金融风险传染机制研究——基于中国上市银行数据的模拟  

A Study on Financial Contagion:A Simulation Based on the Chinese Banking Sector Data

作　　者：马骏[1] 何晓贝 MA Jun;HE Xiaobei(National School of Development,Peking University)

机构地区：[1]北京大学国家发展研究院,北京100091

出　　处：《金融研究》2021年第9期12-29,共18页Journal of Financial Research

基　　金：中国金融四十人论坛的课题资助。

摘　　要：本文基于中国上市银行的资产负债表数据建立了金融风险传染模型,对金融风险通过价格渠道传染的过程进行推演。模型根据金融市场数据校准了主要债券资产的需求曲线,模拟银行面临资本充足率约束条件下的最优抛售行为,有助于解决现有文献微观基础不足的问题,并为监管机构建立宏观审慎压力测试模型提供研究参考。本文模拟结果和政策含义如下:(1)银行的资产结构和金融市场深度都是影响金融风险传染的重要因素,过去几年随着我国金融市场深度的增加,金融风险传染的强度有所降低;(2)单个银行的最优行为在整个系统中可能会加剧金融风险的传染效应;(3)金融风险的演化呈非线性,判断风险的阶段对于监管部门至关重要。The debt to GDP ratio has increased significantly worldwide in the post Covid-19 era,makingmaintaining financial stability a great challenge to regulatory authorities globally.As conventional stress testing models do not consider the contagion of financial risks and thus tend to underestimate the impact of shocks on financial resilience,the central banks in advanced economies have started to develop macroprudential stress test models with specific focus on financial contagion channels.However,studies on the contagion effects within China's banking sector remain very limited.This paper aims to fill this gap and lay the foundation for China's macroprudential stress test framework.Based on the granular balance sheet data of listed Chinese banks,we present a micro-founded model to capture the financial contagion effects within the Chinese banking sector.We focus on the mark-to-market price channel of fire sales,as it is proven to be a critical contagion channel during financial crises.We calibrate the demand curves of multiple asset classes using the bond data,model banks'optimization problems in fire sales with regulatory constraints and simulate the model to exogeneous shocks.Specifically,we model both the first-round and the second-round effects of financial risks spreading in the banking sector.The first-round effect is the direct impact of a shock on banks,characterized by banks'losses(e.g.,credit losses)and the changes in banks'capital adequacy ratios due to the losses.The second-round effect is the financial contagion effect that arises from banks'responses.When a bank breaches its capital requirement due to the initial shock,it has to sell financial assets to boost the capital adequacy ratio.This behavior causes mark-to-market losses of other banks with common asset holdings,which may cause them to breach capital requirements and start another round of fire sale.That depresses asset prices further and generates greater mark-to-market losses.The second-round effect is the contagion channel through which financ

关 键 词：金融风险传染 资产抛售 宏观审慎压力测试 

分 类 号：F832[经济管理—金融学]