金融衍生产品市场降低全球银行业系统性风险了吗?  

Has the Financial Derivatives Market Reduced the Systemic Risks of the Global Banking Industry?

作　　者：刘志洋[1] 宋雨楠 LIU Zhiyang;SONG Yunan

机构地区：[1]东北师范大学经济与管理学院

出　　处：《世界经济研究》2023年第2期66-77,M0003,共13页World Economy Studies

基　　金：国家社会科学基金一般项目“气候相关因素影响金融风险的机制及审慎监管应对措施研究”(项目编号:21BJY172)。

摘　　要：虽然全球将2008年金融危机的爆发归因于金融衍生产品的过快发展,但金融危机后全球衍生产品市场仍旧快速发展,且目前没有直接的实证证据验证全球金融衍生产品市场的发展究竟是否增加了银行业的系统性风险。文章认为金融衍生产品市场发展本身脱胎于各个国家的基本国情,因此兼具共性与特性,这就要求在此问题的研究中充分考虑各国的异质性问题。文章使用国际清算银行(BIS)全球金融衍生产品统计数据和美国纽约大学Stern商学院波动率实验室发布的全球各国系统重要性银行资本短缺(SRISK)数据,将金融衍生产品市场的发展直接与各国系统性金融风险关联起来进行实证分析,结论表明:第一,场内金融衍生产品市场的发展增加了大多数发达国家的系统性风险,但以中国、巴西、俄罗斯、印度等为代表的新兴市场国家则存在降低系统性风险的现象,这说明过度的金融深化反而不利于场内金融衍生产品市场发挥风险管理功能;第二,场外金融衍生工具的发展仅仅在危机期间增加了系统性风险,但在非金融危机期间则降低了系统性风险,这说明在金融体系正常运转时期,场外金融衍生产品市场具有风险管理的功能;第三,在不同的风险状态下,场内金融衍生产品在低风险状态下存在增加系统性金融风险的趋势,而在高风险状态下利率和汇率类衍生工具则存在降低系统性金融风险的作用,场外衍生产品在高系统性金融风险的分位点能够降低系统性金融风险,这说明高风险状态下金融衍生产品市场存在风险管理功能。Although the world attributed the outbreak of the 2008 financial crisis to the rapid development of financial derivatives,the global derivatives market is still developing rapidly after the financial crisis,and there is no direct empirical evidence to verify the development of the global financial derivatives market of whether it increases the systemic risks of the banking industry or not.This article believes that the development of financial derivatives market itself is born out of the basic national conditions of each country,so it has both commonalities and characteristics,which requires considering the heterogeneity of various countries. This article uses the global financial derivatives statistics of the Bank for International Settlements( BIS) and the SRISK method published by volatility laboratory of the Stern School of Business of New York University in the United States. The conclusions show that,first,the development of financial derivatives market increases the systemic risk in most developed countries,but in such emerging market countries as China,Brazil,Russia,and India systemic risk reduces. It means that excessive financial deepening hurts the risk management function of financial derivatives market. Second,the development of otc financial derivatives only increases systemic risk during the crisis,and reduces systemic risk during the non-financial crisis. It indicates that otc financial derivatives market has the function of risk management during the normal operation of the financial system. Third,in different risk states,for floor financial derivatives,there is a tendency to increase systemic financial risks in the low risk state,while exchange rate derivatives can reduce systemic financial risks in the high risk state. Fourthly,otc derivatives can reduce systemic financial risks at the subsites of high systemic financial risks,which indicates that financial derivatives market has risk management functions under high risk conditions.

关 键 词：金融衍生产品市场 面板变系数模型 系统性金融风险 

分 类 号：F831.55[经济管理—金融学] F831.2