银行间市场网络稳定性与系统性金融风险最优应对策略:政府控股视角  

Interbank Network Stability and Optimal Strategies to Deal with Systemic Financial Risk:Based on the Perspective of Government Shareholding

作　　者：王辉[1] 朱家雲 陈旭 WANG Hui;ZHU Jiayun;CHEN Xu(School of Finance,Central University of Finance and Economics;Research Center for Finance,Chinese Academy of Fiscal Sciences)

机构地区：[1]中央财经大学金融学院,102206 [2]中国财政科学研究院金融研究中心,100142

出　　处：《经济研究》2021年第11期100-118,共19页Economic Research Journal

基　　金：国家自然科学基金面上项目(71771224);国家自然科学基金应急管理项目(71850005)的资助。

摘　　要：本文创新性地将政府控股银行的议价能力量化为溢价倍数,将其与银行保留价格的自相关性共同引入银行间均衡交易价格形成机制,基于2017—2019年139家银行的银行间资产负债数据和股权结构数据,构建了中国银行间市场内生均衡交易网络。基于该网络,本文从金融系统交易效率和稳定性两个维度,量化分析银行关联度限制最优区间及各类政府救助政策效果,并提出系统性金融风险的最优应对策略。结果表明:(1)政府控股银行在同业市场上存在7%—14%左右的正溢价,市场波动剧烈时政府控股溢价倍数大幅增加,且政府直接控股银行溢价倍数增幅超过政府间接控股银行;(2)限制关联度对银行系统交易效率和稳定性的影响是非单调的,最佳限制范围在60—80家,事前对银行关联度进行适当限制可以提高政府救助政策效果;(3)危机的最优应对策略取决于当时的市场预期,市场恐慌时,救助濒临倒闭的系统重要性银行成本巨大,但可以使整个银行系统迅速恢复稳定,而市场预期相对乐观时,对幸存的政府控股银行注资则是最佳策略;(4)当政府控股银行发生极端风险时,溢价倍数发生变化,最优风险处置策略也随之改变。The financial crisis that broke out in 2008 had a huge impact on financial stability and economic development all over the world,making the systemic financial risk become the focus of the regulatory authorities and the academic community.Although China has not suffered a financial crisis in recent years,its financial system has experienced several shocks in recent years.With the increasing complexity of financial networks,risk events of small and medium-sized banks may evolve into systemic financial risks through the contagion amplification mechanism,which calls people’s great attention.Compared with Western countries,the government’s shareholding proportion in Chinese banks is higher,and the state-owned financial institutions are a key pillar for serving the real economy,preventing financial risks,and deepening financial reform.Therefore,we study the prevention and resolution strategies of China’s systemic risks from the perspective of government shareholding.We innovatively quantify the bargaining power of government-controlled banks into premium multiples and introduce the premium multiples together with the autocorrelation of bank reservation price after the occurrence of liquidity shock into the transaction price formation mechanism among banks.Based on interbank balance sheets and equity structure data of 139 banks from 2017 to 2019,we estimate the core characteristics of the interbank lending network using the exogenous maximum information entropy network,and construct the endogenous equilibrium transaction network(ETN)of China’s interbank market.Based on the ETN,this paper quantifies the optimal range of bank interconnectedness and the effects of various government bail-out policies from the two dimensions of transaction efficiency and stability of financial system,and gives the optimal coping strategies for systemic financial risks.The research results of this paper are as follows.Firstly,in the interbank lending market,government shareholding causes a positive premium effect,making it easier for

关 键 词：均衡网络模型 系统关联度 政府控股 银行系统稳定性 系统性风险处理策略 

分 类 号：F832.3[经济管理—金融学]