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欧债危机根源在银行

Sheila Bair 2011年11月04日

在欧洲的监管框架下,风险评估已变成由银行家们自己说了算。

    欧洲主权债务危机正在慢慢地将全球经济推回谷底。解决这场危机为什么这么苦难?答案再次归结为银行业过度承担的风险和它们所采取的杠杠率。10月末欧洲领导人终于说服银行业将手中的希腊债务减免50%,虽然希腊近期倡议的全民公决可能阻碍这一方案的实施。但债务重组也就只能进行到这个程度,因为欧洲银行业没有足够的资本金来消化未来的损失,国际货币基金组织(IMF)估计损失将达到2,800亿美元或更高。那么,为什么欧洲银行业的资本金会如此单薄?责任完全在欧洲银行业和它们的监管机构身上。

    银行业监管机构评估一家银行的资本金是否足以应对其贷款、投资和其他资产的损失时会考虑这些资产的风险水平。比方说,美国国债的风险低于无担保信用卡贷款额度(我们希望如此)。但实际操作有很大的灵活性,而且欧洲监管机构在这方面给予银行的空间也远大于美国。因此,从上世纪90年代中期开始,欧洲银行业就一直在下调潜在资产损失的估算值,如今依然声称它们的资产安全性是美国银行的两倍。

    欧洲采用复杂的巴塞尔协议II(Basel II),进一步激化了这个问题——巴塞尔协议II事实上是让银行高管自己来确定资产的风险水平。简直是幼稚。声称资产风险低符合银行高管的利益,因为这样银行就能实现杠杆率和净资产回报率最大化,进而提高高管的报酬和分红。事实上,即使是在大萧条时期,债务拖欠和违约增加,大多数欧洲银行仍然声称它们资产的安全正在提高。

    有美国联邦存款保险公司(FDIC)担保的美国银行业在如何确定资产风险水平方面受到更为严格的监管规范,同时资本金充足的银行须持有至少相当于资产总额5%的资本金,无论它们自认资产风险水平如何。因此,对于任何资产,无论是现金、美国国债、还是据称安全的按揭贷款,银行都必须至少持有相当于资产额5%的资本金。欧洲银行业没有此类“杠杠率”,而且巴塞尔协议II也允许它们将主权债券视为零风险资产。这就是它们累积了近3万亿美元主权债券的原因之一。

    去年,巴塞尔银行监管委员会(Basel Committee on Banking Supervision)终于批准了的3%国际杠杆率,尽管这一比例仍然过低。即便是这么低的要求,该委员会的研究发现全球仍有超过 40%的大银行都需要补充资本金。与此同时,欧洲银行管理局(European Banking Authority)正在将欧洲银行业的普通股权益资本比率提高到9%,大大高于巴塞尔协议II的2%标准,基本相当于新的巴塞尔协议III的标准。但即便是采用9%的标准,众多欧洲银行仍将保持极端的杠杆率,因为它们对风险所持的观点仍然相当乐观。

    作为补充,欧洲监管机构应该采用巴塞尔协议III的3%杠杆率,考虑到会计标准的不同所需要做出的调整,更好的选择是采用美国的5%标准。此外,欧洲银行管理局还应该采用更现实的损失估算值,以更接近国际货币基金组织和私营部门分析人士给出的数值。如果银行不得不接受股本被摊薄或暂时被国有化,那就接受现实吧。

    巴塞尔委员会需要行动迅速一点,采用由监管机构(而非银行)设立的风险衡量标准,贯彻于所有银行。美国监管机构犯过很多错,但由于我们保持了杠杆率要求并暂缓执行巴塞尔协议II ,由联邦存款保险公司担保的银行财务状况一直比其他金融机构更为稳健。银行的资本金标准不应由银行说了算。公众需要看到更完善的监管。银行监管机构应当恪尽职守,设立最低资本金要求就是它们的职责所在,而不是存在利害关系的银行高管们的职责。

    The European sovereign debt crisis is slowly driving the global economy back into the ditch. Why is this crisis so unresolvable? The answer comes back once again to excess risk taking and leverage in the banking sector. In late October, Europe's leaders finally persuaded the banks to take a 50% cut on the Greek debt they hold, although this agreement could be jeopardized by Greece's recent call for a referendum on its bailout package. But debt restructuring will get you only so far because Europe's banks do not have sufficient capital to absorb future losses, which the IMF estimates will be $280 billion or higher. And why are Europe's banks so thinly capitalized? That responsibility rests squarely with European banks and their regulators.

    When bank regulators assess the adequacy of a bank's capital to handle losses from its loans, investments, and other assets, they take into account the riskiness of those assets. For instance, an investment in U.S. Treasuries carries lower risk (we hope) than an unsecured credit card line. The process, however, is more art than science, and in Europe regulators have given their banks much more leeway in making those determinations than banks have in the U.S. As a result, since the mid-1990s European banks have continually lowered their estimates of likely losses on their assets and now say their assets are twice as safe as those held by U.S. banks.

    The problem has been exacerbated by Europe's adoption of a complex Basel II methodology, which essentially lets bank managers use their own judgment in determining the riskiness of their assets. That is naive. It is in a bank manager's interest to say his assets have low risk, because it enables the bank to maximize leverage and return on equity, which in turn can lead to bigger pay and bonuses. Indeed, even during the Great Recession, as delinquencies and defaults increased, most European banks were saying their assets were becoming safer.

    The U.S., which has tighter rules governing how FDIC-insured banks determine the riskiness of assets, requires well-capitalized banks to hold capital equal to at least 5% of total assets, regardless of how risky they think the assets are. So for any asset, be it cash, U.S. Treasury securities, or supposedly safe mortgages, banks must hold at least 5% capital against it. European banks do not have this kind of "leverage ratio," and Basel II has allowed them to treat sovereign debt as having zero risk. That is one of the main reasons they have loaded up on nearly $3 trillion of it.

    Last year the Basel Committee on Banking Supervision finally approved a still-too-low 3% international leverage ratio. Even at that permissive level, the committee's own research suggests that more than 40% of the world's largest banks would have to raise capital. At the same time, the European Banking Authority (EBA) is raising European banks' common equity capital requirement to 9%, a huge jump from the Basel II standard of 2% and roughly equivalent to the new Basel III standards. But even at 9%, a large number of European banks will continue to operate at extreme levels of leverage because of their rosy views of risk.

    European regulators should supplement this requirement with the Basel III 3% leverage ratio -- or even better, the U.S. 5% requirement, adjusting for accounting differences. The EBA should also use realistic loss estimates more in line with those of the IMF and private analysts. If banks have to accept dilution of their stock or temporary nationalization, so be it.

    The Basel committee needs to move swiftly to adopt standardized measures of risk set by regulators, not banks, and to consistently apply them across all institutions. U.S. regulators made many mistakes, but because we maintained our leverage ratio and delayed Basel II implementation, FDIC-insured banks have remained much more stable than other financial institutions. Bank capital standards should not be an insider's game. The public deserves better. Bank regulators should do their job, and it is their job, not the job of conflicted bank managers, to set minimum capital levels.

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