中国银行业系统性风险的演变:降价抛售传染视角  

Evolution of Systemic Risks in China’s Banking Sector: From the Perspective of Sell-off Spread

作　　者：葛鹏飞[1] 黄秀路[2] GE Pengfei;HUANG Xiulu(Northwest University,710127;Xi'an Jiaotong University,710049)

机构地区：[1]西北大学经济管理学院 [2]西安交通大学金禾经济研究中心

出　　处：《财贸经济》2019年第2期66-83,共18页Finance & Trade Economics

摘　　要：基于手工整理的中国32家银行2007—2016年的细分资产数据,利用持有共同资产间接关联网络模型,本文从银行体系、银行资产和个体银行三个层面,分别构建了系统性风险指标、系统重要性资产指标、系统重要性银行指标、系统脆弱性银行指标来进行实证分析。研究发现:中国银行体系的系统性风险整体表现出上升趋势,同时银行体系对系统性风险的承受能力也在不断提高。从资产端来看,制造业贷款、个人住房贷款等是影响最大的系统重要性资产。从银行端来看,除国家规定的"五大行"以外,兴业银行、浦发银行等大型股份银行也应纳入系统重要性银行。个体银行的系统脆弱性在总体数值和波动程度上差异较小,但农业银行、兴业银行、浦发银行、招商银行的系统重要性和系统脆弱性都较高,需警惕冲击引发的"联动"风险现象。进一步研究表明,个人住房贷款、个人信用卡业务、权益工具业务对银行系统重要性和系统脆弱性的影响在逐步增强。本文把脉中国银行业系统性风险的事实特征,对针对性地制定防范化解系统性风险的宏观审慎政策具有指导意义。Based on the manually collected data of 32 Chinese banks from 2007 to 2016,this paper applies the indirect association network model to conduct empirical analysis on the banking system,bank assets and individual banks by constructing indices of systemic risks,systemically important assets,and systemically important banks,respectively.Results show that the Chinese banking system faces increasing systemic risks on the whole,but is increasingly resistant to them at the same time.As to the asset end,manufacturing loans and personal housing loans are the most influential systemically important assets.As to the bank end,apart from the top five state-owned banks,China Industrial Bank and Shanghai Pudong Development Bank should be counted as systemically important banks too.Despite the small discrepancies of systemic vulnerability in figures and volatility among individual banks,it should be aware that the Agricultural Bank of China,China Industrial Bank,Shanghai Pudong Development Bank and China Merchants Bank are all highly systemically important and vulnerable and thus might trigger “associated” risks.Further analysis shows that personal housing loans,personal credit business and equity investment business exert growing impact on the systemic importance and vulnerability of banks.This paper captures the factual characteristics of systemic risks faced by China's banking sector and thus serves as a reference for developing targeted macro-prudential policies to prevent and resolve systemic risks.

关 键 词：系统性风险 间接关联网络模型 系统重要性 系统脆弱性 

分 类 号：F832[经济管理—金融学]