具有连接偏好银行间拆借网络的区域风险传染研究  

Regional Risk Contagion Research of Inter-bank Lending Networks with Connection Preference

作　　者：张晓黎 ZHANG Xiaoli(School of Statistics and Information,Shanghai University of International Business and Economics,Shanghai 201620,China)

机构地区：[1]上海对外经贸大学统计与信息学院,上海201620

出　　处：《软件导刊》2023年第10期156-163,共8页Software Guide

基　　金：上海市哲学社会科学规划一般项目(2019BGL003)。

摘　　要：根据中国151家银行在2019年的资产负债表数据,基于多主体模型模拟计算不同区域银行外部贷款在不同程度冲击时,同业双边贷借关系和金额联动变化的风险传染。通过提出局部迭代的交叉熵新算法,在大量银行间构建具有类型和区域连接偏好的拆借网络,根据拆借偏好形成的中国银行间拆借网络非全连通有较多聚簇。研究表明,银行内部流动性有条件调节银行受冲击后的抗风险能力,银行间流动性变化能提升外部流动性低或拆借关系少的小型银行抗风险能力;增加银行间拆借才能提升拆借关系多和外部流动性高的大型银行抵御冲击能力和抑制风险传染的破产范围。研究提供了监控各区域银行内外部流动性,制定有针对性调控政策的方法,以把握调控和救助时机。Based on the balance sheet data of 151 Chinese banks in 2019,a multi-agent model is used to simulate the risk contagion of chang⁃es in interbank bilateral lending relationships and amounts when external loans of banks in different regions are impacted to varying degrees.By proposing a new cross entropy algorithm with local iteration,a lending network with type and regional connectivity preferences is construct⁃ed among a large number of banks.The non fully connected lending network between Chinese banks formed based on lending preferences has many clusters.Research has shown that the internal liquidity of banks can conditionally regulate their risk resistance after being impacted,and changes in interbank liquidity can enhance the risk resistance of small banks with low external liquidity or limited lending relationships;In⁃creasing interbank lending can enhance the resilience of large banks with multiple lending relationships and high external liquidity,as well as suppress the scope of bankruptcy risk transmission.The study provides monitoring of internal and external liquidity of banks in various re⁃gions,by formulating targeted regulatory policies to seize the timing of regulation and rescue.

关 键 词：银行拆借网络 连接倾向 内外部流动性 多主体 风险传染 

分 类 号：F832[经济管理—金融学] C94[自然科学总论—系统科学]