信用风险转移对金融稳定性的影响机理——基于交叉持股的两部门模型  

The Effect Mechanism of Credit Risk Transfer on Financial Stability:Based on the Model of Two Sectors with Cross-shareholding

作　　者：王凤荣[1] 成倩[1] 张珊[1] 

机构地区：[1]山东大学经济研究院,山东济南250100

出　　处：《经济管理》2012年第4期105-113,共9页Business and Management Journal ( BMJ )

基　　金：国家社会科学基金项目"政府竞争;企业并购与产业整合的机制与效应研究"(11BJY148);山东省自然科学基金"我国企业并购的产业整合机制与效应研究"(2009ZRB02104);山东大学自主创新基金"产品创新与制度创新互动下的不动产证券化(REITS)研究--后金融危机时代的反思与中国的路径选择"(IFW09003)

摘　　要：信用风险转移市场对金融系统稳定性的影响是经济学界诉讼已久的问题,2008年世界金融危机的爆发使其更成为争论的焦点。本文结合我国市场发育条件和制度变迁特征,引入保险部门与银行部门不完全竞争及两部门交叉持股两个条件,进行模型构建与推导。得出结论,在两部门交叉持股条件下,信用风险的交易使风险在两部门之间得以分散,降低了风险的集中度,提高金融机构抵御突发风险的能力,有助于两部门的稳定;适当的信用风险转移市场对整体金融系统稳定性具有积极影响。Credit Risk Transfer （CRT） market resulted from the credit risk management needs. It was a type of financial innovation caused by demands. Bank has some advantages in business area and customer base, but it will cause concentration of credit risk, forms the so-called ＂credit paradox＂. Credit insurance and bank guarantee was an early credit risk transfer method to response ＂credit paradox＂. The explosion of the world financial crisis in 1980s presented a huge challenge to the global financial market participants, and then the huge market demand for credit derivatives appeared. In this context, the new credit risk transfer instruments such as credit default swaps came into being, credit risk transfer market has been rapid developing. To some extent, credit risk transfer could solve the problem of Credit Paradox existing in Banks. Due to the CRT market participants increasing quickly, and most of the national regulation rules on information disclosure not sound, the CRT market shows less transparent and more complex in distribution of credit risk. Thus whether the credit risk transfer market improving the financial stability or not is a matter of uncertainty. In this situation, to ex- plore the effect mechanism of CRT on financial stability has the theoretical significance. Moreover, in the back- ground that the subprime mortgage crisis triggering the global economy crisis since 2008, a study on this problem is also practical significant. This paper combines the conditions of Chinese market development and institutional change characteristics. On the basis of F. Allen, and E. Carletti （2005）, Zhang Wei （2010） model, two aspects of imperfect competitive insurance sector and two departments with cross-shareholdings are introduced. And then it builds the theoretical model. The model assumes an existing three periods （t = 0, 1, 2） economy system. There is an endowment which all departments can use for investment and consumption in this system. The financial system exists in two departments of th

关 键 词：信用风险转移 金融稳定 交叉持股 

分 类 号：F830.9[经济管理—金融学]