中国银行系统的宏观审慎监管研究

全球金融危机爆发后,对银行系统实行审慎监管已成为国内外学者及相关监管机构的共识。但目前银行系统的监管研究多为微观审慎监管,宏观审慎监管研究缺乏,尤其是对中国银行网络系统进行动态建模并进行宏观审慎监管的定量研究未见。本文首先利用中国2008至2015年16家上市银行的实际数据构建动态的中国银行网络系统模型,然后使用Component VaR、Incremental VaR、Shapley value EL以及ΔCoVaR四种风险分配机制研究中国银行网络系统的宏观审慎监管方法。研究表明:对中国银行网络系统进行宏观审慎监管能够有效提升其稳定性,并且四种机制相比之下,ΔCoVaR的监管效果最为显著,而Incremental VaR则相对较差。此外,通过宏观审慎资本与银行指标之间的相关性分析,发现Incremental VaR、Shapley value EL以及Component VaR机制下的宏观审慎资本与银行的总资产具有一定的相关性,此时宏观审慎资本可以根据银行的总资产来设置;而ΔCoVaR机制下则不相关,因此宏观审慎资本可以依据各银行的系统性风险贡献大小来设置。

Studyon Macroprudential Regulations for BankingSystemin China

Macroprudential regulations for banking system has become the consensus of scholars at home and abroad as well as the relevant regulatory agencies since the global financial crisis. However, most of regulations for banking system are microprudential regulations, namely regulating individual bank, while the macroprudential regulations for the whole banking system is lacking. The whole banking system is a banking network system, consisting of banks connected by interbank market. Therefore, the macroprudential regulation supervises the banking network system. At present, the research of constructing a dynamic Chinese banking network system and quantitative macroprudential regulations for it has not been studied yet. The present paper constructs a dynamic Chinese banking network system by collecting the actual data of 16 listed banks from 2008 to 2015, and then uses four risk allocation methods(Component VaR, Incremental VaR, Shapley value EL, ΔCoVaR)to study the macroprudential regulations methods for the Chinese banking network system. The research results show that the macroprudential regulations under the four risk allocation mechanisms all effectively improve the stability of the Chinese banking network system, and ΔCoVaR mechanism is the most significant, while Incremental VaR is the worst. In addition, we find that there is a positive correlation between the macroprudential capital and each bank’s total assets under the mechanism of Incremental VaR, Shapley value EL, and Component VaR, which indicates that the macroprudential capital can be set by each bank’s total assets under these three mechanisms. However, it is not related under the ΔCoVaR mechanism, and then the macroprudential capital under this mechanism should be set according to each bank’s contribution to systemic risk. The present paper enriches the study of macroprudential regulations for banking system in China.