风险传染、银行间市场骤冷及防范化解政策——基于金融网络模型视角  

Financial Contagion,Market Freezes,and Prudential Policies in the Interbank Market--A Network Perspective

作　　者：范中杰 何平[2] 刘泽豪 FAN Zhongjie;HE Ping;LIU Zehao(China School of Banking and Finance,University of International Business and Economics;School of Economics and Management,Tsinghua University;School of Finance,Renmin University of China)

机构地区：[1]对外经济贸易大学中国金融学院,北京100029 [2]清华大学经济管理学院,北京100084 [3]中国人民大学财政金融学院,北京100872

出　　处：《金融研究》2024年第2期38-56,共19页Journal of Financial Research

基　　金：对外经济贸易大学中央高校基本科研业务费用专项资金(21QD19,CXTD13-05);国家自然科学基金面上项目及青年科学基金项目(72373147,72003189)的资助。

摘　　要：银行间市场的局部风险,可能经由借贷网络蔓延为全局性风险。本文构建基于银行间借贷博弈的金融网络模型,发现风险传染会导致银行间市场出现多重借贷均衡。在均衡跳跃的临界点处,流动性冲击发生概率的微小增加,会导致银行间市场借贷规模大幅下降。这一机制可以解释金融危机中银行间市场骤冷现象。本文进一步研究公开市场操作、流动性监管、窗口指导等政策,结果表明,抵押品注入有助于缓解风险传染影响,流动性注入有助于提高借贷金额,流动性监管和窗口指导可服务于市场均衡转换和避免硬着陆。As one of the most important components of the financial market,interbank market stability is crucial to maintaining stability throughout the financial system and guarding against systemic risks.Sudden freezes in the interbank market are precipitous declines or near-stagnation in transactional activity.Such freezes pose a significant threat to market stability,as demonstrated by historical financial events.In 2007,the subprime debt problem affecting some United States banks expanded to affect the whole market through the interbank lending network;consequently,the interbank market transaction scale shrank significantly,and interbank lending with a slightly longer maturity period almost disappeared,a typical sudden freeze phenomenon.The liquidity problem caused by this sudden freeze of the interbank market led to a rapid amplification of the financial crisis and,eventually,a serious negative impact on the whole financial system.This paper establishes a financial network model to explicate the phenomenon of a sudden freeze in the interbank market through the lens of risk contagion.Within this network model,banks engage in mutual borrowing,with each bank facing independent liquidity shocks that may propagate throughout the banking system.Within the intricate structure of the lending network,banks internally negotiate and determine lending contracts.Our analysis reveals that risk contagion gives rise to multiple equilibria in the magnitude of bank lending.Notably,when the liquidity risk exceeds a threshold,the volume of transactions in the interbank market can decline suddenly and precipitously in response to a shift in the lending equilibrium.This finding offers a plausible explanation for the market freezes that occur during financial crises.To effectively intervene in interbank market freezes,prudential authorities can actively adjust collateral and cash in the market through open market operations.Collateral plays a pivotal role in mitigating bankruptcy risk contagion.Replacing cash with collateral of equivalent v

关 键 词：银行间市场 风险传染 均衡跳跃 系统性风险 市场骤冷 

分 类 号：F832[经济管理—金融学]