基于核心-边缘网络的中国银行风险传染  

Risk contagion of Chinese interbank markets based on core-periphery network

作　　者：杨海军[1] 胡敏文 

机构地区：[1]北京航空航天大学经济管理学院,复杂系统分析与管理决策教育部重点实验室,北京100191

出　　处：《管理科学学报》2017年第10期44-56,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71171010;71771006)

摘　　要：采用核心-边缘网络刻画我国银行间市场的网络结构,结合各银行同业往来资产和负债信息构建风险传染模型,对单个银行倒闭以及资产价格泡沫破灭两种情况下的传染过程进行模拟.研究发现,近年来我国银行系统的抗风险能力不断增强,但在所有银行中中国银行的风险传染程度最严重,应该加强对系统重要性银行的重视.同时,防范银行危机的关键在于控制资产价格泡沫,在合理的资产价格水平下,外界冲击难以对银行系统的安全性构成威胁.The core-periphery network is applied to depict the network structure of the interbank market in China. Combining interbank assets and interbank liabilities, a risk transmission model is built. Then the transmission process is simulated under two conditions： a single bank failure and the asset-price bubble burst. It is found that the risk resistance ability of the banking system has increased continuously in recent years. Among all the banks, Bank of China＇ s risk contagion degree is the biggest. The supervision department should pay attention to systematically important banks. Moreover, the key of preventing banking crisis is to control as- set price bubbles. At a reasonable level of asset price, financial shocks are difficult to pose a threat to the safety of the bankin~ system.

关 键 词：核心-边缘网络 风险传染 银行危机 鲁棒性 

分 类 号：F713.36[经济管理—产业经济]