农村中小金融机构系统性风险生成、测度及控制机制研究——基于宏观审慎与微观审慎结合的视角

In the post-crisis era, it is very important to strengthen macro- and micro-prudential risk supervision on small- and medium-sized financial institutions for China's financial system, especially in terms of the rural financial system. This paper aims to research the systemic risk from three aspects of "formation mechanism-estimates measure-control mechanism". Firstly, basing on the panel logit model, we quantitatively identify the key macro and micro factors of systemic risk, and build a theoretical model about the network infection of the heterogeneity small- and medium-sized rural financial institutions' risk, revealing the effect of common shocks, semi-implicit insurance and weak hidden insurance on the mechanisms of transmission and diffusion of risk. Secondly, on the basis of traditional risk measurement models, we consider endogenous risk factors, combine with the regional and dependency characteristics of the risk, form a comprehensive assessment of measurement methods of systemic risk, and with the inclusion of the contagion effect, we construct macro stress testing framework. Last but not least, basing on the perspective of micro- and macro-prudential in Basel Capital Accord III, we explore the control mechanism of the systemic risk from different levels, providing some theoretical basis and policy recommendations for financial regulators to crack the problems of systemic risk management.

在后危机时代，加强宏观与微观审慎结合的农村中小金融机构风险监管，对我国金融体系尤其是农村金融体系来讲显得非常重要。本项目研究围绕农村中小金融机构系统性风险的"生成机理- - 测算度量- - 控制机制"三个层次展开。首先，基于面板Logit模型定量识别农村中小金融机构系统性风险的关键宏观及微观影响因素，并构建异质农村中小金融机构网络风险传染的理论模型，揭示共同冲击、半隐性保险、弱隐性保险等对异质农村中小金融机构间风险传染途径和扩散机理的影响；然后，在传统风险度量模型的基础上，考虑内生性风险因素，结合农村中小金融机构的区域性和相依性特点，形成综合评估系统性风险性的度量方法，同时纳入农村中小金融机构间传染效应构造宏观压力测试框架；最后，基于《巴塞尔资本协议Ⅲ》微观审慎和宏观审慎相结合的视角，从不同层面探索农村中小金融机构系统性风险的控制机制，为金融监管部门破解系统性风险管理难题提供理论依据和政策建议。

随着我国经济发展进入新常态，银行系统性风险正在逐步累积、日益显现，特别是农村中小金融机构在我国“三农”问题还未解决的情况下系统性的重要地位依然突出，风险管理的脆弱性较一般银行更为突出。本研究基于宏观审慎与微观审慎结合的视角，关注农村中小金融机构“太重要而不能倒、太差容易倒”的问题，重点研究分析其系统性风险特点，宏观与微观影响因素以及风险传染渠道，有针对性开展压力测试，为建立健全农村中小金融机构系统性风险防控机制提供科学依据。通过本课题的研究，不仅在理论思路上有助于银行系统性风险研究的完善，而且对维护稳定我国金融体系特别是农村金融体系具有重要的现实意义。