银行违约风险是系统性的吗  

Is Bank Default Risk Systematic?

作　　者：覃邑龙[1] 梁晓钟[2] 

机构地区：[1]清华大学理论经济学博士后流动站,北京100084 [2]中国银行业监督管理委员会,北京100140

出　　处：《金融研究》2014年第6期82-98,共17页Journal of Financial Research

基　　金：中国博士后科学基金第55批面上一等资助(编号2014M550037)

摘　　要：本文基于2006年第4季度至加13年第1季度14家商业银行的非平衡面板数据,分别利用运用会计信息的Z分数方法和基于LMV模型的违约距离来表示银行的违约风险,研究银行违约风险与银行业风险及金融市场风险的关系。结果表明,我国银行业违约风险既具有异质性,又具有系统性。中国银行违约风险,对银行自身经营产生影响,更重要的是它还能引发银行业的连锁反应系统性风险和整个金融市场的系统性风险。从本文的实证研究结果中,我们可以得到一些对中国银行业进行宏观审慎监管的有益启示。银行监管机构可以将银行业违约率的大小作为宏观审慎监管的一个重要预警指标。This paper examines the relationship between bank default risk, bank systemic risk and overall systematic risk based on an unbalanced panel data of 14 commercial banks in China for the period from the fourth quarter of 2006 to the first quarter of 2013, respectively by using the accounting information Z - scores and default distance from KTV model to represent the bank default risk. The results show that the default risk in China＇s banking industry is idiosyncratic, systemic and systematic. The risk of default in the bank industry of China not only influences the efficiency of banking, and more importantly, it can trigger a chain reaction of systemic risk and the whole financial market systemic risk. Furthermore, we find some other macro - prudential regulation implication from this paper. Bank regulators can use the bank default risk as the early warning indicator and add it to the macro - prudential regulation framework.

关 键 词：Z分数 违约距离 异质性风险 系统性风险 

分 类 号：F832.33[经济管理—金融学] F224