宏观审慎监管下的系统重要性证券机构识别研究  

A Study on the Identification of Systemically Important Securities Institutions under Macro-prudential Regulation

作　　者：孙国茂 张辉[3] 胡汝银 Sun Guomao;Zhang Hui;Hu Ruyin

机构地区：[1]山东工商学院金融学院、金融服务转型升级协同创新中心 [2]青岛大学经济学院 [3]中央财经大学经济学院 [4]上海证券交易所资本市场研究中心

出　　处：《宏观经济研究》2021年第9期24-43,65,共21页Macroeconomics

基　　金：上海证券交易所联合研究计划“证券市场宏观审慎监管框架体系研究——基于系统性风险视角”(项目编码:RH1900015892)的阶段性成果。

摘　　要：十九大提出"双支柱调控框架"后,基于《巴塞尔协议Ⅲ》和宏观审慎监管原则的系统重要性金融机构识别,成为金融监管的核心任务之一。《关于完善系统重要性金融机构监管的指导意见》提出,要加强对系统重要性金融机构的监管。本文根据中国金融监管规定和巴塞尔委员会相关指引,从机构规模、关联度、复杂性、可替代性和资产变现五个方面,构建证券行业系统重要性机构评估体系,采用指标法对2015—2018年中国系统重要性证券公司进行评估,为系统重要性证券公司监管提供依据。本文选择合计总资产占行业85%以上的43家证券公司作为评估样本。研究表明:系统重要性排名前12位的证券公司总资产、营业收入和净资产三项指标合计行业占比均为50%多,远未达到75%的监管要求;与规模相比,证券公司间资产关联度和负债关联度是决定系统重要性证券机构更为重要的因素;对系统重要性证券机构的监管,应按照宏观审慎监管原则,建立逆周期调节机制,从建立净资本监管机制、对风险准备进行动态调整和实施动态杠杆率指标等方面入手,约束系统重要性金融机构的规模扩张,消减其关联度和复杂性。After the ‘two-pillar regulatory framework’ was proposed at the 19 th National Congress of the Communist Party of China, the identification of systemically important financial institutions based on Basel III and macro-prudential regulation principles has become one of the core tasks of financial regulation. The Guidance on Improving the Regulation of Systemically Important Financial Institutions proposes to strengthen the regulation of systemically important financial institutions. This paper constructs an assessment system for systemically important institutions in the securities industry based on the five aspects of institutional size, relevance, complexity, substitutability and asset realization according to the Chinese financial regulatory regulations and the relevant guidelines of the Basel Committee, and uses the indicator method to assess systemically important securities firms in China from 2015 to 2018 to provide a basis for the regulation of systemically important securities firms. This paper selects 43 securities firms whose combined total assets account for more than 85% of the industry as the assessment sample. The study shows that: the top 12 systemically important securities firms have a combined industry share of total assets, operating income and net assets of more than 50%, far from the regulatory requirement of 75%;compared with size, asset correlation and liability correlation among securities firms are more important factors in determining systemically important securities institutions;for the regulation of systemically important securities institutions, a counter-cyclical adjustment mechanism should be established in accordance with the principle of macro-prudential regulation, starting from the establishment of a net capital regulation mechanism, dynamic adjustment of risk provisions and implementation of dynamic leverage ratio indicators to restrain the expansion of systemically important financial institutions and eliminate their relevance and complexity.

关 键 词：系统重要性机构 证券公司 宏观审慎监管 系统性风险 

分 类 号：F832.51[经济管理—金融学]