资产负债表关联、价格关联与银行间风险传染  

Interbank Financial Contagion Based on Direct Relations of Balance Sheets and Assets Price

作　　者：王占浩[1] 郭菊娥[1] 薛勇[1,2] 

机构地区：[1]西安交通大学管理学院,陕西西安710049 [2]西安银行金融市场部,陕西西安710075

出　　处：《管理工程学报》2016年第2期202-209,共8页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71173169)

摘　　要：在马君潞等(2007)以及高国华和潘英丽(2012)对银行间风险传染研究的基础上,引入资产价格传染渠道,构建银行间风险传染模型,收集了75家主要银行2011年年报的数据,对我国银行间风险传染的特征和机制进行研究,并考察了多个小银行联合倒闭是否会引发系统性银行危机。研究表明:(1)资产价格关联是银行间风险传染的重要渠道,应作为系统性重要金融机构评定的重要参考,并纳入宏观压力测试的分析框架。(2)随着价格冲击系数和违约损失率的增加,银行间的风险传染的危害程度有跳跃性的增加,风险传播速度加快。(3)工商银行的单独倒闭会引起大规模的银行倒闭,具有系统重要性,建设银行、农业银行以及中国银行具有一定的风险传染性。中小银行的联合倒闭具有风险传染性,但是传染范围和概率都很小。研究结果对我国评定系统重要性金融机构和实施宏观审慎监管具有一定的参考意义。As the backbone of financial system in China, banks play a key role in affecting financial stability. Interbank contagions, which typically begin with a collapse of one institution and spread through the whole system, pose a great threat to financial stability. ＂Money shortage＂ incidence in the interbank market in June 2013 highlights the effect of contagion on financial stability. Therefore, it is important to investigate characteristics and mechanisms of interbank contagion in order to make suggestions for regulation.Based on the studies of Ma（2007） and Gao（2012） on interbank contagion, this paper introduced a new channel-asset price model to understand interbank contagion and constructed a more practical model of interbank contagion. Data used in this study are 2011 annual reports of 75 main banks in China. A simulation was conducted based on the assumption that risk positions of every bank are exposed to each other in a complete structure of interbank markets. First, contagion effects caused by collapse of individual bank are stimulated separately. The results show that the collapse of ICBC will lead to large-scale bankruptcy of banks. The individual collapse of Industrial and Commercial Bank of China, Agricultural Bank of China or Bank of China will cause some banks to become insolvent. In contrast, the solo insolvency of other banks will not trigger contagion. The contagion effect is much stronger than that of findings in the studies of Ma etc.（2007） and Gao etc.（2012）. The channel of asset price is an important intermediary for contagion. Additional robustness analysis shows that as price impact coefficient and loss given default increase, the aftermath of contagion is increased via accelerated contagion speed. Second, we simulated the contagion effect caused by synchronous failure of several small and medium-sized banks. The results show that joint failures of small-sized banks are not infectious. However, when a medium-sized bank is added, joint failures of banks become contagious eve

关 键 词：风险传染 银行危机 系统重要性金融机构 资产负债表关联 

分 类 号：F832[经济管理—金融学]