中国系统重要性银行的差异化监管研究——基于存款保险制度的视角  

Research on Differentiated Regulations of Systematically Important Banks in China——From the Perspective of the Deposit Insurance System

作　　者：张屹山[1,2] 宋美霖[2] 杨成荣[1,2] Zhang Yishan;Song Meilin;Yang Chengrong(Center for Quantitative Economics,Jilin University,Changchun 130012,China;School of Business and Management,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学数量经济中心,吉林长春130012 [2]吉林大学商学与管理学院,吉林长春130012

出　　处：《数量经济研究》2022年第2期18-35,共18页The Journal of Quantitative Economics

基　　金：教育部人文社会科学重点研究基地重大项目“新时期中国经济长期稳定增长的潜力与实现路径”(17JJD790009);国家社会科学基金项目“产业结构演进中的增长效应和份额效应对我国经济增速结构性转换的影响分析”(17BJL029)的联合资助。

摘　　要：促使系统重要性银行真正发挥金融“稳定器”作用是完善我国宏观审慎监管的核心内容,也是构建我国现代化金融监管治理体系的关键任务。结合我国当前存款保险制度实践,本文构建银行系统性风险差异化监管模型,以实现风险的早期识别、预警。进一步研究表明,存款保险机构应从两个维度对系统重要性银行进行风险分级监管,即银行尾部事件的出现对银行业的冲击程度(CoES)和潜在金融危机发生对单家银行的冲击影响(SES),并应以商业银行的系统重要性分级实行差别费率。此外,在国内系统重要性银行的风险纠正和处置方面,存款保险机构应有权对其进行资产重组,这有利于大型国有银行取得TLAC资产豁免权,与国际监管要求接轨。Making systematically important banks truly play the role of financial“stabilizer”is the core content of improving macro-prudential supervision,and it is also a key task for constructing financial supervision system in China.Combining with the practice of current deposit insurance system in China,this paper constructs a differentiated regulations model for bank systemic risks to realize early identification and warning of the risks.Further research shows that deposit insurance institutions should supervise systematically important banks’risk levels from two dimensions,namely,the impact of the bank’s tail event on the banking industry(CoES)and the impact of a potential financial crisis on a single bank(SES),and the differential fee rate shall be charged on the basis of the systemic importance of the commercial bank.In addition,in terms of risk correction and disposal of domestic systematically important banks,deposit insurance institutions should have the right to recapitalize them.This is conducive to large state-owned banks to obtain TLAC assets exemption and have compliance with international regulatory requirements.

关 键 词：差异化监管 系统性风险 系统重要性银行 存款保险 

分 类 号：F830[经济管理—金融学] F832