统的“三元悖论”进行机制分析,发现跨境资本流动宏观审慎政策实施有利于提升金融稳定性。本文系统梳理监管机构使用的跨境资本流动宏观审慎政策工具,详细探究作用机制,构建政策指数进行实证分析。结果显示,宏观审慎政策可以通过调节跨境资本流动降低输入性金融风险,缓解外部风险对国内风险的传导。拓展研究表明,政策对于控制外汇市场输入性风险效果最好,股票和债券市场次之;仅针对外汇跨境流动的政策工具效果好于仅针对人民币以及同时针对外汇和人民币跨境流动的工具;数量型工具对控制股票和债券市场输入性风险效果更好,而价格型工具对外汇市场风险防范作用更强;政策对新兴经济体输入性风险的整体防控效果好于发达经济体;宏观审慎政策与货币政策搭配使用,可以强化风险防范作用。在上述结论基础上,本文提出完善跨境资本流动宏观审慎政策框架的建议。     

宏观审慎监管框架下有关医院金融会计问题研究

在国际经济形式日益严峻的环境背景下,国际组织与各监管机构也逐步完成了相应的会计准则和国际监管的水平.对于加强宏观审慎监管已经成为国际金融管理制度改革的具体核心内容,根据我国国内的国情,我国在党的十七届五中全会上明确提出了“构建逆周期的金融宏观审慎管理制度”的有关要求,但是,这些手段在具体的实施过程中,金融会计领域尚存在监管不和谐等问题.尤其是在医院的金融会计问题上表现的更为突出,医疗问题在国内的整体形式还相当严峻.本文就具体针对怎样将宏观审慎监管和医院的金融会计问题相结合,共同促进国内医院方面的金融会计更好的发展.     

金融系统性风险与宏观审慎监管

系统性风险是整体性和全局性的金融风险,其来源日益多样化和复杂化。监管当局应加强宏观审慎监管,尽量降低系统性风险爆发引起系统性危机的可能性,以维护金融体系乃至整个宏观经济稳定。     

跨境资本流动与宏观周期研究述评

实际经济周期理论(RBC)无法解释国内偏好(Home Bias)和资产异质性(Idiosyncratic Asset)问题,因而无法全面阐释金融危机时期国际资本流动。通过大量文献将投资组合理论引入开放动态随机一般均衡(ODSGE)模型较好地解决了以上问题。与此同时,对国际资本流动的研究从一阶矩扩展到二阶矩,即由单独关注收益因素到关注收益因素并关注风险因素,构建了研究国际资本流动与经济周期波动一般性分析框架。这一新进展对于研究中国实施资本管制和构建国际资本流动管理体系具有较强的理论和现实意义。文章对以上研究成果进行了梳理,重点梳理了跨境资本流动与金融危机、周期波动的相关研究并对之进行述评。     

我国中央银行在宏观审慎监管框架中的核心作用

宏观审慎监管通过对风险相关性的分析、系统性重要金融机构的监管,来防范和化解系统性金融风险,避免经济危机的发生.次贷危机后,人们对于宏观审慎监管的重要性已达成共识,但对于由谁来扮演监管主体则存在很多争议.本文研究指出,中央银行所承担的维护金融稳定、制定和实施货币政策、最后贷款人等职能,使其能够在宏观审慎监管中发挥核心作用.次贷危机后,美、欧、英、法逐步调整了监管格局,表明对宏观审慎监管框架中中央银行的核心地位认识比较一致.本文通过对我国央行货币政策麦克洛姆规则的检验,证明其在宏观审慎监管框架中具有有效调控的能力.指出我国中央银行应在宏观审慎监管框架中扮演监管主体角色,并提出了相关的政策建议.     

监管压力、经济周期与宏观审慎政策效果*

本文基于我国52家主要银行2007—2015年的面板数据,考察了监管压力和经济周期对宏观审慎政策效果的影响。相关实证结果表明：（1）监管压力的上升能够显著促使银行增加资本缓冲,逆周期的宏观审慎政策在总体是有效的。（2）监管压力的上升会促使银行加快其资本缓冲的调整速度,这在城市商业银行和农村商业银行等中小银行表现得尤为明显。（3）经济周期会对宏观审慎政策的有效性产生一定影响,但这一影响在不同性质的银行中有所不同。对于国有商业银行和股份制商业银行,经济上行期的政策效果相对较弱,而在经济下行期,政策效果相对较强。对于城市商业银行和农村商业银行,经济周期的影响恰好相反。（4）在顺周期性机制下,银行行为存在过度承担风险以获取高收益的倾向,通过提升监管压力可以有效抑制这一倾向,从而促使银行降低风险,提高稳定性。     

宏观审慎监管相关研究综述

 在全球反思金融监管的浪潮中,加强宏观审慎监管,将宏观审慎监管与微观审慎监管有机结合,已经成为国际组织和各国监管改革建议的核心内容。本文在对宏观审慎概念的起源、演变与背景分析的基础上,系统地梳理了国内外关于宏观审慎政策框架三大要素（即分析、监管和组织框架）的相关文献,厘清了宏观审慎政策与相关概念的关系,提出了对我国宏观审慎政策的启示与建议。     

An Alternative Post-Keynesian Framework for Understanding Capital Flows to Emerging Markets

This article contributes to the establishment of a framework for the analysis of international capital flows, with a specific focus on emerging markets. It is based on a “monetary” analysis of the economy, as well as on the works of Hyman Minsky and Jan Toporowski in particular. The key aspects of such an approach are the following. First, in a monetary economy, capital flows need to be understood as “flows of funds” that pertain to the realm of financial choices, as opposed to the traditional understanding of capital flows as based on “real” variables, such as saving and investment. A consequence of this is the need to focus on gross flows rather than capital flows. Second, liquidity preference considerations also apply at the international level, particularly in relation to the liquidity of emerging-market currencies that, in turn, depends on context-specific “Keynesian fundamentals.” Third, the rise of institutional investors is the key historical development in the financial system, shaping the current reality of cross-border capital flows, including to emerging markets. I argue that institutional investors’ liabilities, in light of the theories of Minsky and Toporowski, are one of the most important variables in determining these investors’ portfolio choices. I synthesize these elements by defining capital flows to emerging markets as the demand for emerging-market assets by institutional investors. I propose a framework to categorize the various channels that guide this demand.     

The Effect of Terrorist Incidents on Capital Flows

Previous work has shown that terrorism has significant negative impact on countries' economies. We explore this relationship in more detail. Using an unbalanced panel of more than 160 countries for up to 25 years and the Global Terrorism Database (GTD) we show a decrease in foreign direct investment (FDI) as a consequence of terrorism. We also find evidence that FDI flows are more sensitive to terrorism than either portfolio investments or external debt flows. Finally, we test the hypothesis that terrorism has negative spill‐over effects on FDI flows into neighboring countries and find evidence that cultural, but not geographical, closeness matters.     

The IMF and the Liberalization of Capital Flows

We evaluate the claim that the International Monetary Fund precipitated financial crises during the 1990s, by pressuring countries to liberalize their capital accounts prematurely. Using data from a panel of developing economies from 1982–98, we examine whether the changes in the regime governing capital flows took place during participation in IMF programs. We find evidence that IMF program participation is correlated with capital account liberalization episodes during the 1990s. We verify the robustness of our results using alternative indicators of capital account openness. To determine whether decontrol was premature, we compare the economic and financial characteristics of countries that decontrolled during IMF programs with those of countries who did so independently, and find some evidence of IMF-led premature liberalizations.     

FDI进入对我国区域资本流动的影响

本文从区域资本流动的角度研究FDI对地区资本的影响。我们在新古典经济理论的框架下建立了一个简单的两地区竞争模型来分析FDI对区域资本流动的影响机制,结果表明,FDI的进入会引起地区资本在区域内形成一个先流入(FDI进入的地区)后流出的过程。借鉴空间计量的研究方法,我们在实证方程中引入FDI的空间滞后项,实证的结果支持了模型得到的结论。检验结果表明,在全国范围内FDI对进入地区存在挤出效应,FDI的进入导致了地区资本从我国西部流向东部,从而加剧了我国地区经济发展的不平衡。     

对冲基金的最新发展与监管框架重构研究

以近年来对冲基金的迅猛发展为背景，总结对冲基金竞争优势的来源，在分析现行国际监管制度缺欠的基础上，探讨以完善基金治理结构、强化信息披露和实施以风险为基础的监管措施三方面构筑有效合理的监管制度，具有重要现实意义。     

The Effect of Customs Unions Among Specialized Countries on International Capital Flows*

This paper examines the effect on international capital flows of a customs union formed by specialized countries. We assume no economies of scale, and use a general equilibrium model with internationally mobile capital. It is shown that integration among countries with characteristics generally associated with having specialized economies will lead to a flow of capital into the union. These characteristics specifically concern the types of goods they trade among themselves, and with the rest of the world, and their ability to absorb capital inflows.     

我国国际资本流动性程度和非流动性原因的度量与检验--来自中美日三国消费模式对比的经验证据

加入WTO以后,我国的国际资本流动性开始有所加强,流动方式也有所改变。文章选择中国、美国和日本的消费和收入数据,在国家之间实际利率均衡的假设下,通过国家消费模式的考察和对比,发现我国的经济运行并不满足国际资本完全流动性假说,其原因既出于我国资本市场与国际资本市场之间存在进入限制,也出于我国资本市场与国际资本市场的非完全整合。这些经验发现表明,我国经济中的名义利率、汇率和资本市场仍然处于有限管制过程中,必须通过深化国内金融体制改革和逐步实现资本市场开放等有力措施来增强我国国际资本的流动性,进而保持我国快速经济增长和提高整体资源配置效率。     

Exchange Rates and Income-Sensitive Capital Flows

Capital flows have recently been sensitive to income expectations, as well as to interest rates. This article considers some implications of this for policy.     

Surviving Asymmetry in Capital Flows and the Business Cycles: The Role of Prudential Capital Controls

Past literature of different strands has pointed to a potential asymmetry: while portfolio capital inflows are largely irrelevant to the economy, capital outflows can cause recession. In a model with a convex investment and portfolio balance adjustment cost, and endogenous credit‐in‐advance constraint, we find that investment is determined solely by opportunity cost of physical capital unrelated to portfolio capital inflows when the constraint is slack. However, once credit availability is tightened up by capital outflows, the negative liquidity constraint dominates the opportunity‐cost factor, causing an economic downturn. Financial fragility against capital outflows is an outcome of pecuniary externalities, which, however, can be moderated by prudential capital controls. Even when exchange rates float freely, capital controls ease the macro‐stabilizing burden of monetary policy, as they help shield the economy from financial instability. Prudential tax on foreign debt is most preferred, and works the best when the exchange rate float is managed.     

The New Basel Capital Adequacy Framework

The Basel Committee on Banking Supervision is about to publish a second consultative paper on the reform of the 1988 Accord on capital adequacy. The new document takes into account the comments received on the June 1999 consultative paper, gives a much clearer picture of crucial aspects of the reform that were only presented in very general terms in the earlier paper, and quantifies most of the parameters that will be needed to calculate the capital requirements.
Although considerable progress has been made towards reaching operational status, several aspects of the regulation still need to be worked out and further reflection is needed on the best way to tackle some of the more problematic issues that have been identified. Comments, suggestions, criticisms such as today's seminar will certainly provide, are therefore most welcome. There will be time to take them into consideration, as the final draft of the regulation will not be completed before the end of 2001.
My presentation is divided into three parts: I first illustrate the objectives of the reform, then describe the essential features of the new regulation, and finally discuss the possible impacts of its implementation.
(J.E.L. G21, G28).