我国银行间市场的风险传染效应研究  

Research On The Contagion Risk Effect Of China's Interbank Market

作　　者：彭寿康[1] 陈超[1] 

机构地区：[1]浙江工商大学金融学院,杭州310018

出　　处：《哈尔滨商业大学学报（社会科学版）》2011年第6期57-62,共6页Journal of Harbin University of Commerce:Social Science Edition

基　　金：浙江工商大学金融研究中心2011年度重点课题

摘　　要：次贷危机表明,由于银行相互间风险暴露的存在,使得风险极易在整个银行体系内传染,进而产生一系列银行连续倒闭的"多米诺效应"。使用2008年到2010年我国上市银行的年报数据,利用矩阵法研究了我国银行间市场风险传染效应。结果发现,我国银行间市场发生风险传染的可能性并不大,且只有大银行才可能成为潜在的风险传染源。The subprime crisis indicates that,the existence of the interhank exposure makes contagion risk could be easily spread over the whole banking system,hence causing a series of hanks to go bankruptcy,which is so called ＂domino effect＂. This paper uses data from China＇ s listed banks＇ annual report from the year 2008 to 2010,and by using the matrix method to estimate the contagion risk effect of our interbank market. The research finds out that,there is hardly no poesibility for our interbank market u） have contagion risk,and only large banks could become the potential source of interhank risk contagion.

关 键 词：多米诺效应 矩阵法 银行间市场 风险传染 

分 类 号：F832[经济管理—金融学]