本文選題：巴塞爾協(xié)議 + 宏觀審慎框架��； 參考：《東北財(cái)經(jīng)大學(xué)》2014年博士論文

【摘要】：自從20世紀(jì)70年代布雷頓森林體系崩潰后以來(lái),世界金融體系先后經(jīng)歷了1987年美國(guó)股市大崩盤,1994年墨西哥金融危機(jī),1997年亞洲金融危機(jī),2007年美國(guó)次貸危機(jī)演化的全球金融危機(jī)。頻繁爆發(fā)的危機(jī),帶給全球經(jīng)濟(jì)金融體系嚴(yán)重傷害,引起各國(guó)政府和監(jiān)管當(dāng)局的高度重視,紛紛選擇凱恩斯主義經(jīng)濟(jì)政策進(jìn)行政府干預(yù),試圖挽回不良影響,防止金融體系崩潰,幫助恢復(fù)全球經(jīng)濟(jì)增長(zhǎng)；同時(shí),也引發(fā)了對(duì)危機(jī)起因、經(jīng)濟(jì)增長(zhǎng)模式、“大而不倒”金融機(jī)構(gòu)監(jiān)管以及監(jiān)管體制、機(jī)制、標(biāo)準(zhǔn)和跨境協(xié)調(diào)等方面的反思。 在金融監(jiān)管領(lǐng)域,美國(guó)、英國(guó)、歐盟等國(guó)家(地區(qū))紛紛出臺(tái)了各自的金融改革方案,金融穩(wěn)定理事會(huì)、巴塞爾委員會(huì)等國(guó)際組織新制定或修訂加強(qiáng)金融機(jī)構(gòu)監(jiān)管和監(jiān)管當(dāng)局之間相互合作的一系列改革文件,更加強(qiáng)調(diào)資本和流動(dòng)性監(jiān)管,更加強(qiáng)調(diào)對(duì)系統(tǒng)性風(fēng)險(xiǎn)的計(jì)量、識(shí)別和風(fēng)險(xiǎn)化解,尤其是細(xì)化系統(tǒng)重要性金融機(jī)構(gòu)監(jiān)管措施,并提出了強(qiáng)化宏觀審慎監(jiān)管改革框架,以減少金融危機(jī)事件對(duì)宏觀經(jīng)濟(jì)的損失,維護(hù)世界金融體系穩(wěn)定。 目前,由二十國(guó)集團(tuán)共同推動(dòng)的國(guó)際金融改革在銀行資本、流動(dòng)性監(jiān)管等方面提出了更為嚴(yán)格的新標(biāo)準(zhǔn),同時(shí)在系統(tǒng)重要性銀行監(jiān)管、逆周期監(jiān)管、跨境監(jiān)管合作等方面提出了更高要求。對(duì)于歐美等國(guó)家在金融監(jiān)管和治理領(lǐng)域出現(xiàn)的新問(wèn)題、采取的新措施,我們需要深入分析研究,總結(jié)經(jīng)驗(yàn)教訓(xùn),提出適宜國(guó)情的改革方案；對(duì)第三版巴塞爾協(xié)議及其陸續(xù)研究制定的監(jiān)管制度、思路、方法等內(nèi)容,需要我們積極主動(dòng)多層次、實(shí)質(zhì)性參與國(guó)際金融監(jiān)管改革領(lǐng)域,提高我國(guó)監(jiān)管當(dāng)局國(guó)際話語(yǔ)權(quán),促進(jìn)國(guó)際金融秩序穩(wěn)定。 鑒于此,本文以巴塞爾協(xié)議Ⅲ和宏觀審慎監(jiān)管框架為主線,借鑒國(guó)際金融監(jiān)管改革成果,圍繞銀行機(jī)構(gòu)監(jiān)管和宏觀審慎監(jiān)管框架設(shè)計(jì)為主題展開(kāi)研究。 本文采取理論和實(shí)踐結(jié)合,比較分析法與實(shí)證分析結(jié)合法的方法,分別分析國(guó)際金融監(jiān)管改革尤其是全球金融危機(jī)之后,包括巴塞爾協(xié)議Ⅲ在內(nèi)的國(guó)際監(jiān)管改革成果,以及中國(guó)實(shí)施巴塞爾協(xié)議的做法和有效的監(jiān)管措施,側(cè)重探討我國(guó)宏觀金融審慎監(jiān)管框架的建立。緊密結(jié)合我國(guó)銀行業(yè)改革發(fā)展和監(jiān)管實(shí)際,探討進(jìn)一步實(shí)施和完善逆周期資本緩沖、動(dòng)態(tài)差別準(zhǔn)備金率等審慎監(jiān)管政策工具的效果,并在增強(qiáng)金融監(jiān)管機(jī)構(gòu)的協(xié)調(diào)性等方面提出了應(yīng)對(duì)策略。 本文共分七章,第一章是緒論,介紹選題背景與研究意義以及國(guó)內(nèi)外相關(guān)研究綜述,說(shuō)明本文的研究思路與論文結(jié)構(gòu)等。 第二章分析巴塞爾協(xié)議Ⅲ及其指標(biāo)對(duì)銀行業(yè)的影響�；阢y行監(jiān)管演變進(jìn)程,通過(guò)對(duì)巴塞爾資本協(xié)議、巴塞爾協(xié)議Ⅱ和巴塞爾協(xié)議Ⅲ內(nèi)容的簡(jiǎn)介,闡述銀行監(jiān)管理念、監(jiān)管內(nèi)容和監(jiān)管工具的過(guò)程和創(chuàng)新,重點(diǎn)分析資本充足率指標(biāo)、杠桿率和流動(dòng)性等監(jiān)管指標(biāo)對(duì)銀行業(yè)的影響,以及對(duì)巴塞爾協(xié)議Ⅲ的定量測(cè)算進(jìn)行了分析。 第三章探討巴塞爾協(xié)議Ⅲ在各國(guó)的實(shí)踐。首先對(duì)部分國(guó)家和地區(qū)的巴塞爾協(xié)議Ⅲ實(shí)施方案進(jìn)行介紹,較為詳細(xì)比較分析了部分國(guó)家(地區(qū))實(shí)施巴塞爾協(xié)議Ⅲ內(nèi)容的時(shí)間表和路線圖異同,報(bào)告了巴塞爾協(xié)議Ⅲ實(shí)施進(jìn)展評(píng)議結(jié)果。然后,詳細(xì)說(shuō)明了巴塞爾協(xié)議Ⅲ在中國(guó)的實(shí)踐,以中國(guó)實(shí)施資本監(jiān)管尤其是以實(shí)施巴塞爾協(xié)議為主線,闡述了中國(guó)銀行業(yè)監(jiān)管尤其是資本監(jiān)管制度的變遷、實(shí)施有效監(jiān)管內(nèi)容和措施,對(duì)中國(guó)銀監(jiān)會(huì)推出的新工具組合箱,即資本、動(dòng)態(tài)撥備、杠桿率、流動(dòng)性比率為一體的四項(xiàng)工具進(jìn)行了研究,提出了政策建議。 第四章分析宏觀審慎監(jiān)管及其實(shí)踐。本章對(duì)宏觀審慎監(jiān)管概念和含義進(jìn)行了總結(jié),系統(tǒng)梳理了宏觀審慎監(jiān)管的關(guān)鍵要素,重點(diǎn)對(duì)全球和國(guó)內(nèi)系統(tǒng)重要性金融機(jī)構(gòu)評(píng)估方法和監(jiān)管內(nèi)容進(jìn)行了分析,然后比較分析了美國(guó)、英國(guó)、歐盟的金融改革內(nèi)容和框架,并參考國(guó)際銀行業(yè)審慎監(jiān)管政策框架的有益經(jīng)驗(yàn),對(duì)我國(guó)宏觀審慎監(jiān)管的部分要素實(shí)踐進(jìn)行了闡述和分析,重點(diǎn)對(duì)現(xiàn)行銀行業(yè)審慎監(jiān)管制度建設(shè)、監(jiān)管協(xié)調(diào)機(jī)制的完善、系統(tǒng)重要性銀行的監(jiān)管提出了有針對(duì)性的改進(jìn)建議。 第五章基于巴塞爾協(xié)議Ⅲ分析我國(guó)宏觀審慎政策工具,主要對(duì)逆周期資本緩沖這一工具進(jìn)行實(shí)證研究。首先,根據(jù)巴塞爾協(xié)議Ⅲ的建議,計(jì)算廣義信貸與GDP比率測(cè)算逆周期資本,然后進(jìn)一步分析逆周期資本與系統(tǒng)性風(fēng)險(xiǎn)的關(guān)系,發(fā)現(xiàn)利用廣義信貸/GDP比率測(cè)算出的逆周期資本緩沖與樣本區(qū)間內(nèi)經(jīng)濟(jì)周期以及政府宏觀調(diào)控的政策時(shí)點(diǎn)吻合,可以準(zhǔn)確識(shí)別我國(guó)信貸及系統(tǒng)性風(fēng)險(xiǎn)狀況。測(cè)算的逆周期資本對(duì)于識(shí)別系統(tǒng)性金融風(fēng)險(xiǎn),以及監(jiān)管當(dāng)局平抑經(jīng)濟(jì)景氣上行時(shí)銀行放貸過(guò)快及經(jīng)濟(jì)下行時(shí)銀行資金匱乏的順周期特性,對(duì)減弱系統(tǒng)性風(fēng)險(xiǎn)具有重要意義。 第六章基于巴塞爾協(xié)議Ⅲ分析我國(guó)宏觀審慎政策工具,主要采用非線性的門限向量自回歸模型從宏觀審慎監(jiān)管政策角度分析動(dòng)態(tài)差別存款準(zhǔn)備金率工具的政策效果。實(shí)證結(jié)果表明準(zhǔn)備金率在一定條件下是可以作為宏觀審慎工具：(1)當(dāng)超額準(zhǔn)備金率較高時(shí),采用上調(diào)準(zhǔn)備金率來(lái)減少超額準(zhǔn)備金率進(jìn)而控制信貸增長(zhǎng)的政策是有效果的。當(dāng)超額準(zhǔn)備金率較低時(shí),效果比較差。(2)當(dāng)凈投放量降低或投放較少時(shí),調(diào)整法定準(zhǔn)備金率對(duì)信貸增長(zhǎng)是有效果的。當(dāng)凈投放量較大時(shí),調(diào)整準(zhǔn)備金率對(duì)信貸沒(méi)有影響。(3)在外匯占款增長(zhǎng)率較低時(shí)準(zhǔn)備金率沒(méi)有作用,在外匯占款增長(zhǎng)較大時(shí),可以通過(guò)調(diào)整準(zhǔn)備金率政策抑制信貸的增長(zhǎng)、控制資本流動(dòng)的沖擊。總的看,2012年以來(lái)準(zhǔn)備金率政策的作用在下降。 第七章是結(jié)論與展望。包括本文主要研究結(jié)論,以及下一步需要研究的方向和內(nèi)容。
[Abstract]:Since the collapse of the Bretton Woods system in the 1970s , the world financial system has experienced the global financial crisis of American stock market in 1987 , the Mexican financial crisis in 1994 , the Asian financial crisis in 1997 and the global financial crisis of the American subprime crisis in 2007 .
At the same time , it has also raised some reflections on the causes of the crisis , the mode of economic growth , the " big but not inverted " financial institutions supervision and the regulation system , mechanism , standards and cross - border coordination .

In the field of financial supervision , countries ( regions ) , such as the United States , the United Kingdom , the European Union and the like , have introduced a series of reform documents , such as the respective financial reform programmes , the Financial Stability Board , the Basel Committee and other international organizations , to formulate or revise a series of reform documents that enhance mutual cooperation between the regulatory and supervisory authorities of financial institutions , and more emphasize capital and liquidity supervision , and more emphasize the supervision measures for systematic risk measurement , identification and risk management , in particular to elaborate the regulatory measures of systemically important financial institutions , so as to reduce the losses of financial crisis events to the macro - economy and maintain the stability of the world financial system .

At present , the international financial reform , which is jointly promoted by the G20 , puts forward more stringent new standards in the aspects of bank capital , liquidity supervision and so on . At the same time , it puts forward higher demand in the aspects of banking supervision , counter - cycle supervision and cross - border supervision cooperation .
It is necessary for us to actively participate in the reform of international financial regulation and improve the international discourse power of our regulatory authorities and to promote the stability of international financial order .

In view of this , this paper focuses on Basel III and macro - prudential regulatory framework , and draws on the results of international financial supervision and reform , and studies the framework of supervision and macro - prudential supervision of banking institutions .

Based on the combination of theory and practice , comparative analysis and empirical analysis , this paper analyzes the international financial regulatory reform , especially after the global financial crisis , including Basel III , and the practice of implementing the Basel Accord and the effective supervision measures , focusing on the establishment of macro - financial prudential regulatory framework in China .

This thesis is divided into seven chapters , the first chapter is the introduction , introduces the background and the research significance of the topic selection , and the related research overview at home and abroad , explains the research thinking and the paper structure of this paper .

The second chapter analyzes the influence of Basel Accord 鈪，

本文編號(hào)：1926595