商业银行风险承担行为研究
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摘要
本文通过对银行风险承担和公司治理相关文献的回顾,给出了基于公司治理角度的银行风险承担的系统分析框架。本文从银行各参与者的风险偏好出发,得到了银行最优的风险承担水平。在此基础上,以内部治理机制和外部治理机制作为主要视角分析治理机制对不同银行参与人的风险偏好的影响,从而对整个银行风险承担水平的影响。本文的研究表明：在内部治理方面,大股东的国有股性质可以约束银行风险承担,因此在对国有银行进行产权改革时应该综合绩效与风险考虑；董事会独立董事的存在不仅不能约束银行风险承担,且有强化银行风险的动机,这要求银行在引入独立董事的同时必须对独立董事职能进行清晰的定位,不仅仅是银行经营管理的监督者,更应该是银行经营管理的决策者；以现金为主要方式的管理层薪酬可以约束银行风险承担,但是随着股权激励的引入,银行管理层激励的方式越来越多样化,这本身激励了管理层的高风险动机,因此从美国次债危机中我们应该得出教训,要审慎的实施管理层股权激励。在外部治理方面,市场约束与政府监管是两种最主要的影响银行风险承担的途径。本文研究市场约束时采用次级债券作为例子,得到已经发行了次级债券的银行所受债券约束作用要比没有发行的银行大得多的结论,这就可以理解不少银行发行次级债的政策意义。同时,如果要引入市场约束的作用,政府监管方面应该更多的从监管环境出发,逐步的退出完全隐性担保,为市场约束作用的发挥搭建积极的平台。
本文紧紧围绕银行风险承担行为及其公司治理机制,通过多种理论方法和技术工具的综合运用,以经济建模和实证建模的方式,系统研究了公司治理机制对我国商业银行风险承担行为的影响。本文的行文结构是这样安排的：第一章为导论,主要对本文的选题背景和意义进行了阐述,对文章主要涉及到的问题、观点进行了综述,包括影响银行风险承担的微观治理机制因素、宏观的行业竞争、银行监管等方面的理论与实证研究成果,然后简述了研究的视角和逻辑思路,最后对文章主要结构和研究方法进行了阐述。第二章是关于商业银行风险承担的理论分析。第一节对风险承担等相关概念进行了界定。第二节到第五节从委托代理理论和利益相关者理论出发分别分析了股东、监管当局和管理层的风险偏好。第六节在比较各参与主体的最优风险承担水平基础上,构建理论模型证明了社会最优的风险承担水平。第三章是关于内部治理机制影响商业银行风险承担的实证研究,重点分析了股权结构、董事会结构以及管理层激励等因素。第一节介绍了公司治理的基本理论。第二节针对内部治理机制影响商业银行风险承担提出若干假设。第三节实证分析了公司治理机制对我国商业银行风险承担行为的影响。第四节是对实证结果的分析。第四章对上述的实证结果进行理论解释。第一节讨论银行的股权结构对风险承担的影响,重点讨论了西方国家银行国有化与我国引入战略投资者的问题。第二节讨论董事会结构对银行风险选择的影响,具体包括董事会规模、独立董事等因素。第三节讨论管理层激励问题,重点分析美国流行的股权激励是否会使得管理层选择最优的风险承担水平。第五章是影响商业银行风险承担的外部治理分析。第一节以次级债券为例讨论了目前我国次级债券的发行对银行风险承担的影响。第二节分析了政府监管对银行风险承担的影响。第三节讨论了我国的政府隐性担保对银行风险承担的影响。第四节讨论了市场约束与政府监管的关系。在我国,资本充足率监管与政府监管这两种正式的监管安排会对银行的经营管理产生深刻影响,而市场约束作用的影响还远远未被意识到。文章主要通过梳理文献来解释政府对商业银行的监管在一定意义上会弱化市场约束的作用,但在满足一定条件的情况下却能够促进市场约束作用的发挥,因此提出必须要建立一种能够主动引入市场约束作用的监管机制。第六章是对全文主要观点的总结,并对本文研究提出的问题提出相应的政策建议。
本文的主要创新有：一、国外关于商业银行风险承担的研究文献颇为丰富,但数据都选取于西方国家,对我国借鉴意义不大；而国内这方面的文献研究才起步,并且实证研究仅仅就一些因素做了分析,研究不够系统。本文研究商业银行风险承担行为以我国银行为背景,且研究因素较为全面系统。二、因为2008年的金融危机暴露出了很多问题,文章在整个论述中针对这场危机试图讨论一些更为现实的问题,如在这次危机中西方国家银行股权国有集中化,而我国商业银行一直提出引入战略投资者意图分散化股权,这两个不同趋势间的讨论,又如美国流行的股权期权激励在我国银行中的适用性问题等。三、在研究次级债券时,主要关注其市场约束的功能,对已经发行过次级债券的银行和首次发行次级债券的银行进行了分组讨论,得到已经发行了次级债券的银行所受债券约束作用要比没有发行的银行大得多的结论,从而得到了政府应鼓励商业银行发行次级债的政策主张。
We bring forward a systemic research framework for the risk-taking behavior of banking in China from corporate governance perspective after reviewing the related literatures on corporate governance and risk-taking behavior of banking. We start from the risk preference of different participants in the bank, and get an optimal risk-taking level. On that basis, we analyze how the corporate governance mechanism influences the bank risk-taking. Our study shows that the state-owned large shareholders can restrict the risk-taking behavior of banks, so when we reform property right, we must combine performance and risk to consider together. The independent directors possibly encourage the risk-taking incentive of banks. The salary of the advanced managers can restrict the risk-taking behavior of banks. But as the managerial ownership become popular, the managers have risk-taking incentive. As for the market discipline, we take the subordinated debt as an example. The function of the subordinated debt in the bank is not only the supplement of the corn capital, but also the constraints management about banks' risk behavior. This fact is not a debate anymore. This paper is to set up a simple model to prove that the subordinated debt indeed can take constraints function in the bank. And then we evaluate the risk spread relationship in the domestic commercial banks from 2003 to 2009. Our empirical results indicate that subordinated debt has function to the issuance banks other than the non-issuance banks. Our results suggest that the degree of market discipline would likely be enhanced by a mandatory subordinated debt program.
The paper extensively applies many kinds of theoretic approaches and technical tools to systematically study the risk-taking behavior of banking in China from corporate governance perspective through the manner of mathematical modeling and positive modeling. The structure of paper is arranged as followed: Chapter 1 is an introduction. In this part, we review the related literatures on corporate governance and risk-taking behavior of banking. Chapter 2 is the theoretical analysis of the risk-taking behavior of bank. Chapter 3 is the empirical research of how the internal corporate governance influences the risk-taking of banks. Chapter 4 is the theoretical analysis of the outcome. Chapter 5 is the analysis of the influence of external corporate governance. Chapter 6 is the conclusion and suggestion.
The primary innovations of the dissertation are as follows:(1) study the different functional mechanisms on the risk-taking behavior of banking; (2) study the relationship and relevant mechanism between market discipline and government supervision and risk-taking behavior of banking; (3)study how to enhance market discipline by introducing subordinated debts, and the relevant functional mechanism of market discipline of subordinated debts.
本文紧紧围绕银行风险承担行为及其公司治理机制,通过多种理论方法和技术工具的综合运用,以经济建模和实证建模的方式,系统研究了公司治理机制对我国商业银行风险承担行为的影响。本文的行文结构是这样安排的：第一章为导论,主要对本文的选题背景和意义进行了阐述,对文章主要涉及到的问题、观点进行了综述,包括影响银行风险承担的微观治理机制因素、宏观的行业竞争、银行监管等方面的理论与实证研究成果,然后简述了研究的视角和逻辑思路,最后对文章主要结构和研究方法进行了阐述。第二章是关于商业银行风险承担的理论分析。第一节对风险承担等相关概念进行了界定。第二节到第五节从委托代理理论和利益相关者理论出发分别分析了股东、监管当局和管理层的风险偏好。第六节在比较各参与主体的最优风险承担水平基础上,构建理论模型证明了社会最优的风险承担水平。第三章是关于内部治理机制影响商业银行风险承担的实证研究,重点分析了股权结构、董事会结构以及管理层激励等因素。第一节介绍了公司治理的基本理论。第二节针对内部治理机制影响商业银行风险承担提出若干假设。第三节实证分析了公司治理机制对我国商业银行风险承担行为的影响。第四节是对实证结果的分析。第四章对上述的实证结果进行理论解释。第一节讨论银行的股权结构对风险承担的影响,重点讨论了西方国家银行国有化与我国引入战略投资者的问题。第二节讨论董事会结构对银行风险选择的影响,具体包括董事会规模、独立董事等因素。第三节讨论管理层激励问题,重点分析美国流行的股权激励是否会使得管理层选择最优的风险承担水平。第五章是影响商业银行风险承担的外部治理分析。第一节以次级债券为例讨论了目前我国次级债券的发行对银行风险承担的影响。第二节分析了政府监管对银行风险承担的影响。第三节讨论了我国的政府隐性担保对银行风险承担的影响。第四节讨论了市场约束与政府监管的关系。在我国,资本充足率监管与政府监管这两种正式的监管安排会对银行的经营管理产生深刻影响,而市场约束作用的影响还远远未被意识到。文章主要通过梳理文献来解释政府对商业银行的监管在一定意义上会弱化市场约束的作用,但在满足一定条件的情况下却能够促进市场约束作用的发挥,因此提出必须要建立一种能够主动引入市场约束作用的监管机制。第六章是对全文主要观点的总结,并对本文研究提出的问题提出相应的政策建议。
本文的主要创新有：一、国外关于商业银行风险承担的研究文献颇为丰富,但数据都选取于西方国家,对我国借鉴意义不大；而国内这方面的文献研究才起步,并且实证研究仅仅就一些因素做了分析,研究不够系统。本文研究商业银行风险承担行为以我国银行为背景,且研究因素较为全面系统。二、因为2008年的金融危机暴露出了很多问题,文章在整个论述中针对这场危机试图讨论一些更为现实的问题,如在这次危机中西方国家银行股权国有集中化,而我国商业银行一直提出引入战略投资者意图分散化股权,这两个不同趋势间的讨论,又如美国流行的股权期权激励在我国银行中的适用性问题等。三、在研究次级债券时,主要关注其市场约束的功能,对已经发行过次级债券的银行和首次发行次级债券的银行进行了分组讨论,得到已经发行了次级债券的银行所受债券约束作用要比没有发行的银行大得多的结论,从而得到了政府应鼓励商业银行发行次级债的政策主张。
We bring forward a systemic research framework for the risk-taking behavior of banking in China from corporate governance perspective after reviewing the related literatures on corporate governance and risk-taking behavior of banking. We start from the risk preference of different participants in the bank, and get an optimal risk-taking level. On that basis, we analyze how the corporate governance mechanism influences the bank risk-taking. Our study shows that the state-owned large shareholders can restrict the risk-taking behavior of banks, so when we reform property right, we must combine performance and risk to consider together. The independent directors possibly encourage the risk-taking incentive of banks. The salary of the advanced managers can restrict the risk-taking behavior of banks. But as the managerial ownership become popular, the managers have risk-taking incentive. As for the market discipline, we take the subordinated debt as an example. The function of the subordinated debt in the bank is not only the supplement of the corn capital, but also the constraints management about banks' risk behavior. This fact is not a debate anymore. This paper is to set up a simple model to prove that the subordinated debt indeed can take constraints function in the bank. And then we evaluate the risk spread relationship in the domestic commercial banks from 2003 to 2009. Our empirical results indicate that subordinated debt has function to the issuance banks other than the non-issuance banks. Our results suggest that the degree of market discipline would likely be enhanced by a mandatory subordinated debt program.
The paper extensively applies many kinds of theoretic approaches and technical tools to systematically study the risk-taking behavior of banking in China from corporate governance perspective through the manner of mathematical modeling and positive modeling. The structure of paper is arranged as followed: Chapter 1 is an introduction. In this part, we review the related literatures on corporate governance and risk-taking behavior of banking. Chapter 2 is the theoretical analysis of the risk-taking behavior of bank. Chapter 3 is the empirical research of how the internal corporate governance influences the risk-taking of banks. Chapter 4 is the theoretical analysis of the outcome. Chapter 5 is the analysis of the influence of external corporate governance. Chapter 6 is the conclusion and suggestion.
The primary innovations of the dissertation are as follows:(1) study the different functional mechanisms on the risk-taking behavior of banking; (2) study the relationship and relevant mechanism between market discipline and government supervision and risk-taking behavior of banking; (3)study how to enhance market discipline by introducing subordinated debts, and the relevant functional mechanism of market discipline of subordinated debts.
引文
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[1]罗纳德·科斯： 《企业的性质》, 《现代制度经济学(_上卷)》,北京大学出版社2003年版。
[2]张维迎： 《企业理论及其对中国国有企业改革的意义》, 《企业理论与中国企业改革》,北京大学出版社1999年版。
[3]米歇尔·詹森、威廉姆·马克林： 《企业理论：理者行为、代理费用与产权结构》,《现代制度经济学(上卷),北京大学出版社2003年版。
[4]刘丹： 《利益相关者—与公司治理法律制度研究》,中国人民公安大学出版社2005年7月版。
[5]郭大力等译,亚当·斯密： 《国民财富的性质和原因的研究》,商务印书馆,2002年版。
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4即银行选择一个在既定的收益均值水平下的最小标准差的投资组合。
5一般把Kahane, Koehn and Santomero建立的均值方差模型叫做KKS模型。
7赵先信：《银行内部模型和监管模型：风险计量与资本分配》,上海人民出版社2004年版。
8假设资产A的收益服从[0,10]的分布,资产B的收益服从[10,100]分布,显然,资产B收益标准差大于资产A,但是由于一阶随机占优,资产A的风险更大。
9罗纳德·科斯：“企业的性质”,《现代制度经济学(_上卷)》,北京大学出版社2003年版,第105页。
10张维迎：“企业理论及其对中国国有企业改革的意义”,《企业理论与中国企业改革》,北京大学出版社1999年版,第44页。
11米歇尔·詹森、威廉姆·马克林：“企业理论：理者行为、代理费用与产权结构”,《现代制度经济学(上卷),北京大学出版社2003年版,第177页。
12德姆塞茨：《所有权、控制与企业——论经济活动的组织》,经济科学出版社1999年版。
13窦洪权：《银行公司治理分析》,中信出版社2005年版。
14 Jensen, M. and W.Meckling.1976, Theory of the Firm:Managerial Behavior, Agency Costs, and Ownership Structure, Journal of Financial Economics 3,305-360.
15高晓红：“从“股东至上”到“共同治理””,《货币金融评论》,2004(11)。
16刘丹：《利益相关者—与公司治理法律制度研究》,中国人民公安大学出版社2005年7月版,第38-47页。
17弗里曼：《战略管理：利益相关者方法》,上海译文出版社2006年版。
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19李维安:《公司治理学》,高等教育出版社2005年版。
20袁宜：《商业银行的公司治理：特殊性与治理安排》,社会科学文献出版社2008年版。
28郭大力等译,亚当·斯密：《国民财富的性质和原因的研究》,商务印书馆2002年版。
29伯利、米恩斯：《现代公司与私有财产》,台湾银行经济研究室编印1981年版。
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