对我国系统重要性银行的市场约束真的有效吗——基于9起监管事件的实证研究

IS MARKET DISCIPLINE ON CHINA'S SYSTEMICALLY IMPORTANT BANKS REALLY EFFECTIVE——Based on Empirical Analysis on 9 Regulatory Events

由于系统重要性金融机构(SIFIs)存在"大而不倒"效应,如何对其进行有效监管,进而降低其可能带来的系统性风险,一直是一项重要问题。本文选取巴塞尔协议第三支柱市场约束这一角度,采用事件研究法,针对我国的全球系统重要性银行(G-SIBs)股票收益对于2011—2015年期间巴塞尔银行监管委员会、金融稳定理事会以及中国银监会发布的G-SIBs名单和出台SIBs监管政策等共9次监管事件产生的反应进行分析,并将我国进入G-SIBs名单和未进入该名单的上市银行进行了对比,旨在研究监管政策的出台是否影响了市场对于该类机构的预期,即是否起到了市场约束的效果。结果表明,其中仅有巴塞尔委员会发布更新后监管要求这一事件对相关G-SIBs股票收益产生了显著的负面影响,其他8次事件均未使相关银行股票产生显著的负异常收益。这表明在大部分情况下,市场约束在对我国SIBs的监管中并未起到显著作用,未达到降低该类银行道德风险的效果。

Due to the too-big-to-fail problem, effective regulation of systemically important financial institutions （SIFIs） is always an important issue for regulators. Based on Pillar III of the Basel Capital Ac- cord, namely market discipline, and event study methodology, this paper analyses the stock market reac- tion to 9 regulatory events of China＇s global systemically important banks （G-SIBs） proposed by Basel Committee on Banking Supervision, Financial Stability Board and China Banking Regulatory Commission and compares the stock price reaction of G-SIBs and non-G-SIBs. Results show that only one of the events cause negative stock price reaction of G-SIBs while others do not cause significant market reaction, which shows ineffective market discipline and indicates that most regulatory measures did not reduce the moral hazard problem of China＇s SIBs effectively.