摘要
党中央多次强调要守住不发生系统性金融风险的底线,加强对影子银行及银行表外业务的科学测度与有效监管,对于防范化解我国系统性风险意义重大。本文将表外业务对银行违约风险的影响纳入经典的CCA分析方法之中。理论模型和经验数据的测算表明,表外负债的积累将显著增加银行的违约风险。此外,本文基于银行表外业务的违约风险,进一步讨论了“调控方向”和“精准发力”两种不同类型监管政策的效果差异。研究结果显示,仅收紧监管而不对具体业务开展过程进行约束的政策,可能会激励银行通过非理性发展表外业务来实现监管套利,导致表外业务风险加剧;而明确将表外业务划定为监管对象的政策措施,则有助于显著降低系统性风险。本研究对科学测度与监管银行表外业务、防范化解系统性金融风险,具有重要的政策意义。
The Party Central Committee has repeatedly stressed the importance of preventing systemic financial risks.Strengthening the scientific measurement and effective supervision of shadow banking and offbalance-sheet business is of great significance for preventing and resolving the systemic risks in China.In this paper,the influence of off-balance-sheet business on the default risk of banks is included in the classical CCA analysis.Through theoretical model and empirical data calculation,it is shown that the accumulation of offbalance-sheet liabilities will significantly increase the default risk of banks.In addition,based on the default risk of off-balance-sheet business,this paper further discusses the difference of the effects of two different types of regulatory policies:"Regulation Direction"and"Regulation Precision".The results show that the policy of only tightening supervision and not restricting the process of specific business may encourage banks to conduct supervisory arbitrage by developing their off-balance-sheet business irrationally,leading to the aggravation of the risk of off-balance-sheet business.Moreover,the policy measures which clearly demarcate off-balance-sheet business as the object of supervision will help to reduce the systematic risk significantly.This study offers great suggestions for reasonably measuring and supervising the risks of off-balance-sheet operations of banks and preventing systemic risks.
出处
《金融监管研究》
CSSCI
北大核心
2022年第3期36-53,共18页
Financial Regulation Research
基金
国家社科基金重大项目(17ZDA074)
国家自然科学基金面上项目(71873070、72173068)、国家自然科学基金青年项目(71803090)
中央高校基本科研业务费专项资金资助项目(63202063)的资助
