貨幣金融學(xué)第十一章

Chapter11EconomicAnalysisofFinancialRegulationLead-inAswehaveseeninthepreviouschapters,Banksareamongthemostheavilyregulatedoffinancialinstitutions.Inthischapter,wedevelopaneconomicanalysisofwhyregulationofthefinancialsystemtakestheformitdoes.Herewealsouseoureconomicanalysisoffinancialregulationtoexplaintheworldwidecrisesinbankingandtoconsiderhowtheregulatorysystemcanbereformedtopreventfuturedisasters.銀行破產(chǎn)，存款人收回的資金可能僅僅是其存款價(jià)值的一部分。存款人缺乏關(guān)于銀行資產(chǎn)質(zhì)量的信息傳染效應(yīng)銀行恐慌1934年聯(lián)邦存款保險(xiǎn)公司成立之前成立后為存款人建立政府安全網(wǎng)，有效抑制銀行擠兌和銀行恐慌現(xiàn)象發(fā)生。AsymmetricInformationandBankRegulation:GovernmentSafetyNet聯(lián)邦存款保險(xiǎn)公司1.償付法（Payoffmethod）處理破產(chǎn)銀行2.收購和接管法（Purchaseandassumptionmethod）政府存款保險(xiǎn)制度在世界范圍內(nèi)的普及：這是好事嗎？安全網(wǎng)的一種具體形式是存款保險(xiǎn)制度AsymmetricInformationandBankRegulation:GovernmentSafetyNetBankpanicsandtheneedfordepositinsurance:Bankfailure(inwhichabankisunabletomeetitsobligationstopayitsdepositorsandothercreditorsandsomustgooutofbusiness)FDIC:shortcircuitsbankfailuresandcontagioneffect.Payoffmethod.Purchaseandassumptionmethod(typicallymorecostlyfortheFDIC).Otherformofgovernmentsafetynet:Lendingfromthecentralbanktotroubledinstitutions(lenderoflastresort).

GovernmentSafetyNetMoralHazardDepositorsdonotimposedisciplineofmarketplace.Financialinstitutionshaveanincentivetotakeongreaterrisk.AdverseSelectionRisk-loversfindbankingattractive.Depositorshavelittlereasontomonitorfinancialinstitutions.GovernmentSafetyNet:TooBigtoFailGovernmentprovidesguaranteesofrepaymenttolargeuninsuredcreditorsofthelargestfinancialinstitutionsevenwhentheyarenotentitledtothisguaranteeUsesthepurchaseandassumptionmethodIncreasesmoralhazardincentivesforbigbanks太大而不能倒閉由政府安全網(wǎng)和防止金融機(jī)構(gòu)破產(chǎn)的意愿所產(chǎn)生的道德風(fēng)險(xiǎn)問題，使金融監(jiān)管者陷入進(jìn)退兩難的困境。增強(qiáng)了大銀行的道德風(fēng)險(xiǎn)動(dòng)機(jī)，大銀行冒更大的風(fēng)險(xiǎn)，從而加大了其發(fā)生倒閉的可能性政府向那些最大銀行中沒有投保的大額債權(quán)人提供還款保證提高了那些在政府安全網(wǎng)保護(hù)下的非銀行金融機(jī)構(gòu)的道德風(fēng)險(xiǎn)動(dòng)力結(jié)果：大型和相互關(guān)聯(lián)的金融機(jī)構(gòu)更加愿意從事高風(fēng)險(xiǎn)的業(yè)務(wù)活動(dòng)，加大了金融危機(jī)爆發(fā)的可能性。GovernmentSafetyNet:TooBigtoFailGovernmentSafetyNet:FinancialConsolidationLargerandmorecomplexfinancialorganizationschallengeregulationIncreased“toobigtofail”problemExtendssafetynettonewactivities,increasingincentivesforrisktakingintheseareas(ashasoccurredduringthesubprimefinancialcrisisin2007-2008).RestrictionsonAssetHoldingsAttemptstorestrictfinancialinstitutionsfromtoomuchrisktakingBankregulationsPromotediversificationProhibitholdingsofcommonstockCapitalrequirementsMinimumleverageratio(forbanks)BaselAccord:risk-basedcapitalrequirementsRegulatoryarbitrage《巴塞爾協(xié)議》《巴塞爾協(xié)議》是國(guó)際清算銀行（BIS）的巴塞爾銀行業(yè)條例和監(jiān)督委員會(huì)的常設(shè)委員會(huì)———“巴塞爾委員會(huì)”于1988年7月在瑞士的巴塞爾通過的“關(guān)于統(tǒng)一國(guó)際銀行的資本計(jì)算和資本標(biāo)準(zhǔn)的協(xié)議”的簡(jiǎn)稱。該協(xié)議第一次建立了一套完整的國(guó)際通用的、以加權(quán)方式衡量表內(nèi)與表外風(fēng)險(xiǎn)的資本充足率標(biāo)準(zhǔn)，有效地扼制了與債務(wù)危機(jī)有關(guān)的國(guó)際風(fēng)險(xiǎn)。巴塞爾協(xié)議III商業(yè)銀行的核心資本充足率將由目前的4%上調(diào)到6%核心資本充足率的要求可達(dá)到8.5%-11%總資本充足率要求仍維持8%不變還引入杠桿比率、流動(dòng)杠桿比率和凈穩(wěn)定資金來源比率的要求，以降低銀行系統(tǒng)的流動(dòng)性風(fēng)險(xiǎn)加強(qiáng)抵御金融風(fēng)險(xiǎn)的能力新協(xié)議將普通股權(quán)益/風(fēng)險(xiǎn)資產(chǎn)比率的要求由原來的2%提高到4.5%核心資本充足率的要求也由4%提高到6%加上2.5%的防護(hù)緩沖資本，核心資本充足率的要求達(dá)到8.5%。

資本=核心資本+附屬資本

（資本-資本扣除項(xiàng)）

（風(fēng)險(xiǎn)加權(quán)資產(chǎn)+市場(chǎng)風(fēng)險(xiǎn)資本×12.5%）

資本對(duì)存款的比率、資本對(duì)負(fù)債的比率、資本對(duì)總資產(chǎn)的比率、資本對(duì)風(fēng)險(xiǎn)資產(chǎn)的比率等扣除：（1）購買外匯資本金支出；（2）不合并列帳的銀行和財(cái)務(wù)附屬公司資本中的投資；（3）在其他銀行和金融機(jī)構(gòu)資本中的投資；（4）呆帳損失尚未沖銷的部分。

資本充足率=

商業(yè)銀行資本管理辦法《商業(yè)銀行資本管理辦法（試行）》經(jīng)中國(guó)銀監(jiān)會(huì)第115次主席會(huì)議通過，2012年6月7日中國(guó)銀行業(yè)監(jiān)督管理委員會(huì)令2012年第1號(hào)公布。該《辦法》分總則、資本充足率計(jì)算和監(jiān)管要求、資本定義、信用風(fēng)險(xiǎn)加權(quán)資產(chǎn)計(jì)量、市場(chǎng)風(fēng)險(xiǎn)加權(quán)資產(chǎn)計(jì)量、操作風(fēng)險(xiǎn)加權(quán)資產(chǎn)計(jì)量、商業(yè)銀行內(nèi)部資本充足評(píng)估程序、監(jiān)督檢查、信息披露、附則10章180條，自2013年1月1日起施行。金融危機(jī)以來，巴塞爾銀行監(jiān)管委員會(huì)積極推進(jìn)國(guó)際金融監(jiān)管體系改革，并出臺(tái)了第三版巴塞爾協(xié)議（巴塞爾III），確立了銀行業(yè)資本和流動(dòng)性監(jiān)管的新標(biāo)準(zhǔn)，要求各成員國(guó)從2013年開始實(shí)施，2019年前全面達(dá)標(biāo)。在此背景下，中國(guó)銀監(jiān)會(huì)于2012年6月7日發(fā)布了新的《商業(yè)銀行資本管理辦法（試行）》（以下簡(jiǎn)稱“新辦法”），此辦法將于2013年1月1日起實(shí)施。此辦法中對(duì)資本定義更加嚴(yán)格，并擴(kuò)大了風(fēng)險(xiǎn)資本的覆蓋范圍，對(duì)于增強(qiáng)銀行體系穩(wěn)健性、引導(dǎo)銀行轉(zhuǎn)變發(fā)展方式以及促進(jìn)實(shí)體經(jīng)濟(jì)信貸都將起到積極作用

PromptCorrectiveActionTherearetwoseriousproblems.1.Thebankismorelikelytofailbecauseithasasmallercapitalcushionifitsuffersloanlossesorotherassetwrite-downs.2.Withlesscapital,afinancialinstitutionhasless"skininthegame"andisthereforemorelikelytotakeonexcessiverisks.資本充裕資本充足資本不足資本嚴(yán)重不足資本極度不足34512糾正行動(dòng)關(guān)閉銀行FinancialSupervision:CharteringandExaminationChartering注冊(cè)(screeningofproposalstoopennewfinancialinstitutions)topreventadverseselectionExaminations(scheduledandunscheduled)tomonitorcapitalrequirementsandrestrictionsonassetholdingtopreventmoralhazardCapitaladequacyAssetqualityManagementEarningsLiquiditySensitivitytomarketriskCAMELSratingFilingperiodic‘callreports’AssessmentofRiskManagementGreateremphasisonevaluatingsoundnessofmanagementprocessesforcontrollingriskTradingActivitiesManualof1994forriskmanagementratingbasedonQualityofoversightprovidedAdequacyofpoliciesandlimitsforallriskyactivitiesQualityoftheriskmeasurementandmonitoringsystemsAdequacyofinternalcontrolsInterest-raterisklimitsInternalpoliciesandproceduresInternalmanagementandmonitoringImplementationofstresstestingandValue-atrisk(VAR)DisclosureRequirementsRequirementstoadheretostandardaccountingprinciplesandtodisclosewiderangeofinformationTheBasel2accordandtheSECputaparticularemphasisondisclosurerequirementsTheSarbanes-OxleyActof2002establishedthePublicCompanyAccountingOversightBoardMark-to-market(fair-value)accountingMark-to-marketorfairvalueaccountingreferstoaccountingforthe"fairvalue"ofanassetorliabilitybasedonthecurrentmarketprice,orforsimilarassetsandliabilities,orbasedonanotherobjectivelyassessed"fair"value.Mark-to-marketaccountingcanchangevaluesonthebalancesheetasmarketconditionschange.Incontrast,historicalcostaccounting,basedonthepasttransactions,issimpler,morestable,andeasiertoperform,butdoesnotrepresentcurrentmarketvalue.ConsumerProtectionConsumerProtectionActof1969(Truth-in-lendingAct).消費(fèi)者保護(hù)法FairCreditBillingActof1974.公平信用交易法案EqualCreditOpportunityActof1974,extendedin1976.平等信用機(jī)會(huì)法案CommunityReinvestmentAct.社區(qū)再投資法案Thesubprimemortgagecrisisillustratedtheneedforgreaterconsumerprotection.RestrictionsonCompetitionJustifiedasincreasedcompetitioncanalsoincreasemoralhazardincentivestotakeonmorerisk.Branchingrestrictions(eliminatedin1994)Glass-SteagallAct(repeatedin1999)禁止非銀行機(jī)構(gòu)從事銀行業(yè)務(wù)與銀行競(jìng)爭(zhēng)，該法案已經(jīng)于1999年被廢除。DisadvantagesHigherconsumerchargesDecreasedefficiencyFIGURE1BankFailuresintheUnitedStates,1934–2008Source:

/bank/historical/bank/index.html.The1980sS&LandBankingCrisisFinancialinnovationandnewfinancialinstrumentsincreasedrisktakingIncreaseddepositinsuranceledtoincreasedmoralhazardDeregulationDepositoryInstitutionsDeregulationandMonetaryControlActof1980DepositoryInstitutionsActof1982TheFinancialInstitutionsReform,Recovery,andEnforcementActof1989FinancialInstitutionsReform,RegulatoryandEnforcementActof1989FederalDepositInsuranceCorporationandImprovementActof1991Costofthebailoutapproximately$150billion,or3%ofGDP.BankingCrisesThroughouttheWorld“Déjàvualloveragain”DepositinsuranceisnottoblameforsomeofthesebankingcrisesThecommonfeatureofthesecrisesistheexistenceofagovernmentsafetynet,wherethegovernmentstandsreadytobailouttroubledfinancialinstitutions.Table2TheCostofRescuingBanksinSeveralCountriesWhitherFinancialRegulationAftertheSubprimeFinancialCrisis?1.Regulationshouldfocusonlimitingtheagencyproblemscreatedbythe“originate-to-distribute”businessmodelIncreasedregulationofmortgagebrokersTightenlicensingrequirementsRequiretodiscloseinformationWhitherFinancialRegulationAftertheSubprimeFinancialCrisis?(cont’d)2.Fewersub