资产证券化的宏观审慎监管——基于网络模型的模拟研究  

The Macro-prudential Supervision of Securitization——Network Model-based Simulation Study

作　　者：晏富贵[1] 倪志凌[2] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061 [2]交通银行,上海200122

出　　处：《当代经济科学》2015年第5期44-51,125,共8页Modern Economic Science

摘　　要：银行系统具有复杂网络结构的特征,外部冲击对于银行系统稳定性的影响也和银行网络的拓扑结构有密切联系。本文通过建立银行体系的网络模型,基于现实数据进行模拟分析,研究在不同情况下资产证券化的引入对银行系统稳定性的影响,在此基础上探讨宏观审慎监管问题。研究发现:(1)在资本充足率一定的情况下,银行网络平均连接度和网络的传染频率、传染范围之间,呈现出"M"型的关系;(2)在网络平均连接度一定的情况下,银行网络的传染频率、传染范围和资本充足率之间,呈现出单调递减的关系;(3)在发展程度不同的金融市场中,随着资产证券化的引入和发展,银行网络的系统风险传染频率和传染范围呈现不同的规律,因此不同的市场应当采用不同的措施降低系统性风险;(4)在引入资产证券化等创新业务后,必须在增加银行网络平均连接度的同时,增加资本充足率,并辅以其他手段,才能有效降低系统性风险的传染频率和风险传染范围。The banking system has the feature of having a complex network structure. The impacts of external shock on the stability of the banking system are closely related to the topology of the banking network.This paper constructs the network model of the banking system and conducts simulation analysis based on real data to study the effects of the introduction of asset securitization on the stability of banking system in different circumstances and probe into macro-prudential supervision based on it. The research finds that:( 1) when the capital adequacy ratio is certain,a M-typed relationship exists among the average connection degree,the contagion frequency and contagion scope of banking network;( 2) when the average connection degree of the network is certain,a monotonous and diminishing relationship exists among the contagion frequency,the contagion scope and capital adequacy ratio of banking network;( 3) in the financial market of different development degrees,with the introduction and development of asset securitization,the contagion frequency and contagion scope of the systematic risks in banking network have different laws. Therefore,different markets should adopt different measures to reduce systematic risks;( 4) after the innovative businesses like asset securitization are introduced,the contagion frequency and contagion scope of the systematic risks can be efficiently reduced by raising the average connection degree of banking network,increasing capital adequacy ratio and other means.

关 键 词：资产证券化 金融网络模型 银行系统稳定性 宏观审慎监管 

分 类 号：F832.51[经济管理—金融学]