逆周期资本监管的规则设计与使用权衡  

Rule Design and Application Trade-off of Countercyclical Capital Regulation

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

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）》2022年第5期152-166,共15页Fudan Journal（Social Sciences）

基　　金：国家自然科学基金(项目批准号:72173031、72173028、71673049)的阶段性研究成果。

摘　　要：当前监管建议聚焦于逆周期资本监管的经验规则设计,而非以理论为基础的规则设计。经验规则是确定性情景下具有较高自由裁量成分的事后单边或对称性双边设计,而理论规则旨在不确定状态下进行双边非对称性或前瞻性设计,以确保逆周期资本计提与释放能够自动适应参考指标的周期变动,并为逆周期资本的监管操作提供信号指引。为了清楚阐释逆周期资本监管规则设计的关键技术问题及其改进思路,本文回顾了银行资本监管的顺周期性及其逆周期监管的相关文献,深入讨论两种规则的常见设计思路、基本要素、技术争议及其可能的改进方向,并提出了几种新型规则设计的构想,同时讨论了其实际应用和经验估计问题。本文有助于拓宽逆周期资本规则设计和宏观审慎监管的视野,对监管当局制定和激活相关规则甚有启发。Current regulatory proposals focus on the empirical-based rule design of countercyclical capital,which is a unilateral or symmetrical bilateral design with high discretionary components under deterministic scenario.While the theory-based rule aims to conduct a bilateral,asymmetric or looking-forward design under random scenario,so as to ensure that the timing and level of countercyclical capital provision and release can automatically adapt to the cyclical change of reference indicator,and provide signal guidance for the regulatory operation.In order to elaborate the key technical issues and improvement directions on the rule design of countercyclical capital regulation,the paper reviews the relevant literatures on the procyclicality of bank capital regulation and its countercyclical regulation,deeply discusses the common design ideas,basic elements,technical disputes and possible improvement directions of the two rules,and puts forward several innovative rule design ideas,their practical applications and empirical estimation issues are discussed as well.It’s believed to broaden the vision of countercyclical capital regulation rule design and macroprudential regulation and to be helpful for the regulatory authorities to formulate or activate relevant rules.

关 键 词：顺周期性 逆周期监管 资本监管 宏观审慎监管 系统性风险 

分 类 号：F830[经济管理—金融学]