信贷违约冲击下银行系统性风险形成机制与动态演变研究——基于银行资产抛售行为的风险传染效应  

Research on the Mechanism and Dynamic Evolution of Bank Systemic Risk under the Loan Default Shock:Risk Contagion Effect Based on Bank Asset Selling Behavior

作　　者：张云 郭晨 文凤华[3] 孙雨辰 ZHANG Yun;GUO Chen;WEN Fenghua;SUN Yuchen(Shanghai University of International Business and Economics,201620;Shanghai Lixin University of Accounting and Finance,201209;Central South University,410083;Hubei University,430062)

机构地区：[1]上海对外经贸大学金融管理学院,201620 [2]上海立信会计金融学院金融学院,201209 [3]中南大学商学院,410083 [4]湖北大学商学院,430062

出　　处：《财贸经济》2024年第10期63-81,共19页Finance & Trade Economics

基　　金：国家社会科学基金重大项目“高水平开放背景下全球金融周期冲击与系统性金融风险防控研究”(22&ZD120);上海市哲学社会科学规划基金项目“特殊经济功能区定位下临港新片区金融开放与风险防范研究”(2021ZJB004)。

摘　　要：本文从资产非减值抛售和减值抛售双层抛售行为出发分析银行系统性风险形成机制,构建包含流动性枯竭和资不抵债两种系统性风险表现形式的风险传染模型,并利用2012-2020年39家银行相关数据测算信贷违约冲击下我国银行系统性风险的动态演变过程。结果证实:银行系统性风险随违约冲击加剧呈现“线性(风险缓释)→倒U型(风险传染)→线性(风险即时爆发)”变化;资产非减值抛售对信贷违约冲击下的系统损失吸纳能力增强,但风险传染效应逐年加剧,资产减值抛售是导致风险传染的重要因素;银行系统性风险表现为“相对稳健→资不抵债+流动性枯竭→资不抵债”的演化过程,部分流动性损耗通过资产减值抛售转化为资本损耗,使资不抵债逐年加剧。本文基于研究结论,为我国银行系统性风险定量研究和监管部门防范系统性风险提出参考建议。For a relatively long period,the booming real estate market has been an important driver of China's economic growth,but multiple rounds of policy stimulus have also led to the accumulation of real estate bubbles,shadow banking and other financial risks.The large amount of real estate loans held by the banking system has received much attention from regulatory authorities,and banks still have a concentrated credit exposure to the real estate industry.The sharp fluctuation of the real estate market will seriously affect the banking system.This paper studies the complex mechanism of how the systemic risk is caused by internal bank linkages,and the transmission pathways of risk contagion under different degrees of real estate credit default,and ultimately determines the dynamic evolution process of systemic risk in the banking system.The findings have important reference value for improving China's warning mechanism against systemic risk,formulating targeted rescue plans,and preventing financial crises.This paper analyzes the mechanism of banks'systemic risk from the perspectives of non-fire sale and fire sale,builds a risk contagion model that includes two forms of systemic risk:Liquidity exhaustion and insolvency,and uses the relevant data of 39 banks from 2012 to 2020 to measure the dynamic evolution process of Chinese banks'systemic risk under the loan default shock.The results show that with the intensification of shocks,the systemic risk of banks changes from linear(risk relief)to inverted U-shaped(risk contagion)and then to linear again(immediate outbreak of the risk).The ability of non-fire sale of assets to absorb the system loss under the impact of loan default is enhanced,but the risk contagion effect is intensified year by year.Fire sale is an important factor of risk contagion.The systemic risk of banks is manifested in the evolution process of“relatively stable to insolvency+liquidity depletion to insolvency”,and part of liquidity loss is transformed into capital loss through fire sale,which worsens

关 键 词：银行系统性风险 资产非减值抛售 资产减值抛售 信贷违约 

分 类 号：F832[经济管理—金融学]