系统性风险、抛售博弈与宏观审慎政策

Systemic Risk, the Fire Sale Game and Macroprudential Policy

遭遇负向冲击,银行会依据资产的流动性差异选择资产抛售并因此形成风险传染。微观审慎抛售是先出售流动性程度较弱的资产,宏观审慎抛售则是先出售流动性程度较强的资产,且微观审慎抛售作为纳什均衡结果会导致更高的系统性风险。本文发现,宏观审慎政策本质上是一种导致银行合作的激励机制。基于此理念,本文通过博弈论分析并结合构建的系统性风险指标测度出"窗口指导"、"流动性注入"等宏观审慎政策的时变政策成本与收益,发现"窗口指导"政策优于"流动性注入"政策,并以此提出宏观审慎政策的实施顺序。本文通过总结分析政策实践情况,论证了上述宏观审慎政策的可行性及实施顺序的合理性。

We use the asset price contagion model to measure the systemic risk of the banking system.Based on this model,we quantify the effect of macroprudential policy implementation on systemic risk.We thus measure the benefits and costs of policy implementation to provide a scientific reference for government decision-making.Specifically,we make three main contributions. First,we compare differences in the behavior of banking institutions between microprudential and macroprudential policies using the game theory model.Then,we analyze the changes in systemic financial risk resulting from different banking behaviors and describe the effect of macroprudential policies on systemic risk from a new perspective.Specifically,this paper introduces the action choices of financial institutions and then builds a fire sale game theory model by dividing the fire sale rules.Next,we use the systemic risk model to compute the final results.According to the empirical results,we demonstrate that selling illiquid assets first represents a microprudential fire sale,while selling liquid assets first constitutes a macroprudential fire sale.When banks choose a microprudential fire sale,which is a Nash equilibrium,it leads to greater systemic risk than banks choosing a macroprudential fire sale,which is the result of cooperation between banks. Second,this paper proposes a new macroprudential policy concept.Traditional macroprudential policy is based on the concept of the "counter financial cycle".However,the macroprudential policy of this paper is an incentive mechanism whose main role is to change the result of the cooperation between banks into a Nash equilibrium.Based on this mechanism,we propose the "window-guidance" policy and the "liquidity injection" policy.The window-guidance policy indicates that macroprudential authorities encourage banks to choose a macro-prudent fire sale by an ex ante commitment,which can punish banks that choose a micro-prudent fire sale and reward those that choose macro-prudent fire sale.The liquidity injection policy suggests that macroprudential authorities purchase illiquid assets from the asset market to enhance the liquidity of these assets,thereby transforming the macroprudential fire sale into a Nash equilibrium. Third,based on the concept associated with game theory and the systemic risk indicators above,we successfully quantify the costs and benefits of macroprudential policies.This provides an innovative measure for assessing the effectiveness of macroprudential policies.With quantified costs and benefits,we analyze the effect of implementing macroprudential policies.In addition,by combining the quantitative results and the theory of the policies,we propose a priority order for policy implementation.To the author's knowledge,this research may be a first in the field. According to the empirical results,we find that with the same benefits,the cost of the Window-guidance policy is much lower than that of the Liquidity Injection policy,especially at the high-risk stage.In addition,the Liquidity Injection policy is more likely to generate moral hazard.Based on this result,we propose the priority order for policy implementation.That is,macroprudential authorities can implement macroprudential window-guidance policy under moderate market pressure and implement macroprudential liquidity injection policy when the market pressure is too high.Combined with theoretical and practical analysis,the practical experience of many countries shows that the actual implementation costs of the two macroprudential policies are consistent with the trends in our results and that the priority order for policy implementation exists in reality. Based on the above findings and the related discussion,we believe that macroprudential authorities should proceed as follows to ensure the successful implementation of macroprudential policies.First,macroprudential authorities should pay attention to several factors,such as the asset size and asset structure of banking counterparties,so that they can monitor the liquidity level of the overall market.Second,they should maintain sufficient credibility or prestige and have sufficient funding.