银行关联性与系统性金融风险:传染还是分担?  

Bank Interconnectedness and Systemic Risk: Contagion or Sharing?

作　　者：方意 刘江龙 FANG Yi;LIU Jianglong(National Academy of Development and Strategy,Renmin University of China;School of Management,Fudan University)

机构地区：[1]中国人民大学国家发展与战略研究院,北京100872 [2]复旦大学管理学院,上海200433

出　　处：《金融研究》2023年第6期57-74,共18页Journal of Financial Research

基　　金：国家自然科学基金项目(71973162,72173144)的资助。

摘　　要：银行通过持有共同的盯市资产在彼此间形成关联性,在遭遇负向冲击时,银行的资产抛售行为沿着这种关联性构成的网络传染,进而产生系统性金融风险。本文基于关联网络模型的理论分析和我国上市银行数据的实证分析发现,这一关联网络具有“稳健而脆弱”的特征:一方面,关联性具有风险传染效应,导致系统性风险升高;另一方面,关联性具有风险分担效应,通过抑制银行自身所受冲击来降低系统性风险。这种风险分担效应在银行盯市资产集中度高且遭遇大冲击时表现明显。小银行和资本不足的银行具有更强的风险传染效应,大银行与地理分散程度高的银行具有更强的风险分担效应。本文对监管当局在防范系统性风险时如何处理关联网络在稳健性与脆弱性之间的权衡,有一定的借鉴价值。Banks' common holding of mark-to-market assets can lead to their interconnectedness, and a negative shock-induced fire sale can give rise to risk contagion among such a network of banks, which is a main driver of systemic risk. We investigate how such interconnectedness drives systemic risk by using a theoretical network model and conducting an empirical analysis based on a sample of Chinese listed commercial banks.We find that the network is robust yet fragile. In our model, high interconnectedness among banks is equivalent to a high level of common risk exposure to the same asset class, and thus contributes more to systemic risk. We define this as the “risk contagion” effect of interconnectedness, which implies that the network is fragile. A high level of interconnectedness can also reduce banks' fire sales, as each bank holds each asset more lightly and thus will suffer fewer losses in a period of distress. Higher interconnectedness can therefore alleviate systemic risk by reducing the initial shocks received by each bank. We define this as the “risk sharing” effect of interconnectedness, which indicates that the network is robust. We also confirm that this risk sharing effect is only significant when a bank's mark-to-market asset portfolio is highly concentrated(a high HHI index), and when it faces large shocks. In contrast, if the portfolio is well diversified or the shock is small, the benefits of risk sharing will be weak, and then the risk contagion effect will dominate.Our empirical analysis provides further evidence in support of these theories. We collect data and our sample of commercial banks from WIND and the banks' financial report footnotes. For the baseline fixed-effects regression, we find a one standard deviation increase in interconnectedness leads to a 2.6% increase in systemic risk, indicating an overall risk contagion effect. In addition, when a bank's portfolio is highly concentrated and faces large shocks, the magnitude becomes-1.7%, indicating a risk sharing effect. We then use t

关 键 词：关联性 系统性金融风险 银行 风险传染 风险分担 

分 类 号：G21[文化科学—新闻学] G28[社会学] C32