银行资本监管与系统性金融风险传递——基于DSGE模型的分析  

Banking Capital Supervision and Systemic Financial Risk Transfer——An Analysis Based on the DSGE Model

作　　者：王擎[1] 田娇[2] 

机构地区：[1]西南财经大学中国金融研究中心,教授成都610074 [2]重庆理工大学经济与贸易学院,讲师重庆400054

出　　处：《中国社会科学》2016年第3期99-122,共24页Social Sciences in China

基　　金：国家自然科学基金"银行资本约束下我国系统性金融风险传递研究"(71473200);教育部人文社科重点研究基地重大项目"基于金融稳定的货币政策与宏观审慎监管协调配合研究"(15JJD790027);重庆市社会科学规划博士项目(2014BS026)资助

摘　　要：2008年爆发的国际金融危机,使防范系统性金融风险成为监管部门面对的重大课题,更严格监管资本的巴塞尔协议Ⅲ应运而生,但其在中国的实施效果有待观察。基于中国经济金融特点构建的DSGE模型,包含实体经济和金融体系在内的居民、银行、企业和政府四大部门,通过使用1998—2014年中国数据估算校准参数,在全要素生产率、住房需求、货币供应、基准利率、消费贷款违约率、企业贷款违约率的外生冲击下,分析银行受到提高资本约束要求时,系统性金融风险传递的运行机制。结果发现,在资本约束下,缘于资本监管的顺周期性,系统性金融风险经历三个阶段的传递后,实体经济并未得到有效改善。而基于各类银行资本充足平均水平,小幅度提高资本监管要求,以及更加严格地加强对资本不足银行的监管,则有助于抑制金融风险传递。Following the global financial crisis of 2008,the prevention of systemic financial risk became the major concern for supervisory departments.Basel III responded to the challenge,but its efficacy in China remains to be seen.The DSGE model,which is based on the characteristics of the Chinese economy and finance,comprises four major sectors:residents,banks,enterprises and government.Using the calibration parameters of Chinese data estimation from 1998-2014,under the exogenous shocks of total factor productivity,housing demand,money supply,the benchmark interest rate,the default rate on consumer loans and the default rate on enterprise loans,we analyze the operational mechanism of systemic financial risk transfer when banks are capital constrained.We find that under capital constraints,owing to the pro-cyclical nature of capital supervision,there was no effective improvement in the real economy after systemic financial risk went through three stages of risk transfer.Basing on banks'average rate of capital adequacy,increasing the regulatory capital requirements slightly and strengthening supervision of undercapitalized banks will help to control financial transfer risk.

关 键 词：资本监管 系统性金融风险 巴塞尔协议 动态随机一般均衡模型 

分 类 号：F832[经济管理—金融学]