巴塞尔Ⅲ审慎监管框架：从单一约束转向多重约束

The Transformation of Prudential Framework under Basel Ⅲ: from Single-Constrained to Multiple-Constrained Regime

巴塞尔是后危机时期全球金融监管的最重要成果。巴塞尔Ⅲ在强化风险资本监管的基础上,引入了杠杆率、流动性覆盖率、净稳定融资比例、大额风险暴露限额等一系列量化监管要求,构建了多重约束审慎监管框架,实现了宏观审慎监管与微观审慎监管的有机融合。基于全球金融危机教训以及巴塞尔委员会发布的一系列监管规则,本文重点讨论了多重约束审慎监管框架的合理性和需要关注的问题。与巴塞尔Ⅰ和巴塞尔Ⅱ单一的风险资本监管框架相比,多种约束框架能够有效应对金融体系存在的多重金融摩擦和外部性,具体包括抑制金融脆弱性和系统性的累积,充分捕捉银行的流动性风险、集中度风险以及不确定性,压缩银行监管套利空间。同时,多重约束审慎监管框架增加了监管规则的复杂性以及实施效果的不确定性,在监管实践中,各国监管当局必须高度关注不同监管规则的相互作用和累积效应,评估对银行经营行为以及信贷供给的影响,权衡监管规则的复杂性、有效性,以及监管成本,尽量避免和缓解潜在的超预期影响。

Basel Ⅲ has been the most important achievement of regulatory reform in the aftermath of 2008-09 global financial crisis（GFC）. Basel Ⅲ significantly enhanced risk-based capital system, and also introduced a series of quantitative requirements, such as leverage ratio, liquidity coverage ratio, net stable funding ratio and large exposure limit, so as to set up a multiple constrained prudential framework （MCPF） aiming to integrate macro- and micro-prudential regulation. Based on the lessons drawn from GFC and regulatory standards issued by Basel Committee on Banking Supervision over the past several years, the paper focuses on the rationale of MCPF and its potential issues in the practices. With comparison to single risk-based capital framework under Basel Ⅰ and Basel Ⅱ, MCPF can more effectively deal with a number of frictions or externalities in the financial system, specifically, containing the building-up of financial vulnerability and systemic risk, adequately capturing liquidity risk, concentration risk and uncertainties, as well as significantly reducing regulatory arbitrage opportunities. At the same time, MCPF also increases the complexity of prudential framework and uncertainties of implementation effects. Therefore, supervisors should pay close attention to the interactions among different parts of MCPF and aggregate effect as a whole, continuously assess the impact of MCPF on banks＂ behavior and credit availability of the banking sector, and strike a balance among the complexity, effectiveness and regulatory burden, in order to avoid or mitigate potentially unintended consequences.