摘要
处置问题金融机构是打好防范化解重大风险攻坚战的关键环节,政府救助是处置问题金融机构的重要方式。政府救助包含内外部两种作用机制,分别通过影响银行部门资产负债结构和资产市场价格波动缓解银行部门系统性风险。本文以美国问题资产救助计划(TARP)为例,使用马尔科夫区制转移特征的或有权益分析模型(CCA),基于金融稳定保障基金的视角,测度内外部救助机制的作用效果,探讨适度救助规模与频次。研究发现:政府救助的内外部机制分别具有改良效应与溢出效应,其中内部改良效应具有稳定性,直接与银行自身的风险管控机制呼应,使得救助后银行部门的风险状态不易发生转移;外部溢出效应具有系统性特征,通过信号效应稳定股市波动,间接改善包括未被直接救助机构在内的银行部门风险水平。在考虑政府救助内外部效果异质性的基础上,发现动态救助对系统性风险的改善效果优于低频大幅注资。基于以上经验教训,我国在金融稳定保障基金的运作过程中,要通过内外部机制之间的匹配来提升政府救助的效率,在利用预期损失确定政府适度救助规模的前提下,对银行部门实施与风险累积水平相一致的动态救助策略。
The disposal of troubled financial institutions is a key link in the battle to prevent and resolve major risks,and government bailout is an important way to deal with troubled financial institutions.The government bailout includes both internal and external mechanisms to mitigate the systemic risk of the banking sector by affecting the asset-liability structure and asset market price fluctuations of the banking sector.This paper uses a Contingent Claim Analysis method introduced Markov regime-switching model,based on the perspective of the Financial Stability Guarantee Fund,taking the US Troubled Asset Relief Program(TARP)as an example to measure the effect of internal and external bailout mechanisms,and explores the appropriate scale and frequency of bailout.The study shows that the internal and external mechanisms of government bailout have improvement effects and spillover effects,respectively.The internal improvement effects are stable and directly correspond to the bank's own risk management and control mechanism,making the risk state of the banking sector less likely to be transferred after the bailout.The external spillover effect has a systematic feature,which stabilizes stock market volatility through signal effects and indirectly improves the risk level of the banking sector,including those that are not directly rescued.Based on this,it is suggested that during the operation of the Financial Stability Guarantee Fund in China,the efficiency of government assistance should be improved through the compatibility matching between internal and external mechanisms.Under the premise of determining the scale of appropriate bailout based on expected losses,the government can implement a dynamic bailout strategy that is consistent with the level of risk accumulation for the banking sector.
作者
宋凌峰
章尹赛楠
SONG Lingfeng;ZHANG Yinsainan(School of Economics and Management,Wuhan University,Wuhan 430072,China)
出处
《中南财经政法大学学报》
CSSCI
北大核心
2022年第6期93-106,共14页
Journal of Zhongnan University of Economics and Law
基金
国家社会科学基金一般项目“经济持续下行引致系统性金融风险的机制与宏观审慎政策研究”(20BJY235)。
关键词
政府救助
系统性风险
马尔科夫区制转移模型
或有权益分析
金融稳定保障基金
Government Bailout
Systemic Risk
Markov Regime-Switching Model
Contingent Claims Analysis
Financial Stability Guarantee Fund
