中国金融稳定保障基金最优规模度量和配置研究--基于宏观经济部门非预期损失的分析  

Optimal Scale and Allocation of China's Financial Stability Guarantee Fund:Analysis Based on Unexpected Losses in Macroeconomic Sectors

作　　者：王晓婷[1] 赵铖 沈沛龙[1] Wang Xiaoting;Zhao Cheng;Shen Peilong

机构地区：[1]山西财经大学金融学院

出　　处：《金融经济学研究》2024年第1期126-143,共18页Financial Economics Research

基　　金：国家社会科学基金项目(22CJL006)。

摘　　要：金融稳定保障基金是建设金融强国战略背景下维护和实现金融稳定的重要工具。通过编制2008—2020年中国31个省(区、市)金融部门、政府部门、非金融企业部门和家庭部门宏观或有权益资产负债表,运用宏观在险价值方法度量各地区、各部门资产和负债市场价值的非预期损失,估算能充分覆盖重大风险敞口的金融稳定保障基金最优规模和配置比例。研究发现,中国金融稳定保障基金的最优相对规模从大到小依次是:政府部门、非金融企业部门、家庭部门和金融部门。其中,非金融企业部门和家庭部门地区间规模差异显著,东部地区相对规模水平较低,西部地区较高。政府部门作为公共部门具有对其他经济主体的隐性担保责任,最终承担其他部门产生但未抵补的金融风险,是金融稳定的“最后一道防线”。为了更好地防范和化解金融风险,维护金融稳定,金融稳定保障基金应当确定风险适配的目标规模,并实现多层级分部门的有效配置,最终形成全方位、多层次的金融稳定保障基金配置体系。The financial stability guarantee fund is an important tool for achieving and main-taining financial stability within the strategic background of becoming a financial power.In this study,the macro contingent equity balance sheets of the financial sectors,government depart-ments,non-financial corporate sectors,and household sectors from 31 provinces in China,be-tween 2008 and 2020,were used as the research data.A Macro Value at Risk(VaR)model was a-dopted to measure the unexpected losses in the market value of assets and liabilities for each re-gion and department,allowing us to estimate the optimal scale and allocation of the financial sta-bility guarantee fund for comprehensive coverage of major risk exposures.The results show that the optimal relative scale of the fund,from large to small,is government departments,non-finan-cial corporate sectors,household sectors,and financial sectors.In addition,we found significant differences in the scale of the non-financial corporate and household sectors between regions.The relative scale in the eastern regions was smaller,while that in the western regions was larger.As a public sector,government departments have a responsibility of implicit guarantee for other e-conomic entities and ultimately bear the financial risk.However,they are not compensated by oth-er sectors.Hence,they are the"last line of defense"for financial stability.To ensure the preven-tion and minimization of financial risk and to maintain financial stability,the allocation of funds should be determined based on the target scale of risk adaptation,to better achieve effective allo-cation at multiple levels and sub-sectors,ultimately forming a comprehensive and multi-level allocation system.

关 键 词：金融稳定保障基金 建设金融强国 宏观资产负债表 宏观在险价值 

分 类 号：F840.6[经济管理—保险]