银行间困境传染及系统重要性与脆弱性识别——基于DebtRank算法  

Inter-bank Distress Propagation and Identification of Systemic Impact and Vulnerability:Based on DebtRank Algorithm

作　　者：郑红[1] 包芮 黄玮强[1] ZHENG Hong;BAO Rui;HUANG Wei-qiang(School of Business Administration,Northeastern University,Shenyang 110169,China)

机构地区：[1]东北大学工商管理学院,辽宁沈阳110169

出　　处：《东北大学学报（自然科学版）》2023年第9期1349-1358,1368,共11页Journal of Northeastern University(Natural Science)

基　　金：国家自然科学基金资助项目(72171039,71771042);教育部人文社会科学研究项目(18YJCZH224);中央高校基本科研业务费专项资金资助项目(N2206008);辽宁省社会科学规划基金重点项目(L22AGL011).

摘　　要：基于我国各商业银行的银行间资产和银行间负债总体数据,利用最大熵法间接推断得到银行间借贷关联网络.在此基础上,利用DebtRank算法研究了单一冲击和共同冲击情形下我国商业银行损失困境的传染过程,进而衡量银行的系统重要性和系统脆弱性及其影响因素.研究结果表明,在特定情形下,银行损失困境给系统内其他银行造成的权益损失反而比银行违约造成的损失更大.我国商业银行没有位于“高脆弱性/强重要性”区域,表明我国银行体系较为安全.在影响因素方面,平均资产回报率对银行的系统重要性具有显著的负向影响,贷款拨备率、一级资本充足率和同业拆借率均对银行的系统重要性具有显著的正向影响;一级资本充足率和资产规模对银行的系统脆弱性均具有显著负向影响,同业拆借率对银行的系统脆弱性具有显著的正向影响.研究结果不仅有助于各银行了解自身处境,而且为金融监管提供依据.Based on the overall data of inter-bank assets and inter-bank liabilities of China’s commercial banks,the inter-bank borrowing-lending correlation network is inferred indirectly by the maximum entropy method,and the distress propagation process under a single shock or common shocks is investigated based on the DebtRank algorithm.The systemic impact and vulnerability of banks and their influencing factors are also investigated.The empirical results show that under certain circumstances,the negative results brought by bank distress are more severe than those brought by bank default.China’s commercial banks are not located in the area of“high vulnerability/strong impact”,indicating that China’s banking system is relatively safe.In terms of influencing factors,the average return on assets has a significant negative effect on banks’systemic impact,while the loan reserve ratio,the tier-one leverage capital ratio and the inter-bank lending volume have significant positive effect on banks’systemic impact.The tier-one leverage capital ratio and asset size have significant negative effect on the systemic vulnerability and the inter-bank lending volume has significant positive effect on the systemic vulnerability.The results not only help banks to understand their own situations,but also provide a basis for financial regulation.

关 键 词：困境传染 借贷关联网络 DebtRank 系统重要性 系统脆弱性 

分 类 号：F832[经济管理—金融学]