政府对国有银行体系的风险容忍及其隐性救助压力

The Government's Risk Tolerance for State-owned Banking System and Its Implicit Bailout Pressure

本文模型刻画了政府对国有银行体系的风险容忍与其隐性救助压力之间的动态演进及匹配关系,经验估计了政府在1989-2016年间的隐性救助压力状况。模型估计表明,当参照标准普尔全球金融机构的历史违约数据设定政府对国有银行体系的风险容忍区间时,政府平均须将10.08%～12.57%的GDP用于国有银行救助,才能确保其保持与全球同行相当的风险状态。本文还多视角观察了不同风险容忍和监管目标下的政府隐性救助压力,揭示了其在国有银行企业化经营、商业化改制、股份制改造,以及现阶段的"周期"特征和变动趋势,同时结合各阶段的制度背景和银行特征对其进行了推测性解释。

This paper models the dynamic evolution and matching relationship between the government’s risk tolerance for state-owned banking system and its implicit bailout pressure,and empirically estimates the government’s implicit bailout pressure conditions from 1989 to 2016. If we refer to the historical default data of S&P global financial institutions to set the government’s risk tolerance interval for state-owned banking system,the government has to use10.08 percent to12.57 percent of GDP,on average,to bail state-owned banking system in order to maintain the similar risk status with global counterparts. The paper also reports in detail the time series of the government’s implicit bailout pressures under different risk tolerances and supervision targets,and reveals their "periodic " characteristics and trends at the stage of enterprise-like operation,commercialization restructuring,joint-stock reform. In addition,we combine the institutional backgrounds and bank characteristics in each stage to speculatively explain the aforementioned phenomena.