价格冲击、资产抛售与银行网络系统性金融风险  

Price Shocks,Fire Sale and Systemic Financial Risk in the Banking Network

作　　者：周爱民 赵业翔 ZHU Aimin;ZHAO Yexiang(Nankai University,300350)

机构地区：[1]南开大学金融学院,300350

出　　处：《财贸经济》2023年第10期40-56,共17页Finance & Trade Economics

摘　　要：基于价格冲击下银行网络的直接损失特征,本文建立了多轮资产抛售(MR-FS)模型,构建了可内嵌于理论模型中的系统性风险相关指标,分析了银行间直接关联传染和间接关联传染过程,探讨了“网络和机构”双视角下资产抛售全链条机制,进而对价格冲击下中国银行网络系统性金融风险微观生成机制进行研究。研究发现,系统性金融风险是否显著积累的关键在于市场风险传染与资产抛售主体、个体抛售行为之间的交互作用。其中,小冲击下以小型银行系统去杠杆抛售为主的传染机制不会显著积累系统性风险;大冲击下以大、中型银行系统破产抛售为主的传染机制会跳跃式积累系统性风险。在传染风险来源方面,系统性脆弱集是外部风险的直接“放大器”,系统性传染集是抛售传染风险的主要风险来源。在风险影响因素方面,银行风险指标对系统性风险的影响效力与价格冲击大小显著相关。进一步研究发现,防范化解系统性风险需要重点关注网络脆弱性(包括杠杆水平和杠杆偏度)和规模集中度(包括资本的向上、向下集中度)。本文的研究为间接关联理论下系统性风险生成机制提供了中国视角下的经验证据,为监管部门开展异质性监管、识别抛售风险来源提供了理论依据。The banking industry in China has a highly complex overlapping asset structure,which represents a potential""initial shock amplifier,"but existing literature rarely examines the systemic risk in the banking industry from the perspective of overlapping assets as the basis of indirect connectedness.This paper establishes a Multi-Round Fire-Sale(MR-FS)model based on the characteristics of direct losses of the banking network under price shocks.The theoretical model embeds indicators related to systemic risk and analyzes the direct and indirect contagion between banks.The whole-chain mechanism of fire sales is discussed from the perspective of the network and that of institutions to study how the systemic risk is generated in China's banking structure.This paper contributes to the existing literature in three aspects.(1)In terms of model design,the"deleveraging behavior and bankruptcy behavior"are incorporated into the theoretical framework proposed by Detering et al.(2022),and the direct losses are separated from indirect losses to highlight the essential characteristics of systemic risk generation.(2)In terms of research perspective,the fire-sale simulation experiments under different price shocks provide us with an empirical understanding of the micro-generation mechanism of systemic risk.(3)In terms of risk indicators,this paper goes beyond the research on risk measurement from a single institution's perspective.Instead,this paper constructs risk indicators from the perspective of the institution set that can measure the degree of individual bank's contribution to risks and can be embedded in theoretical models.The findings are as follows.(1)In terms of spatiotemporal characteristics,the systemic risk indicators of China's banking network under price shocks exhibit a two-stage time-varying trend:The systemic risk was higher from 2007 to 2013 and significantly declined from 2014 to 2021.(2)In terms of risk generation mechanisms,as the intensity of price shocks increases,the individual behavior choices gradually tr

关 键 词：价格冲击 资产抛售 系统性金融风险 MR-FS 

分 类 号：F832[经济管理—金融学]