存量流量一致框架下中国银行体系网络抗毁性研究——基于资产价格波动冲击  

The Invulnerability of China's Banking System under the Stock-Flow Consistent Framework——Based on the Asset Price Fluctuation

作　　者：温博慧[1] 李向前[1] 袁铭[2] 

机构地区：[1]天津财经大学经济学院 [2]天津财经大学理工学院

出　　处：《财贸经济》2015年第9期46-60,共15页Finance & Trade Economics

基　　金：国家自然科学基金青年项目"复杂网络结构下货币量值的系统性金融风险测控体系构建研究"(71103126)的阶段性研究成果;天津市"131创新型人才"培养计划;天津财经大学优秀青年学者培育计划(YQ1204)的支持

摘　　要：本文结合货币主义存量流量一致分析框架和未定权益分析法,从兼容宏观审慎中宏微观与时间截面两组维度的角度,研究了资产价格波动冲击下中国银行网络抗毁性。研究表明:(1)网络自然连通度能够较好地反映中国银行体系网络抗毁性程度的动态变化。后危机时代中国银行体系网络的脆弱性程度仍不容忽视。(2)网络抗毁性特征在不同冲击分配策略下的异质风险场景中不尽相同。相对不同属性资产的冲击而言,固定资产价格和银行部门股价的波动对网络抗毁性会形成较强冲击。在选择性冲击分配策略中的强强分配子策略下,中国银行体系的网络抗毁性程度最差,其抗毁性承受能力比对全部节点等分配冲击时更为脆弱。本研究对于复杂金融网络的系统性风险管理具有重要意义,并可为宏观审慎建模和监管提供有益参考。Based on the stock-flow consistent framework and contingent claims analysis, and from two aspects, which are macro and micro view containing macro-prudential regulation and time section, this paper studies the invulnerability of China＇s banking system under the asset price fluctuation. The study shows that： （1）the natural connectivity of network can well reflect the dynamic change of China＇s banking system invulnerability, and the vulnerability in post-crisis era is also very important in China; （2）the characteristic of network＇s invulnerability is different in heterogeneous risk situation of different impact allocation strategy. Compared to the impact of different asset attributes, the fluctuation of fixed asset price and banking sector stock price has stronger impact on invulnerability. In the meantime, the invulnerability of China＇s banking system is the worst under strong allocation sub-strategy of selective impact allocation. The study is important for systemic risk management of complex financial network, and is useful for macro-prudential modeling and regulation.

关 键 词：存量流量一致 未定权益分析法 自然连通度 抗毁性 银行体系 

分 类 号：F832.3[经济管理—金融学]