经济状态演变与银行业系统性风险监管  

The Evolution of Economic State and the Supervision of Banking Systemic Risk

作　　者：宋凌峰[1] 何荣 马莹 SONG Lingfeng;HE Rong;MA Ying

机构地区：[1]武汉大学经济与管理学院、金融工程与风险管理中心 [2]武汉大学经济与管理学院

出　　处：《金融监管研究》2024年第6期40-56,共17页Financial Regulation Research

基　　金：国家社会科学基金一般项目“经济持续下行引致系统性金融风险的机制与宏观审慎政策研究”(项目编号20BJY235)的资助。

摘　　要：经济状态演变是引致银行业系统性风险的重要因素。本文使用引入时变转移概率的马尔科夫区制转移模型,将经济状态未来信息纳入系统性风险度量,探究经济状态的结构性转变和持续对银行业系统性风险的影响,并分析了不同类型银行受经济状态演变影响的差异。研究发现,经济状态演变通过利率和资产市值渠道对系统性风险产生影响,由扩张向收缩的经济状态结构性转变以及扩张期的持续,会提升系统性风险;而由收缩向扩张的经济状态结构性转变则有助于稳定系统性风险。研究还发现,银行业系统性风险受经济状态影响的主要来源是中小型银行。基于以上研究成果,本文建议监管部门应关注银行业系统性风险的顺周期特征,并结合受经济状态演变的影响程度,对不同类型银行制定差异化的监管措施。The evolution of economic state is an important factor of the banking systemic risk.This paper uses the Markov switching model with time-varying transfer probability,incorporates economic future state into the systemic risk measurement,explores the impact of structural shifts and duration of economic state on banking systemic risk,and analyzes the impact of evolution of economic state on different types of banks.This paper finds that the evolution of the economic state has an impact on systemic risk through interest rates and asset market value channels,the structural change of the economic state from expansion to contraction and the persistence of the expansion period will exacerbate the systemic risk,and the structural change of the economic state from contraction to expansion will help stabilize the systemic risk,and the main source of banking systemic risk affected by the economic state is small and medium-sized banks.Therefore,this paper suggests that regulators should pay attention to the pro-cyclical characteristics of banking systemic risk,and formulate differentiated regulatory requirements for different types of banks based on the degree of influence on the evolution of economic state.

关 键 词：系统性风险 经济状态 结构性转变 持续期 差异化监管 

分 类 号：F832[经济管理—金融学]