货币金融学第十一章

1、Chapter 11,Economic Analysis of Financial Regulation,Lead-in,As we have seen in the previous chapters, Banks are among the most heavily regulated of financial institutions. In this chapter, we develop an economic analysis of why regulation of the financial system takes the form it does. Here we also

2、 use our economic analysis of financial regulation to explain the worldwide crises in banking and to consider how the regulatory system can be reformed to prevent future disasters .,银行破产，存款人收回的资金可能仅仅是其存款价值的一部分。,存款人缺乏关于银行资产质量的信息,传染效应,银行恐慌,1934年联邦存款保险公司成立之前,成立后,为存款人建立政府安全网，有效抑制银行挤兑和银行恐慌现象发生。,Asymmetri

3、c Information and Bank Regulation: Government Safety Net,联邦存款保险公司,1.偿付法（Payoff method）,处理,破产银行,2.收购和接管法（Purchase and assumption method ）,政府存款保险制度在世界范围内的普及：这是好事吗？,安全网的一种具体形式是存款保险制度,Asymmetric Information and Bank Regulation: Government Safety Net,Bank panics and the need for deposit insurance: Bank f

4、ailure (in which a bank is unable to meet its obligations to pay its depositors and other creditors and so must go out of business) FDIC: short circuits bank failures and contagion effect. Payoff method. Purchase and assumption method (typically more costly for the FDIC). Other form of government sa

5、fety net: Lending from the central bank to troubled institutions (lender of last resort).,Government Safety Net,Moral Hazard Depositors do not impose discipline of marketplace. Financial institutions have an incentive to take on greater risk. Adverse Selection Risk-lovers find banking attractive. De

6、positors have little reason to monitor financial institutions.,Government Safety Net:Too Big to Fail,Government provides guarantees of repayment to large uninsured creditors of the largest financial institutions even when they are not entitled to this guarantee Uses the purchase and assumption metho

7、d Increases moral hazard incentives for big banks,太大而不能倒闭 由政府安全网和防止金融机构破产的意愿所产生的道德风险问题，使金融监管者陷入进退两难的困境。,增强了大银行的道德风险动机，大银行冒更大的风险，从而加大了其发生倒闭的可能性,政府向那些最大银行中没有投保的大额债权人提供还款保证,提高了那些在政府安全网保护下的非银行金融机构的道德风险动力,结果：大型和相互关联的金融机构更加愿意从事高风险的业务活动，加大了金融危机爆发的可能性。,Government Safety Net:Too Big to Fail,Government Safety

8、 Net: Financial Consolidation,Larger and more complex financial organizations challenge regulation Increased “too big to fail” problem Extends safety net to new activities, increasing incentives for risk taking in these areas (as has occurred during the subprime financial crisis in 2007-2008).,Restr

9、ictions on Asset Holdings,Attempts to restrict financial institutions from too much risk taking Bank regulations Promote diversification Prohibit holdings of common stock Capital requirements Minimum leverage ratio (for banks) Basel Accord: risk-based capital requirements Regulatory arbitrage,巴塞尔协议,

10、巴塞尔协议是国际清算银行（BIS）的巴塞尔银行业条例和监督委员会的常设委员会“巴塞尔委员会”于1988年7月在瑞士的巴塞尔通过的“关于统一国际银行的资本计算和资本标准的协议”的简称。该协议第一次建立了一套完整的国际通用的、以加权方式衡量表内与表外风险的资本充足率标准，有效地扼制了与债务危机有关的国际风险。,巴塞尔协议III,商业银行的核心资本充足率将由目前的4%上调到6% 核心资本充足率的要求可达到8.5%-11% 总资本充足率要求仍维持8%不变 还引入杠杆比率、流动杠杆比率和净稳定资金来源比率的要求，以降低银行系统的流动性风险 加强抵御金融风险的能力 新协议将普通股权益/风险资产比率的要求由

11、原来的2%提高到4.5% 核心资本充足率的要求也由4%提高到6% 加上2.5%的防护缓冲资本，核心资本充足率的要求达到8.5%。,资本=核心资本+附属资本,（资本-资本扣除项）,（风险加权资产+市场风险资本12.5%）,资本对存款的比率、 资本对负债的比率、 资本对总资产的比率、 资本对风险资产的比率等,扣除： （1）购买外汇资本金支出； （2）不合并列帐的银行和财务附属公司资本中的投资； （3）在其他银行和金融机构资本中的投资； （4）呆帐损失尚未冲销的部分。,资本充足率 =,商业银行资本管理办法,商业银行资本管理办法（试行）经中国银监会第115次主席会议通过，2012年6月7日中国银行业监

12、督管理委员会令2012年第1号公布。该办法分总则、资本充足率计算和监管要求、资本定义、信用风险加权资产计量、市场风险加权资产计量、操作风险加权资产计量、商业银行内部资本充足评估程序、监督检查、信息披露、附则10章180条，自2013年1月1日起施行。,金融危机以来，巴塞尔银行监管委员会积极推进国际金融监管体系改革，并出台了第三版巴塞尔协议（巴塞尔III），确立了银行业资本和流动性监管的新标准，要求各成员国从2013年开始实施，2019年前全面达标。在此背景下，中国银监会于2012年6月7日发布了新的商业银行资本管理办法（试行）（以下简称“新办法”），此办法将于2013年1月1日起实施。此办法中

13、对资本定义更加严格，并扩大了风险资本的覆盖范围，对于增强银行体系稳健性、引导银行转变发展方式以及促进实体经济信贷都将起到积极作用,Prompt Corrective Action,There are two serious problems. 1.The bank is more likely to fail because it has a smaller capital cushion if it suffers loan losses or other asset write-downs. 2.With less capital, a financial institution has

14、less skin in the game and is therefore more likely to take on excessive risks.,资本充裕,资本充足,资本不足,资本严重不足,资本极度不足,3,4,5,1,2,纠正行动,关闭银行,Financial Supervision: Chartering and Examination,Chartering 注册(screening of proposals to open new financial institutions) to prevent adverse selection Examinations (schedu

15、led and unscheduled) to monitor capital requirements and restrictions on asset holding to prevent moral hazard Capital adequacy Asset quality Management Earnings Liquidity Sensitivity to market risk CAMELS rating Filing periodic call reports,Assessment of Risk Management,Greater emphasis on evaluati

16、ng soundness of management processes for controlling risk Trading Activities Manual of 1994 for risk management rating based on Quality of oversight provided Adequacy of policies and limits for all risky activities Quality of the risk measurement and monitoring systems Adequacy of internal controls

17、Interest-rate risk limits Internal policies and procedures Internal management and monitoring Implementation of stress testing and Value-at risk (VAR),Disclosure Requirements,Requirements to adhere to standard accounting principles and to disclose wide range of information The Basel 2 accord and the

18、 SEC put a particular emphasis on disclosure requirements The Sarbanes-Oxley Act of 2002 established the Public Company Accounting Oversight Board Mark-to-market (fair-value) accounting,Mark-to-market or fair value accounting refers to accounting for the fair value of an asset or liability based on

19、the current market price, or for similar assets and liabilities, or based on another objectively assessed fair value. Mark-to-market accounting can change values on the balance sheet as market conditions change. In contrast, historical cost accounting, based on the past transactions, is simpler, mor

20、e stable, and easier to perform, but does not represent current market value.,Consumer Protection,Consumer Protection Act of 1969 (Truth-in-lending Act).消费者保护法 Fair Credit Billing Act of 1974. 公平信用交易法案 Equal Credit Opportunity Act of 1974, extended in 1976. 平等信用机会法案 Community Reinvestment Act. 社区再投资

21、法案 The subprime mortgage crisis illustrated the need for greater consumer protection.,Restrictions on Competition,Justified as increased competition can also increase moral hazard incentives to take on more risk. Branching restrictions (eliminated in 1994) Glass-Steagall Act (repeated in 1999) 禁止非银行

22、机构从事银行业务与银行竞争，该法案已经于1999年被废除。 Disadvantages Higher consumer charges Decreased efficiency,FIGURE 1 Bank Failures in the United States, 19342008,Source: /bank/historical/bank/index.html.,The 1980s S&L and Banking Crisis,Financial innovation and new financial instruments increased risk taki

23、ng Increased deposit insurance led to increased moral hazard Deregulation Depository Institutions Deregulation and Monetary Control Act of 1980 Depository Institutions Act of 1982,The Financial Institutions Reform, Recovery, and Enforcement Act of 1989,Financial Institutions Reform, Regulatory and E

24、nforcement Act of 1989 Federal Deposit Insurance Corporation and Improvement Act of 1991 Cost of the bailout approximately $150 billion, or 3% of GDP.,Banking Crises Throughout the World,“Dj vu all over again” Deposit insurance is not to blame for some of these banking crises The common feature of t

25、hese crises is the existence of a government safety net, where the government stands ready to bail out troubled financial institutions.,Table 2 The Cost of Rescuing Banks in Several Countries,Whither Financial Regulation After the Subprime Financial Crisis?,1.Regulation should focus on limiting the agency problems created by the “originate-to-distribute” business model Increased regulation of mortgage brokers Tighten licensing requirements Require to disclose information,Whither Financial Regulation After the Subprime Financial Crisis? (contd),2. Fewer subprime mortgage