宏观审慎政策对银行间风险传染的影响——基于中国银行业数据的实证研究  

Impact of Macro Prudential Policy on Interbank Risk Contagion——An Empirical Study Based on China’s Banking Data

作　　者：陈晓莉[1] 成硕 CHEN Xiao-li;CHENG Shuo

机构地区：[1]山东大学经济学院金融系,济南250100

出　　处：《金融论坛》2021年第12期29-38,78,共11页Finance Forum

基　　金：教育部人文社科基金一般项目(20YJA790003)“中国参与国际宏观审慎政策协调:成本收益与协调机制研究”;山东省自然科学基金面上项目(ZR2020MG039)资助。

摘　　要：本文以VAR-NETWORK模型为基础检验宏观审慎政策对银行间风险传染的作用效果。结果表明:中国银行间风险传染呈周期性波动,同业业务是银行间风险传染的重要渠道。资产规模较大的银行风险传染较低且对贷款价值比(LTV)政策更敏感;在周期上行阶段,央行需实施更紧缩的LTV政策才能有效控制银行间风险传染。这些结论为如何选择合适的政策时机、实施差别化宏观审慎政策及如何与货币政策协调等提供了决策参考和现实依据。Based on the VAR-NETWORK model, this paper tests the effect of macro prudential policy on the inter-bank risk contagion. The results show that China’s interbank risk contagion fluctuates periodically, and the interbank business is an important channel of the interbank risk contagion. Banks with larger assets have lower risk contagion and are more sensitive to loan to value ratio(LTV) policy;in the upward phase of the cycle, the central bank needs to implement a more tightening LTV policy in order to effectively control the inter-bank risk contagion. These conclusions provide decision-making reference and practical basis for how to choose appropriate policy timing, implement a differentiated macro prudential policy and how to coordinate with the monetary policy.

关 键 词：风险传染 宏观审慎政策 网络关联 系统性风险 

分 类 号：G28[文化科学]