外部冲击下系统性金融风险的生成机制  

The Formation Mechanism of Systemic Financial Risk under External Shocks

作　　者：方意[1] 荆中博[2] Fang Yi;Jing Zhongbo(School of Finance,Central University of Finance and Economics;School of Management Science and Engineering,Central University of Finance and Economics)

机构地区：[1]中央财经大学金融学院 [2]中央财经大学管理科学与工程学院

出　　处：《管理世界》2022年第5期19-35,71,共18页Journal of Management World

基　　金：国家自然科学基金项目(72173144、71973162、71801117、71703182);2020年度国家社科基金重大项目(20&ZD101);中央财经大学青年科研创新团队支持计划(“中国金融部门系统性风险与金融稳定政策”)的支持。

摘　　要：本文将降价抛售传染机制和破产传染机制同时纳入到银行网络模型中,以研究变动冲击下的风险生成机理。特别地,本文构造了适合分析多轮传染、不同冲击下的时间维度以及机构、资产空间维度系统性风险相关指标,并创新性构建度量机构之间、资产之间的间接关联性指标。研究发现,不同力度的冲击作用下,由于大量银行去杠杆或者存在银行破产现象而导致系统性风险呈现跳跃式上升趋势。在小冲击下,主要通过去杠杆降价抛售传染机制生成风险,大冲击下则主要通过银行破产传染机制生成风险。影响因素方面,银行体系间接关联性越强、银行杠杆偏度越低以及杠杆水平越高,银行业系统性风险越大。特别地,杠杆偏度指标对系统性风险的影响作用比杠杆水平指标更强。In this paper, both the contagion mechanism of fire sale and bankruptcy are incorporated into the model, which can study the formation mechanism of systemic financial risk under varying shocks. This paper constructs several risk indicators, called time-dimensional indicators, banking cross-sectional indicators and assets’ cross-sectional indicators. Specifically, we construct the indirect interconnection indicators between different banks and between different assets. The results show that, under the impact of different shocks, systemic risk has a jump upward trend due to many banks’ deleveraging or bank bankruptcy. The contagion mechanism of fire sale plays an important role in risk driving under small shocks, while the contagion mechanism of bankruptcy plays a major role in large shocks. In terms of influencing factors,stronger indirect correlation of banking system, lower skewness of bank leverage, and higher leverage level contribute to higher systemic risk of banking system. Specifically, leverage skewness indicator has a stronger impact on systemic risk than leverage level indicator.

关 键 词：系统性金融风险 外部冲击 银行监管 直接传染 间接传染 

分 类 号：F832[经济管理—金融学]