我国金融机构系统性金融风险度量与跨部门风险溢出效应研究

本文采用VaR、MES、CoVaR以及ΔCoVaR四类风险测度方法,对我国A股56家上市金融机构和房地产公司的系统性金融风险展开研究,并结合前沿的风险溢出网络方法,从静态与动态两个研究角度考察了我国金融风险的跨部门传染。研究结果表明,四种风险测度指标均能准确识别出我国金融部门风险集聚的尾部事件,而且金融体系整体上存在较为明显的跨部门风险传染效应。此外,本文研究发现,我国系统性风险溢出水平逐年攀升,且传染中心在“银行钱荒”、“股市熔断机制”等事件中发生了相应改变,其中,在“钱荒事件”中,银行部门等成为了风险传染的发源地;而在“熔断机制”事件中,房地产与证券部门则成为风险传染的网络中心。在此基础上,我们提出了完善我国金融风险防范体系与监管机制的若干建议,使得本文研究对于“防范跨市场、跨产品、跨机构的风险传染”具有重要的学术价值与现实意义。     

非对称尾部相依视角下的金融机构系统性风险研究

本文以我国45家上市金融机构为样本，分别使用12种非对称和4种对称Copula模型拟合“系统—机构”二元相依结构，对比基于最优非对称和最优对称Copula-广义Co Va R的估计精度，并从宏观金融和微观机构层面分析影响金融机构系统性风险的重要因素。结果表明：时变非对称尾部相依是“系统—机构”相依关系的普遍特征；我国金融业各子部门的系统性风险排序基本为“银行>保险>证券>多元金融”；金融机构的个体风险与系统性风险的相关性较弱，下尾相依性是识别系统重要性金融机构的关键因素；在危机期间，金融机构的杠杆率对个体风险和系统性风险具有显著的正向影响；稳定和改善宏观金融环境是化解系统性风险的根本举措。     

基于网络分析法的我国银行间风险传染效应研究

本文基于2012年我国115家商业银行的同业资产和同业负债数据,运用网络传导分析法评估了单家银行的异质性风险对整个银行体系的传染效应。结果发现:考虑到联合冲击因素并调减银行部门的资本金水平时,部分银行的异质性风险触发系统性金融风险并非是极端小概率事件。这表明,近年来我国银行业同业业务的较快发展,导致了银行体系具有潜在的脆弱性。另外,从风险传染的角度来看,大型国有商业银行、政策性银行及部分股份制商业银行具有系统重要性。对少数总资产规模较大的银行施加金融安全网保护,能有效抑制金融风险传染效应。为防范银行机构的道德风险问题,金融监管机构可以基于风险传染效应的评估,最大程度地降低对金融机构的救助范围。     

新时代金融开放面临的风险与应对研究

扩大金融开放是新时代金融发展的必由之路,审慎应对和处理金融开放中可能面临的风险,是推进金融业稳健发展,确保经济社会发展大局的重要保障。妥善应对和处理金融风险,要从金融风险的国家、行业和机构三个层面认识和把握,既要防范大面积系统性风险,也要防范局部性、行业性、区域性风险,从金融市场、金融行业、金融机构多层次构建完善的防范体系,守住不发生系统性金融风险的底线。     

尾部风险研究进展与评述

由于部分业务、部门或市场的尾部风险溢出不仅会引发金融体系的“多米诺骨牌”效应,而且会对实体经济产生巨大负外部性,因此尾部风险事件极易引起金融市场震荡。鉴于此,识别与监测尾部风险是有效防控系统性金融风险爆发与传染的起点。本文首先以全球金融危机为节点,根据文献厘清尾部风险测度指标在危机前后的脉络。其次,介绍与尾部风险传染密切相关的尾部风险相依、金融关联网络的相关研究进展,在此基础上对尾部风险溢出强度及溢出方向展开讨论。再次,本文归纳了引发尾部风险溢出的宏观、中观和微观层面的影响因素以及尾部风险管理的路径选择。最后,对当前及未来尾部风险相关研究进行评述与展望。据此,力求为我国进一步提高防范化解金融风险能力、统筹推进疫情防控和经济社会发展、促进国民经济稳健运行和良性循环提供借鉴。     

创建金融安全区的几点认识

创建金融安全区要以预防为主，防患于未然金融业是一个特殊的行业。一个金融机构风险的爆发。往往会迅速波及到其它金融机构，甚至是整个地区的金融业。创建金融安全区就要把功夫下在金融风险的防范上，而防范金融风险的重点则要放在日常的金融监管中。这几年来，人民银行从上到下已经建立了严格的金融监管责任制，关键是要在落实上动脑筋、下功夫。     

普惠金融发展的逻辑

当前,经济社会对金融的需求非常旺盛,金融机构盈利能力也很强,但金融业发展仍然存在许多问题。在金融风险防控上,宏观层面,防范化解金融风险是“三大攻坚战”的首要战役;微观层面,一些金融机构追求赚快钱、赚省力的钱,导致了风险的积聚。     

网络视角下金融机构风险传染效应的动态演化

随着我国混业经营的趋势越来越明显,金融机构业务结构也向着多元化的方向发展。在此背景下,风险传播渠道随之扩大,系统性风险发生的可能性也逐渐增加。为此,基于尾部风险相依性测算的视角,本文采用时变SJC-copula模型对金融机构间的尾部风险结构进行建模,以分析其非对称性、时变性等复杂特征,并在此基础上采用阈值法构建我国上市金融机构尾部风险相依性阈值网络,通过网络分析法对我国金融系统中各机构风险传播的途径以及演化过程进行分析。结果显示,2015-2019年间,我国金融机构的总体风险呈上升趋势,银行和证券机构的风险主要在其部门内部传播,而保险和信托机构的风险则有跨部门传播的趋势。本文还发现2016年我国金融机构的总体风险明显增加,考虑到2015年我国金融市场的动荡,本文认为,市场的不确定性增加了系统性风险发生的可能性,但是在时间上表现出一定的滞后性。该文的研究意义在于,为我国宏观审慎政策框架的构建提供相应的依据与支持。     

金融机构尾部系统风险与行业风险关联效应研究--基于尾部相依性视角北大核心CSSCI

本文采用基于极值理论的尾部系统风险测度指标(Tail-β),从静态、动态两个角度研究不同类型金融机构尾部系统风险异质性,并分析行业间尾部风险关联效应。研究表明:(1)银行体系中,城商行对于不利冲击反应较为敏感,应对风险能力明显不足。(2)证券部门在极端情形下表现出更强的脆弱性,存在明显的金融风险隐患。(3)部门间尾部风险关联程度随极端金融事件的发生显著上升;其中,银行和保险部门风险关联最强,证券部门与其他部门具有普遍的风险关联效应。(4)房地产部门在股市动荡时期也是金融风险的主要输出者。     

试析金融创新的风险表现与防范

当前,随着我国加入WTO和金融体制改革的深化,我国金融业的竞争将进入一个全新的阶段,创新已经成为赢得竞争优势的重要手段.金融机构只有不断创新,才能发展、壮大.同时,由于金融业经营的高风险性,创新不可避免地导致金融风险的增加.本文就金融机构的创新活动和由此带来风险进行分析,并探求防范风险的措施.     

Financial inclusion and bank profitability: Evidence from a developed market

Previous literature supports the view that financial inclusion leads to economic growth and helps alleviate poverty; however, it is still unclear whether financial inclusion increases bank profitability. Using a sample of 122 Japanese banks from 2004 to 2018, we investigate this question. We find that financial inclusion is important even in a developed economy; branch contraction reduces the profitability of Japanese banks, although the numbers of loan accounts and automated teller machines (ATMs) do not affect bank profitability. Among bank-specific variables, cost management, credit risk management, and bank size are the key drivers of profitability.     

Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa

The banking crises of the ‘90s emphasize the need to model the connections between financial environment volatility and the potential losses faced by financial institutions resulting from correlated market and credit risks. Due to the number of variables that must be modeled and the complexity of the relationships an analytical solution is not feasible. We present here a numerical solution based on a simulation model that explicitly links changes in the relevant variables that characterize the financial environment and the distribution of possible future bank capital ratios. This forward looking quantitative risk assessment methodology allows banks and regulators to identify potential risks before they materialize and make appropriate adjustments to bank portfolio credit qualities, sector and region concentrations, and capital ratios on a bank by bank basis. It also has the potential to be extended so as to assess the risks of correlated failures among a group of financial institutions (i.e., systemic risk analyses). This model was applied by the authors to the study of the risk profile of the largest South African Banks in the context of the Financial System Stability Assessment program undertaken by the IMF in 1999. In the current study, we apply the model to various hypothetical banks operating in the South African financial environment and assess the correlated market and credit risks associated with business lending, mortgage lending, asset and liability maturity matches, foreign lending and borrowing, and direct equity, real estate, and gold investments. It is shown to produce simulated financial environments (interest rates, exchange rates, equity indices, real estate price indices, commodity prices, and economic indicators) that match closely the assumed parameters, and generate reasonable credit transition probabilities and security prices. As expected, the credit quality and diversification characteristics of the loan portfolio, asset and liability maturity mismatches, and financial environment volatility, are shown to interact to determine bank risk levels. We find that the credit quality of a bank's loan portfolio is the most important risk factor. We also show the risk reduction benefits of diversifying the loan portfolio across various sectors and regions of the economy and the importance of accounting for volatility shocks that occur periodically in emerging economies. Banks with high credit risk and concentrated portfolios are shown to have a high risk of failure during periods of financial stress. Alternatively, banks with lower credit risk and broadly diversified loan portfolios across business and mortgage lending are unlikely to fail even during very volatile periods. Asset and liability maturity mismatches generally increase bank risk levels. However, because credit losses are positively correlated with interest rate increases, banks with high credit risk may reduce overall risk levels by holding liabilities with longer maturities than their assets. Risk assessment methodologies which measure market and credit risk separately do not capture these various interactions and thus misestimate overall risk levels.     

Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks

Although credit risk is an important factor that financial institutions must cope with, the determinants of bank problem loans have been little studied. Using panel data, we compare the determinants of problem loans of Spanish commercial and savings banks in the period 1985–1997, taking into account both macroeconomic and individual bank level variables. The GDP growth rate, firms, and family indebtedness, rapid past credit or branch expansion, inefficiency, portfolio composition, size, net interest margin, capital ratio, and market power are variables that explain credit risk. However, there are significant differences between commercial and savings banks, which confirm the relevance of the institutional form in the management of credit risk. Our findings raise important bank supervisory policy issues: the use of bank level variables as early warning indicators, the advantages of bank mergers from different regions, and the role of banking competition and ownership in determining credit risk.     

新型农村金融组织的可持续性发展研究——以宁夏为例

2005年,我国在部分省(市)开始村镇银行、贷款公司、农村资金互助社、小额贷款公司等新型农村金融组织的试点工作。2007年在全国范围开展新型农村金融组织的推广工作,推动农村金融体制改革走向深入,逐步解决三农融资需求问题。推广期间,宁夏的村镇银行、小额贷款公司、贫困村村级互助资金等新型金融组织发展速度较快,有力支持了三农的发展。本文通过对宁夏村镇银行、小额贷款公司、贫困村村级互助资金等新型金融组织的实际调研,深入分析其发展中存在的困难和问题,探索新型农村金融组织可持续发展的有效途径。     

汇率敏感性会影响企业贷款利率吗？——基于中国上市公司的分析

本文基于中国A股上市公司2009-2018年的数据,测算了企业价值对人民币汇率变动的敏感性。在此基础上,实证检验了汇率敏感性(企业价值对汇率变动的敏感程度)对企业贷款利率的影响和作用机制。研究发现:汇率敏感性与企业贷款利率之间显著正相关,且这种关系在拥有境外收入、境外投资和使用外汇衍生品的公司中更加显著。进一步分析发现,对于存在密切银企关系、较大的股东债权人利益冲突以及抵押品价值较低的企业,汇率敏感性与贷款利率之间的正相关关系更加显著。本文研究结果表明,随着我国市场化改革的进一步深化,贷款利率将会更加显著地反映企业的汇率敏感性特征。这种效应对于存在海外业务、银行更了解借款公司信息,以及违约可能性更高的公司更加明显。本文研究对于增强我国企业应对汇率风险能力,完善金融机构风险定价能力,引导金融机构服务实体企业具有一定参考意义。     

我国农村信用社省联社发展模式的终极选择

农村信用社省联社的制度安排和发展走向直接影响我国农村信用社改革方向,目前省联社制度的性质和职能定位都存在缺陷,需要选择合理的发展模式。省联社发展模式的选择应有利于整合我国农村合作金融机构,有利于增强我国农村合作金融体系的竞争力,有利于建立全国性或区域性的有中国特色的农村合作银行体系。省级农村商业银行、地方农村金融监管机构、单一的行业管理机构和行业服务公司四种省联社发展模式都存在缺陷。只有兼具行业服务和行业管理职能的区域性农村合作银行机构的发展模式既能使各级农村信用社保持相对独立,又能实现自上而下的服务,使不同层次农村合作金融机构之间在业务上保持战略联盟,还能行使行业管理职能,是一种最优的发展模式。     

Do Loan Loss Provisions Affect the Credit Fluctuations in China’s Banking System?

ABSTRACT

The global financial crisis of 2008 sparked new ideas on pro-cyclical transmission in the financial system. The accounting treatment method of loan loss provisions differs between the accounting standards that banks use and the supervisory rules of banks. This fundamental difference has attracted wide attention from academics and regulators. This article studies whether bank loan loss provisions affect credit fluctuation in China’s banking system. We divide loan loss provisions into discretionary and non-discretionary loan loss provisions. We find that non-discretionary loan loss provisions result in greater credit fluctuation, whereas discretionary loan loss provisions have no significant impact on credit fluctuation. Further evidence shows that the relation between non-discretionary loan loss provisions and credit fluctuations does not vary among different types of banks. Overall, our study shows that non-discretionary loan loss provisions can increase credit fluctuation and therefore strengthen banks’ pro-cyclical behavior.     

续贷限制与企业技术创新

本文以2007年的银行续贷政策改革作为“准自然实验”,采用双重差分模型探讨了续贷限制对企业技术创新的影响。研究发现,续贷限制显著抑制了企业的技术创新,且经过一系列稳健性检验后,该结论依然成立。进一步研究发现,该政策的作用效果因专利类型的不同而存在较大差异,具体表现为,在续贷限制之后,相较于低质量非发明专利,企业高质量发明专利下降幅度更大,进而企业创新质量降低。作用机制检验发现,续贷限制会降低企业信贷规模、缩短企业信贷期限以及增加企业融资成本,进而抑制企业技术创新。上述结果表明,“一刀切”式地收紧续贷标准会强化企业的融资约束,限制信贷资金对企业技术创新的支持作用,最终不利于企业的转型升级。本文研究为当前的续贷政策提供了来自企业创新视角的理论依据和实践参考。     

What is the systemic risk exposure of financial institutions?

I compare the performance of three measures of institution-level systemic risk exposure — Exposure CoVaR (Adrian and Brunnermeier, 2016), systemic expected shortfall (Acharya et al., 2016), and Granger causality (Billio et al., 2012). I modify Exposure CoVaR to allow for forecasting, and estimate the ability of each measure to forecast the performance of financial institutions during systemic crisis periods in 1998 (LTCM) and 2008 (Lehman Brothers). I find that Exposure CoVaR forecasts the within-crisis performance of financial institutions, and provides useful forecasts of future systemic risk exposures. Systemic expected shortfall and Granger causality do not forecast the performance of financial institutions reliably during crises. I also find, using cross-sectional regressions, that foreign equity exposure and securitization income determine systemic risk exposure during the 1998 and 2008 crises, respectively; financial institution size determines systemic risk exposure during both crisis periods; and executive compensation does not determine systemic risk exposure.     

银行信贷、资本监管双重顺周期性与逆周期金融监管

商业银行信贷和资本监管具有顺周期性.银行信贷顺周期性导致经济繁荣时期的贷款扩张和经济衰退时的贷款紧缩.<巴塞尔资本协议Ⅱ>下的资本监管约束,在经济衰退时会促使银行形成信贷萎缩效应,影响和制约货币政策有效性的发挥,次贷危机为<巴塞尔资本协议Ⅱ>下的银行风险管理和监管的创新带来了新的要求和挑战.要减轻顺周期的影响,增强金融...