监管规避与隐性金融风险

Regulatory Arbitrage and Hidden Financial Risk

金融危机的历史经验表明,金融机构的真实风险并不一定被外界所知,这种隐性金融风险会导致监管者陷入行动滞后的困境。本文研究表明,如果监管者无法穿透银行的资产质量,那么对银行资产质量过于严格的要求反而会恶化银行的资产质量,诱发银行刻意隐藏风险的行为,导致银行的风险在不被外界察觉的情况下暗中积累,并且,大量本应被银行清算的企业继续存在于市场,成为无效率占据金融资源的僵尸企业。本文的政策含义在于,在影子银行快速发展、银行规避监管的方式快速演变的背景下,治理监管规避不仅是防范金融风险的题中应有之义,更是避免金融风险暗中积累乃至突然爆发的关键所在。

Strict supervision on the quality of bank assets is one of the most critical aspects of financial supervision. Traditionally, the accountability mechanism(i.e., the lender will be punished when the loan he makes becomes a non-performing loan) is used to encourage banks to be cautious enough when granting loans. However, with the rapid development of financial innovation and shadow banking in recent years, banks can avoid the penalties imposed on non-performing loans(NPLs) through shadow banking. The hidden NPLs will generate financial risks that cannot be detected by the regulator(namely, hidden financial risks) and then lead to the accumulation of financial risks in the dark.This paper studies how hidden financial risks are generated when banks can avoid supervision through shadow banking or other means, and how should the regulator resolve the two kinds of moral hazard of banks, that is, the moral hazard of not working hard while lending and the moral hazard of hiding bad news after lending. Specifically, this paper constructs a theoretical model of the game between the regulator and banks. In the first stage, the regulator decides how heavily banks will be punished when their loans go bad. After observing the regulator’s decision, banks determine how much time and effort they should take to screen their potential loan targets. In the second stage, loans could become NPLs, the probability of which depends on banks’ effort in the previous stage and the macroeconomic risks;after that, banks decide whether to disclose NPLs and then face punishment from the regulator or to hide the bad news. The game ends in the third stage. We focus on the conditions under which banks hide NPLs from insolvent firms and then discuss what the regulator should do to incentivize banks to disclose their NPLs voluntarily.It is found that the regulator faces a dilemma. On the one hand, the accountability system of NPLs can improve the micro prudence of banks in the initial issuance of loans, encourage banks to carefully screen loan targets and strictly supervise the use of funds, so as to improve the quality of loans and reduce the possibility of NPLs in the future. However, on the other hand, once a loan goes bad, banks will have an incentive to hide the bad loans to avoid regulatory accountability. This paper theoretically demonstrates that banks’ incentive to hide non-performing loans is strong when macroeconomic risks are high and when penalties imposed on NPLs are heavy.The result shows that when banks can hide NPLs, whether the accountability mechanism for NPLs can help prevent financial risks depends on the extent to which regulators can identify the actual NPL ratio of banks. Therefore, it is desirable to monitor the regulatory arbitrage of banks effectively. There are two feasible supervision modes: one is to strengthen the penetrative supervision and then conduct comprehensive supervision of all kinds of hidden NPLs, which is achievable only if there are sufficient regulatory resources;the other is to encourage banks to truthfully disclose their assets’ quality by increasing regulatory tolerance and loosening penalties for NPLs.It is suggested that regulators should adopt differentiated regulatory strategies according to the macroeconomic situation and regulatory resources. When the economy is in good condition, the problem of hidden financial risks is generally not significant;hence, regulators can adopt a higher level of supervision on banks’ NPLs, such as formulating a strict accountability system and requiring higher provision. When the economy gets worse, regulators can first impose strict accountability on non-performing loans, then strengthen supervision over arbitrage and ensure that the intensity of the two should match each other, provided that regulatory resources are relatively abundant and regulatory penetration is strong enough. However, supposing regulatory resources are minimal and it is difficult to improve the regulatory penetration, the regulator should moderately increase the tolerance of NPLs when the economy gets worse. In that case, regulators can grasp relevant details, take further measures to defuse the potential financial risks, and then hold back the occurrence of systemic financial risk and financial crisis.