系统性风险与宏观审慎监管——基于美国银行业的实证研究
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引用本文:高志勇.系统性风险与宏观审慎监管——基于美国银行业的实证研究[J].财经理论与实践,2010,(3):12-18
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作者单位
高志勇 (厦门大学 国际经济与贸易系福建 厦门361005) 
中文摘要:后危机时期,国际金融界开始反思金融监管体制的弊端,加强基于系统性风险的宏观审慎监管,维护金融稳定成为今后改革的方向。以2009年初美联储进行压力测试的美国18家大银行为研究对象,对其风险波动率和系统性风险予以度量。实证研究表明,2007年次贷危机爆发起,美国银行业的系统性风险从低谷走向高峰,至今虽有所缓释,但仍高于危机前的水平。因此,金融监管目标框架应该是:以控制系统性风险为中心,加强宏观审慎监管,保持微观审慎监管,确保金融体系的安全与健康。
中文关键词:系统性风险  宏观审慎监管  美国银行
 
Systemic Risk and Macro prudential Regulation: Empirical Research on U.S. Banks
Abstract:In the later period of subprime crisis, there has been a consensus in the international financial field strengthen the macro prudential regulation, so as to prevent from systemic risk and reach financial stability. The paper measures the risk volatility and systemic risk of 18 banks, which had accepted stress test in early 2009. Our research demonstrates that the systemic risk has risen to a peak since 2007, although it has relieved to a specified level, which is still much higher than that before the crisis. Based on the results, we propose that the ideal framework of financial regulation is mainly to control the systemic risk, strengthen the macro prudential regulation, and keep on the micro prudential regulation, in order to guarantee the safety and fitness of the financial system.
keywords:Systemic risk  Macro prudential regulation  U.S. banks
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