金融体系的结构脆弱性及其系统性风险  

The Structural Vulnerabilities and Systemic Risk of Financial System

作　　者：许友传[1] Xu Youchuan(School of Economics,Fudan University,Shanghai 200433,Chin)

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《复旦学报（社会科学版）》2018年第4期129-141,共13页Fudan Journal（Social Sciences）

基　　金：国家自然科学基金(项目批准号:71673049;71473041)的阶段性研究成果

摘　　要：系统性风险有跨截面维度和时间维度两种表现形式,它们分别与"金融脆弱性"和"金融失衡"两种诱因强相关。本文以系统性风险的表现形式及其诱因为主轴,按照金融体系脆弱性的识别或预警、金融体系的脆弱性及其风险扩散机制、金融失衡及其宏观审慎监管、金融失衡与货币政策调适的总体脉络进行了文献综述,提出了系统思考诸此问题的理论架构。本文理论框架包括四大维度:识别金融体系的结构脆弱性因素,构建前瞻性的模型识别或预警方法;评估系统重要性机构的风险溢出、扩散和传染机制,构建市场危机情景下的监管救助和自救策略;研究金融失衡的渐进累积与阶段性释放特点,构建宏观审慎监管的特别应对措施;探寻货币政策框架内嵌金融失衡的合理途径,构建"增强型货币政策规则"和"宏观审慎型货币政策规则"等,且每个维度内嵌了诸多兼具现实背景和理论价值的具体问题,这对识别、预防和管控金融体系的系统性风险或有启发。The cross-sectional dimension and time dimension are the two forms of systemic risk,which are strongly related to ＂financial vulnerability＂and ＂financial imbalance＂respectively. Tracing the above logic,the paper reviews the following related literatures including the identification and early warning of the vulnerability of financial system,the risk diffusion mechanism of financial system,financial imbalance and macro-prudential supervision,financial imbalance and monetary policy fine-tuning. We also put forward the theoretical framework for thinking on these issues which includes the following four dimensions： identify the structural vulnerability factors of financial system,build forward-looking identification or early warning models; prudently assess the risk spillover,diffusion and contagion mechanism of systemically important financial institutions,construct regulatory bail-out and bail-in strategies under financial market crisis; research the characteristics of gradual accumulation and explosive release of financial imbalance,construct the special coping measures on macro-prudential regulation; explore the reasonable ways of monetary policy framework to embed financial imbalance,construct ＂augmented monetary policy rule＂and ＂macroprudential monetary policy rule’＂et al.. Furthermore,each dimension includes some specific questions with strong realistic background and theoretical value,which may have implications for the identification,prevention and control of financial systemic risk.

关 键 词：系统性风险 金融脆弱性 金融失衡 货币政策 宏观审慎监管 

分 类 号：F832[经济管理—金融学]