空间维度视角下的系统性金融风险生成机制研究  

Research on the Generation Mechanism of Systemic Financial Risk from the Perspective of Cross-Sectional Dimension

作　　者：方意[1] 杨勇 宋鹭[2] Fang Yi;Yang Yong;Song Lu(Central University of Finance and Economics,Beijing 102206,China;National Academy of Development and Strategy,Renmin University of China,Beijing 100081,China)

机构地区：[1]中央财经大学金融学院,102206 [2]中国人民大学国家发展与战略研究院,100081

出　　处：《南开经济研究》2022年第9期151-168,共18页Nankai Economic Studies

基　　金：国家自然科学基金面上项目“金融周期视角下的中国银行业系统性风险防范与化解研究”(基金号:71973162);国家自然科学基金面上项目“金融文本大数据与银行业系统性风险:指标构建、应用与评估整合”(基金号:72173144);国家社会科学基金项目“央行数字货币对货币政策实施和传导的影响机制研究”(基金号:21BJL031)的资助。

摘　　要：对于系统性风险而言,现有研究重点关注金融体系的风险水平,忽视了单家金融机构的作用和系统性风险发生的条件。本文利用全新的网络模型,构建了空间维度系统性风险相关指标(系统重要性银行和系统脆弱性银行)及系统性风险的两道“防线”指标。研究发现,①系统脆弱性银行指标存在“断崖式下降”和“平台式波动”两种特征,系统重要性银行指标存在“脉冲式跳跃”和“平台式跳跃”两种特征;②系统脆弱性银行指标排序结果对冲击大小较为敏感,系统重要性银行指标排序结果较为稳定,其中,工商银行、中国银行、农业银行和建设银行的系统重要性较大;③同一影响因素对系统性风险相关指标的影响方向,可能随着冲击大小的改变而改变;④初始杠杆率、资产规模、直接关联性和间接关联性是系统脆弱性银行指标的主要影响因素,初始杠杆率、资产规模和直接关联性是系统重要性银行指标的主要影响因素。For systemic risk,the existing research focuses on the risk level of the financial system,ignoring the role of a single financial institution and the conditions for the occurrence of systemic risk.Using a new network model,this paper constructs the crosssectional systemic risk related indicators(systemic important bank and systemic vulnerable bank)reflecting the role of a single financial institution and two"defense"indicators of systemic risk.It is found that:①There are two characteristics of"cliff decline"and"stable period"in the indicators of systemic vulnerabel bank,and there are two characteristics of"pulse jump"and"platform jump"in the indicators of systemic important bank;②Under different shocks,the ranking results of the indicator of systemic vulnerabel bank is more sensitive to the magnitude of the shock,the ranking results of the indicator of systemic important bank are more stable,the GS Bank,ZG Bank,NY Bank and JS Bank are more systemic important;③The influence direction of the same influencing factor on systemic risk related indicators may change with the change of impact size;④Initial leverage ratio,asset size and direct relevance are the main factors affecting systemic vulnerabel bank indi-cator.Initial leverage ratio,asset size,direct relevance and indirect relevance are the main factors affecting systemic important bank indicator.

关 键 词：空间维度系统性风险 外生冲击 传染机制 直接关联 间接关联 

分 类 号：F832[经济管理—金融学]