银行资本约束、银行风险外溢与宏观金融风险

Bank Capital Constraints,Risk Spillover and Systematic Financial Risk

本文使用中国2005—2013年的数据分别通过条件在险价值和未定权益法度量了银行溢出风险以及宏观金融风险,并在此基础上对涵盖资本约束和各级金融风险的联立方程模型进行实证分析。结果表明:(1)从个体风险对系统性风险贡献程度识别出了四类银行,为监管部门实施差别化监管提供了依据;(2)体现银行风险承担行为的个体风险与体现银行风险转嫁行为的溢出风险具有替代性,揭示了资本监管政策无法兼顾微观审慎和宏观审慎的目标;(3)宏观金融风险存在加大银行体系风险的反馈机制,但个体银行在资本约束下的自利行为会将其部分消化。本文从资本监管渠道探析金融风险的传递机制,为有效防范和抑制系统性金融风险的监管政策的制定提供了理论支撑和经验证据。

This paper measures spillover risks of banking industry with CoVaR Method and macro financial risks with Contingent Claims Analysis Method with Chinese data from 2005 to 2013. Then a Simultaneous Equations Model, which contains variables such as capital adequacy ratio, individual credit risk, spillover risks of banking industry, and macro financial risks, is estimated. This study finds that： （1）there are four kinds of banks in view of individual spillover risk effect on systematic risk, which provides classification criterion for differential regulation; （2）individual risk which reflect banks＇ risk- taking behavior and systematic risk which reflect risk-shifting behavior can substitute each other, and this can reveal that capital regulation policy cannot balance the target of micro and macro prudence; （3） Macro financial risk has its speedup feedback effect on systemic risk, while the self-interested behavior of individual banks with capital constraint could partially absorb the feedback risk. This paper analyzes the transfer mechanism of financial risk from the channel of capital supervision, which provides theoretical support and empirical evidence for preventing systematic financial risk.