人口结构与系统性风险测度及监管——以利率为纽带的视角

Demographics and Systemic Risk Measurement and Regulation:An Interest Rate Channel

本文将系统性风险测度指标分解为长期均衡趋势项以及均值回复扰动项。基于风险指标的长期均衡趋势项,本文首次构建了以人口结构特征决定的系统性风险测度指标。研究结果表明,我国人口结构中青年—中年比率与基准利率以及系统性风险违约距离均呈现出显著的正相关关系。本文进一步依据基准利率的长期预测值,计算得到三种不同压力情景下的系统性风险边界,作为监管部门的监管边界。最后,根据联合国人口报告中提供的2100年人口结构数据,本文首次对我国系统性风险进行了超长期预测。模拟结果表明,较低的人口出生率将会导致我国较低的基准利率水平,从而产生较大的系统性风险。因此,我国人口生育政策的改革以及预防过度老龄化的相关政策的实施刻不容缓。同时,监管当局应当紧盯人口决定机制下的上下边界,避免非预期违约事件的发生。

Summary:This paper proposes a demographics-based systemic default distance measure and provides a completely new view of prudential regulation of the systemic risk of commercial banks in China from both theoretical and empirical perspectives.Gray et al.(2008)introduced contingent claim analysis to study the default risk of banks and the systemic risk in the banking sector.The default distance(DD)of systemic risk is a widely used measure of the systemic risk of commercial banks.Its key ingredient,the interest rate,determines the level of systemic default distance.The literature shows that the age structure of the population determines the demand and supply of financial assets.Favero et al.(2016)used the ratio of young people to middle-age people(YM)to capture the persistent trend component of the target interest rate.Intuitively,demographics affect the level of systemic default distance through an interest rate channel.This paper is the first to connect demographics,the target rate and the systemic risk of banks.This leads to a new suggestion that regulators perform prudential regulation by watching a demographic variable,the YM ratio.This paper contributes to the literature in both theoretical and empirical ways.From a theoretical perspective,we are the first to follow Favero et al.(2016)in modeling the target rate using a demographics-based Taylor rule.Furthermore,we extend the contingent claim analysis model,which measures systemic risk by calculating the default distance of both individual banks and the“aggregate one bank”by incorporating a demographics-based Taylor rule to model the target rate.Our theoretical results show that when the YM ratio is large(small),there will be excess demand for borrowing(saving)from banks.For markets to clear,equilibrium interest rates should adjust,increasing(decreasing)so that middle-aged people(young people)are encouraged to save(borrow).For banks,when the YM ratio is large(small),excess saving pressure is relieved(intensified)and total bank liabilities decrease(increase).Hence,a large(small)YM ratio reduces(enhances)the default risk of banks.As an empirical exercise,we use data from the WIND database from January 2004 to December 2016.We first use the whole sample for estimation and show that there is a strong positive correlation between the YM ratio and the target rate.We then run 1-year ahead,2-year ahead and 3-year ahead out-of-sample forecasts to show that the YM ratio perfectly captures the long term persistent trend in the future target rate.Finally,we calculate the systemic default distance of the 5 largest and the 16 listed commercial banks using the in-sample estimates and out-of-sample forecasted target rates,respectively.Interestingly,the demographics-based systemic default distances perfectly match the timing of both the 2014 financial stress and the 2015 stock market crash.The results also show that the 1980-1990 baby boom in China reduced systemic risk in 2010 because a younger population leads to excess demand and borrowing.We recompute the demographics-based systemic DD for the 5 biggest and the 16 listed commercial banks in 3 different scenarios:a normal period,an international financial crisis period and a stock market crash period.These results give the upper and lower bounds of the systemic DD so that the central bank can prudentially regulate systemic risk in these different scenarios.Our results have the following important implications.First,the universal two-child policy will lead to comparatively low systemic risk for commercial banks in the next 80 years.Second,low fertility rates increase systemic risk because the YM ratio decreases.Third,regulators should keep an eye on the age structure of the population when performing prudential regulation of the systemic risk of commercial banks.