问题银行的处置策略研究——基于MABM的计算机模拟  

Study on the resolution strategies of failing banks—Simulation based on MABM

作　　者：史攀 范小云 王博 SHI Pan;FAN Xiaoyun;WANG Bo(Postdoctoral Research Station,Shenwan Hongyuan Securities Co.,Ltd.,Shanghai 200031,China;School of Mathematical Science,Fudan University,Shanghai 200433,China;School of Finance,Nankai University,Tianjin 300350,China)

机构地区：[1]申万宏源证券有限公司博士后科研工作站,上海200031 [2]复旦大学数学科学学院,上海200433 [3]南开大学金融学院,天津300350

出　　处：《系统工程理论与实践》2023年第11期3167-3181,共15页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(17ZDA074);国家自然科学基金(72073076)。

摘　　要：银行在经济中具有特殊地位,更好地处置问题银行是守住不发生系统性风险底线的要求,也是实现第二个百年目标的保证.本文通过宏观经济多主体建模构建虚拟经济系统,并利用计算机模拟自救、收购承接以及政府救助等三种处置策略.研究发现问题银行的系统重要性是影响不同处置策略效果的重要因素.对于非系统重要性银行,政府救助虽然能够在短期内带来高产出与低失业率,然而这会扭曲经济激励机制,在长期内将导致经济波动率升高、金融系统更加不稳定.对于系统重要性银行,如果政府任由其破产,不仅会出现流动性危机,更会导致金融机构级联违约、爆发系统性金融危机.据此建议政策当局科学合理地评估银行的系统重要性,采用市场化的手段处置非系统重要性银行,同时给有系统性风险威胁的问题银行施加援助,分类施策、精准拆弹,维护好金融系统的稳定.Banks play a crucial role in the economy.Ensuring efficient resolution of failing banks is essential to prevent systemic risks and achieve the Second Centenary Goal.We have constructed a virtual economic system using a macroeconomic agent-based model and employed computer simulations to explore three strategies for addressing troubled banks:Bail-in,purchase and assumption,and bailout.Our findings indicate that the systemic importance of failing banks is a key factor in determining the effectiveness of different resolution strategies.For banks that aren’t deemed systemically important,a bailout might boost output and reduce unemployment in the immediate term.However,it can skew economic incentives,ultimately heightening economic fluctuations and undermining the stability of the financial system in the longer horizon.In contrast, allowing systemically important banks to go bankrupt not only provokes a liquiditycrisis but also triggers cascading defaults and financial crisis. Thus, we advise regulatory bodiesto evaluate the systemic significance of banks through a methodical and balanced approach. Forbanks not of systemic importance, market-driven solutions should be pursued. Meanwhile, directinterventions should be reserved for faltering banks that present systemic threats.

关 键 词：自救 收购承接 政府救助 MABM 

分 类 号：F830[经济管理—金融学] F323