基于资产负债表关联的银行系统性风险研究  

Financial Interlinkages and Contagion Risk in the Interbank Market in China

作　　者：高国华[1] 潘英丽[1] 

机构地区：[1]上海交通大学安泰经济管理学院,上海200052

出　　处：《管理工程学报》2012年第4期162-168,共7页Journal of Industrial Engineering and Engineering Management

基　　金：国家社会科学基金重点资助项目(09AJY003);教育部应急课题资助项目(2009JYJR037)

摘　　要：应用61家银行2009年年报数据对基于资产负债表关联的银行间市场双边传染风险进行研究,从信用违约和流动性风险角度对传染路径和资本损失进行估测,并深入分析银行间市场的不同结构对传染效应的影响,此外,本文还应用负二项式计数模型对系统重要性银行和易被传染银行的微观特征进行实证检验。研究得出:(1)在"完全分散型"市场结构假设下,我国银行间市场传染性风险极小;当考虑交易主体集中度并假设"相对集中型结构"时,系统性风险和传染效应将上升;当考虑违约风险和流动性风险联合冲击时,资本损失和风险传染的范围显著扩大。(2)大型国有银行处于银行间资本流动的中心环节,尤其中国银行和工商银行是传染风险发生的重要诱导来源。(3)影响银行在拆借市场中系统重要性的因素有银行类型、资产规模和风险头寸;而影响银行易受传染性的因素有银行类型、资本充足状况和风险暴露程度。Since the global financial crisis occurred in 2007, systemic risk study has raised interests from both regulatory institutions and academic field. Based on data collected from 61 banks, this paper estimates the danger of contagion in the interbank market in 2009 and calculates the contagion path and capital loss from credit default and liquidity risk aspects. We also analyze the effect of market structure on contagion risk. Furthermore, we conduct an empirical study on micro-characteristics of systematic banks and contagious banks, and provide some suggestions on government surveillance. Firstly, we assume a complete structure of interbank markets to calculate the minimum of contagion risk. We find that under different default loss rates the failure of all developing banks, joint-owned banks and city commercial banks does not have contagion effect. Only the Bank of China and the Industrial and Commercial Bank have the contagion effect and asset loss accounts for 1.2%. The state-owned banks and joint-owned banks are major players in the interbank market structure. We further assume that city banks lend and borrow money only from developing banks, state-owned banks and joint-owned banks. We find that under this relatively concentrated structure the number of bank failures and capital losses from contagion effect increase significantly. We also consider the combined shock of credit default and liquidity risk. Since banks cannot finance from the failed bank they need to sell parts of liquidity assets and use fire-sail in order to create a good balance sheet. We find that under the combined effect of default credit and liquidity risk, the number of failed banks and capital losses from contagion effect also increase significantly. Finally we conduct an empirical study on micro-characteristics and influencing factors, such as assets, risk exposures and non- performing loans of systematic banks and contagious banks. We find that bank types, assets and risk exposures are main factors to identify systemic banks. In addit

关 键 词：银行系统性风险 传染 同业拆借市场 

分 类 号：F832[经济管理—金融学]