银行网络结构与系统性金融风险传染  

Bank network structure and systemic financial risk contagion

作　　者：杨科[1,3] 王健辰 田凤平 YANG Ke;WANG Jianchen;TIAN Fengping(School of Economics and Finance,South China University of Technology,Guangzhou 510006,China;International School of Business and Finance,Sun Yat-sen University,Guangzhou 510275,China;Pazhou Lab,Guangzhou 510330,China)

机构地区：[1]华南理工大学经济与金融学院,广州510006 [2]中山大学国际金融学院,广州510275 [3]人工智能与数字经济广东省实验室(广州),广州510330

出　　处：《系统工程理论与实践》2024年第7期2120-2136,共17页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72201284,71991474);教育部人文社会科学研究规划基金(22YJA790077);广东省基础与应用基础研究基金(2024A1515011002);中央高校基本科研业务费专项资金(QNTD202305)。

摘　　要：随着我国银行业资金规模和成员数量的不断增加,愈发复杂的机构间关联网络逐渐成为潜在的风险传染渠道.本文采用GARCH-Copula-CoVaR模型测算了16家上市商业银行在系统性金融风险中的贡献规模,结合网络拓扑理论和滑动窗口法研究了银行网络结构特征的演化趋势,并进一步分析了银行网络结构对系统性金融风险传染的影响机制.研究结果表明:虽然银行部门“去中心化”效应愈发显著,网络稳定性和抗风险能力整体上得到改善,但仍应重视网络结构特征在系统性金融风险产生及辐射过程中起到的多重作用;处于网络中不同风险传染地位的银行同时满足宏微观审慎监管要求的难度存在较大差异,对极端风险敏感且在银行网络中扮演核心角色的银行更倾向于向整个系统输出更多风险,通常在风险传染过程中起主导作用;在危机时期,网络密度通常会出现剧烈变化,关联网络的稳定性失衡进一步加速了系统性金融风险的传染.本研究可为监管部门实时更新系统重要性银行名单和全面监管风险传染渠道提供思路,对提升金融市场抵御风险的能力以及防范和化解系统性风险等方面都具有重要的现实意义.With the expanding capital scale and membership in China’s banking industry,the increasingly complex inter-institutional network has emerged as a potential risk contagion channel.Employing the GARCH-Copula-CoVaR model,this paper measures the contribution of 16 listed commercial banks to systemic financial risk.Integrating network topology theory and the sliding window method,we study the evolution of banking network structure characteristics and analyze their influence on the transmission mechanism of systemic financial risk.While the“decentralization”effect of the banking sector has grown significantly,enhancing overall network stability and risk resistance,it remains crucial to recognize the diverse roles played by network structure characteristics in systemic risk generation and radiation.Banks in different risk contagion positions are key players in the contagion process.Banks in different risk-transmitting positions face varying challenges in meeting both micro-prudential and macro-prudential requirements.Banks sensitive to extreme risks and occupying central roles in the network are inclined to export more risks to the entire system,often leading in the risk transmission process.During crises,network density undergoes drastic changes,and imbalances in relationship network stability expedite the contagion of systemic financial risk.This study proposes ideas for regulators to update the list of systemically important banks in real time and comprehensively supervise risk contagion channels,significantly enhancing the financial market’s resilience to risks and mitigating systemic risks.

关 键 词：银行网络结构 系统性金融风险 影响机制 

分 类 号：F830.9[经济管理—金融学] O212.8[理学—概率论与数理统计]