基于银行动态多层网络的系统性风险防控政策效果研究  

Research on the effect of systemic risk prevention and control policy based on dynamic multilayer network of banks

作　　者：李守伟[1] 王虎 刘晓星[1] LI Shouwei;WANG Hu;LIU Xiaoxing(School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]东南大学经济管理学院,江苏南京211189

出　　处：《管理工程学报》2022年第4期164-176,共13页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71671037;71971055);江苏省第十六批“六大人才高峰”高层次人才培养项目(JY-004);江苏省社会科学基金项目(19GLC005)。

摘　　要：本文基于构建的银行动态多层网络模型,刻画了系统性风险多渠道传染机制,进而模拟分析了宏观审慎政策和货币政策以及两者结合对银行系统性风险的控制效果。研究结果表明,更严格的流动性监管要求和市场约束要求降低了银行资产过度扩张带来的系统性风险。债券利率及其波动均会对银行系统产生影响,一定程度的债券利率波动会降低银行系统性风险,而当债券利率波动高于一定程度时,则会增加银行系统性风险。较高市场流动性水平能够降低银行系统性风险,但当市场流动性水平低于一定程度时,市场流动性水平对银行系统的负面影响会显著增加。宏观审慎政策和货币政策结合比单一货币政策对银行系统的影响更加显著,并且能降低债券利率波动和流动性风险对银行系统的负面影响。相比保证金制度,提高中央清算比例降低银行系统性风险的效率更高。The financial system is a complex system composed of many subsystems.Different financial entities form complex financial connections through different financial markets.The high degree of interconnection among financial institutions improves the efficiency of the financial system,however,it also provides a channel for financial risk contagion at the same time,reduces the stability of the financial system and increases the probability of systemic risks.The report of the 19th National Congress of the Communist Party of China and the Central Economic Working Conference proposed that“keeping the bottom line of preventing systemic financial risks and combining prevention and resolution of financial risks with better service to the real economy”,and put forward the framework of the two pillar policies“Monetary policy+Macro prudential policy”.In recent years,China has gradually liberalized the derivatives market.The high risk of the derivatives market makes it play an important role in preventing the occurrence of bank systemic risks.Ignoring the derivatives market will seriously underestimate the bank systemic risks.Therefore,this paper analyzes the impact of the combination of macro prudential policy and monetary policy on the banking system from the perspective of multi-level financial simultaneous interpretation of the banking system,with the purpose of comprehensively and accurately analyzing the risk contagion mechanism among different contagious channels and financial markets,as well as the impact of different regulatory policies and monetary policy tools on the banking system.In the first section,we present the bank behavior on the basis of the balance sheet,which involves five financial markets:bonds,securities,interbank lending,derivatives and other investments.Based on the constructed balance sheet,the bank is taken as the node and the interbank relationship as the edge.The interbank relationship includes interbank lending relationship,derivatives transaction relationship and common assets holding rel

关 键 词：动态多层网络 系统性风险 金融市场 宏观审慎 货币政策 

分 类 号：F830[经济管理—金融学]