基于信用风险和流动性风险的银行市场结构对银行市场均衡的影响模型  

Modelling the Effect of Bank Market Structure on Bank Market Equilibrium Based on Credit Risk and Liquidity Risk

作　　者：陈其安[1] 黄悦悦[1] 高国婷[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《系统工程》2011年第8期26-32,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(70772100);中央高校基本科研业务费资助项目(CDJRC1102001;CDJSK100208)

摘　　要：借鉴Lucchetta提出的银行市场结构表示方法和研究思路,在假设信用风险和流动性风险都是不由银行自身决定的外生变量的条件下,以信用风险和流动性风险的不同组合表征银行市场结构,以自身收益最大化为银行决策目标,建立恰当的数学模型从理论上研究银行市场结构对银行市场均衡的影响。研究结果表明,在以信用风险和流动性风险度量的任何集中度的银行市场中,都既存在使银行市场运行良好的市场结构,也存在使银行市场体系崩溃的市场结构;当银行市场结构变量位于某个区间时,不同的流动性风险分布和不同的银行集中度将对银行市场均衡产生显著不同的影响。要使银行市场体系持续健康运行,就必须保持合理的银行市场结构。This paper sets up an appropriate mathematical model to theoretically research the effect of bank market structure on bank market equilibrium with maximizing return as banks＇ decision objective,according to Lucchetta＇s idea that the market structure of banks represents research methodology and approach,under the hypothesis that credit risk and liquidity risk are exogenous variables which are not determined by banks themselves,through various combinations of credit risk and liquidity risk to express the bank market structure.The research results show that：（1） there exists bank market structures making bank market system work well and collapse respectively in bank market system with any concentration degree of credit risk and liquidity risk,and（2） different distributions of liquidity risk and different concentration degree of credit risk and liquidity risk have significantly different effects on the equilibrium of bank market system when variables of the bank market structure are in some interval.In order to make the bank market system work well,reasonable bank market structure must be maintained.

关 键 词：信用风险 流动性风险 银行市场结构 银行市场均衡 

分 类 号：F830[经济管理—金融学]