Saturday, August 23, 2014
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改善巴塞尔

罗马—巴塞尔协议本是为了保护储户和普罗大众免受银行不当行为的伤害,但也加重了2008年金融危机所触发的经济颓势。在整个危机中,随着商业信心的蒸发,银行被迫出售资产、削减信贷,以维持巴塞尔协议规定的资本要求。信贷冻结导致了GDP和就业率的暴跌,而资产大甩卖则造成了进一步的衰退。

我和卡马西(Jacopo Carmassi)的最新研究《设置银行监管权正逢其时》(Time to Set Banking Regulation Right)指出,巴塞尔银行规则允许大型国际银行使用过度杠杆、承担过多风险——在某些案例中,银行可以累积相当于权益资本四五十倍之多的总负债——这不但埋下了危机的种子,而且颇为讽刺地起到了火上加油之效。

危机过去后,世界领导人和央行行长改善了银行监管,最主要的措施就是修订巴塞尔审慎规则。不幸的是,新的巴塞尔III协议及其后的欧盟资本要求指令(EU Capital Requirements Directive)并没能纠正国际审慎规则的两大主要缺陷——即对用银行风险管理模型计算资本要求的依赖以及对监督者缺乏可问责性。

这一缺陷的最新写照是比利时-法国联营的德夏(Dexia)银行在2011年的倒闭——彼时它刚刚胜利通过欧洲银监局的压力测试。银行的偿债能力比率透明度太低,这使得监管者干脆闭上双眼任由银行承担过度风险。

问题在于,巴塞尔资本规则——不论是巴塞尔I、II还是III——都对识别疲软银行和坚挺银行毫无帮助。事实上,在2008年金融危机中接受援助的银行中不乏偿债能力比率好于不需援助银行者。

让问题更加复杂的是,银行资本比率的多样性也表明了国际竞争平台的重大扭曲——金融市场的竞争条件越来越多地给予各国应用规则的自由裁量权。与此同时,资本指标的不透明导致市场纪律无法起作用。

于是,大银行可以继续持有过少的资本、承担过度的风险,增加金融不稳定性再次爆发的可能性。为了克服这些国际银行监管方面的缺陷,我们需要采取三大补救措施。

首先,资本要求应该被设置为普通股对总资产的直观比率,从而避免参考银行自己的风险模型。新资本比率要求应该被设为总资产的7—10%,以抑制银行家承担风险的冲动并将随银行系统信心缺失而来的大规模去杠杆化的实际经济冲击最小化。

其次,新资本比率要求应设置多个递减的资本阈值,各阈值触发递增的严厉纠正动作,以此作为新的指令性监督行动系统。监督者应受到他们将采取行动的假设的制约。他们可以争辩说在某具体案例中必须要采取行动,但必须公开作如是论,从而为他们的不作为负责。为了根除道德风险,新系统必须有一个在银行资本不能满足最低阈值时将其关闭的方案程序。

最后,偿债能力比率应该有所补充——通过让银行承担发行大量无抵押可转换债务(100%由其自有资本做支持)的义务来实现。这笔信用债的设计应该为银行管理者和股东提供极大的发行股票而不是接受债转股的激励。

这三项措施如能对所有银行适用,将能消除出台治理流动性和融资的特别规则的需要(将受监督者审查,但没有强制性约束),对银行活动和经营的特别限制也将失去必要性。

目前,审慎银行规则的政策考虑的最显著特征是委托巴塞尔银行监督委员会和银行本身来制定规则,这两者都是现行系统的既得利益者。各国政府和议会有义务对巴塞尔规则予以彻底审视,要求他们做出与公共利益一致的修订。

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  1. CommentedLudwig van den Hauwe

    One can always say, in retrospect, that a bank that runs through its usable capital cushion was overleveraged, but one of the mysteries with respect to the financial crisis is that the banks, even when they were accumulating relatively low-yielding PLMBS/CDOs because of the capital relief they offered under Basel I and the Recourse Rule, apparently weren´t using this capital relief to increase their leverage, which remained steady (in the aggregate) during the years before the crisis. One possible answer is that banks, by using capital arbitrage to obtain capital relief, were expanding their "extra" prudential capital cushion by lowering the legally mandated capital floor (keeping their leverage levels steady) since capital devoted to the extra cushion is necessary in the face of an unpredictable future, while capital devoted to the legal cushion is wasted, or at least, its buffer function is limited. And of course the ultimate causes of the crisis lie deeper; as long as the financial and monetary sectors are organized along collectivist planning principles, there will be crises and recessions...

  2. CommentedRoman Bleifer

    The banking system is not an isolated individual sector of the economy. Banking system of the stock markets are like communicating vessels. You can not adjust the level in one of the vessels by the same rules, and the level in the other by different rules if those rules are not compatible. Because of this, attempts to remove the banking sector, the speculative component of the system without changing the stock markets are doomed to failure. The present system of stock market works on itself, and not on the real economy. And the economy can not develop without a reliable system of redistribution of investment. The situation is close to a deadlock and no systematic change in this area has no solution. ( http://crisismir.com/analiticheskie-materialy/ekonomika/54-chto-god-gryadushhij-nam-gotovit-prognoz-na-2012-god-i-ne-tolko.html ) If these changes do not hold consciously, it will make the global crisis. but then the way is through a huge collapse of the stock market itself.

  3. CommentedGraham Hodgson

    Regulation of banks now focuses primarily on bank solvency, the adequacy of their assets for backing banks' liabilites to their depositors. But assets come under strain because of the requirement on banks to engage in a daily scramble for liquidity through the inter-bank lending markets to meet their payment settlement obligations to their customers. This is a system which evolved in the days when scarce gold was the means of final settlement and what little there was had to be kept in constant circulation within the payments system. But final settlement is now through central bank reserves and there is no physical constraint on the availability of these. The crisis-prone banking system would be rendered immediately more robust by removing customers' transactions accounts (demand deposits) from banks' balance sheets and relocating them directly to the central bank, with commercial banks being charged with merely administering these accounts on their customers' behalf.

  4. CommentedProcyon Mukherjee

    A brilliant article that summarizes the essence of banking leverage and how public interests could be balanced. I am attracted to the final remedy that has been prescribed, which directly works against the fundamental driver of risk behavior in banks, Return on Equity. By one to one conversion of debt to equity it is this parameter that would be impacted most, and which Bank Management had tried to diligently work on as bulk of the incentives are tied to preserving the lower value of the denominator, rather than the increased value of the numerator in the ROE.

    Procyon Mukherjee

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