《保险研究》20211201-《金融监管中宏观审慎政策工具的有效性研究——基于投资业务引致系统性风险的视角》（邹奕格、粟芳）

［摘   要］金融行业系统性风险的监管需多方协调以及多种政策配合,也需要有针对性地聚焦风险来源和生成的必要条件进行研究。本文首先通过揭示投资业务引致系统性风险的生成机制与演变过程,深入剖析了该过程中系统性风险生成的必要条件。其次,梳理了现有常用的宏观审慎政策工具,并从抑制必要条件的角度分析了其产生作用的机理。采用类似压力测试的方法,模拟初始负向冲击发生、资产价格下降后的影响来评估系统性风险。利用共同资产持有模型,比较分析了在不同政策工具作用下系统性风险水平的变化情况。研究结果显示,提高资本要求是最优方法,但杠杆限制显得过于生硬激烈,对系统重要性机构征收额外资本和逆周期资本缓冲要求相对较好。同业间风险敞口约束和流动性要求也具有一定的监管效果,但相对略弱。诸多政策工具的监管效果方向一致,同时施行时不会相互抵消,反而具有相互促进的作用。

［关键词］金融监管；投资业务；宏观审慎政策；系统性风险

［基金项目］感谢上海哲学社科项目“保险业系统性风险的根源、传递与影响”(项目编号:2018BJB009)的支持。

［作者简介］邹奕格,上海财经大学金融学院博士研究生；粟芳,上海财经大学金融学院教授。

A Research on the Effectiveness of Macro-prudential Instruments for Financial Regulation—Based on the Perspective of Systemic Risk Caused by Investment Business

ZOU Yi-ge,SU Fang

Abstract：Supervision of systemic risk in the financial industry requires coordination of various parties and policies. Besides that,targeted research on the sources and necessary conditions of risk should also be conducted. This paper started with revealing the generation mechanism and evolution process of systemic risk caused by investment business,and made an in-depth analysis of the necessary conditions for the generation of systemic risk. Then it sorted out the commonly used macro-prudential policy tools and analyzed the mechanism of their impact from the perspective of constraining necessary conditions. A method similar to stress testing was used to evaluate systemic risks by simulating the impact of an initial negative shock and a decline in asset prices. Using the common asset holding model,this paper compared and analyzed the changes of systemic risk level under different policy tools. The results show that higher capital requirements are the best approach,but leverage restrictions appear to be too rigid and drastic. Additional capital requirements on systemically important institutions and countercyclical capital buffers are relatively better approaches. Risk exposure constraints and liquidity requirements also have some regulatory effects,although relatively weak. These regulatory effects of many policy tools are in the same direction. When implemented at the same time,they do not cancel each other out,but promote each other.

Key words：financial regulation；investment business；macro-prudential instruments；systemic risk