宏观经济动态波动对银行系统稳定性的影响  

The Influence of Macroeconomic Dynamic Fluctuations on the Stability of the Banking System

作　　者：范宏[1] 高倩倩 

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《系统管理学报》2017年第6期1104-1111,共8页Journal of Systems & Management

基　　金：国家自然科学基金面上项目(71371046)

摘　　要：全球金融危机以来,银行系统稳定性问题引起广泛关注。针对我国银行业面临宏观经济的动态波动,基于复杂网络理论,构建宏观经济动态波动下的银行同业拆借网络模型。研究结果表明,在各种宏观经济波动情况下,银行的投资回收期与银行的投资存款比对银行系统稳定性影响较大,投资回收期越短,越有利于银行系统的稳定。进一步,研究发现,在银行间拆借网络的连接度固定时,各种宏观经济波动下都存在最优的投资存款比。经比较分析发现,宏观经济呈下降趋势下,只有较小的投资存款比才能使银行系统稳定,而宏观经济呈上升趋势与随机情况下,每期最优投资存款比较接近。最后,探讨了不同宏观经济趋势冲击下银行的调控策略,对银行监管具有一定借鉴意义。The stability of banking system has caused wide concerns since the global financial crisis. Considering that China＇s banking sector is facing the dynamic fluctuations of macroeconomic, we construct an interbank network model based on the complex network theory. Our results indicate that the payback period of investment and the ratio between bank＇s investment and deposit have a profound influence on the stability of the banking system in the case of various macroeconomic fluctuations. In particular, the shorter the payback period of investment, the more conducive to the stability of the banking system. Through the analysis, we also find that when the interbank network connectivity is fixed, there is an optimal ratio between bank＇s investment and deposit under every maeroeconomic fluctuation. Furthermore, by comparing and analyzing the effect of the ratio on the stability of the banking system in different cases, we find that only a small ratio between bank＇s investment and deposit can make the banking system stable when the macroeeonomic is in downward trend case, while the ratio has little difference in both the random case and upward trend case. Finally, we explore the regulation strategies under different macroeconomic trends, which will be meaningful for the supervision of banking.

关 键 词：宏观经济动态波动 复杂网路 银行系统稳定性 投资回收期 

分 类 号：F830[经济管理—金融学]