基于证券资产抛售的我国金融市场风险传染效应研究  

Assessing Contagion Effects of China's Financial Market Based on Securities Fire Sales

作　　者：廖为鼎 Liao Weiding

机构地区：[1]中国人民银行广东省分行

出　　处：《应用经济学评论》2024年第3期161-188,共28页THE APPLIED ECONOMICS REVIEW

摘　　要：本文构建一个模型框架,讨论金融机构面临风险冲击下,基于损失最小化目标选择最优证券资产抛售组合,进而通过资产价格渠道引发的金融市场风险传染效应。在此基础上,运用我国证券市场交易数据,以及289家商业银行的财务数据,评估证券资产抛售在我国金融市场潜在引发的风险传染效应。研究发现,信用风险、流动性风险冲击均可能引起金融市场较大规模的证券抛售损失,流动性风险冲击的潜在影响更大;小规模的信用风险冲击、中等偏小规模的流动性风险冲击下,风险传染过程将经历较多轮次、传染效应呈现阶段性发散特点;信用风险和流动性风险冲击引发的风险传染可能相互加强,同时考虑两类冲击时的风险传染效应,大于独立冲击时的传染效应之和。This paper builds a framework for modelling financial contagion effects through the asset price channel,where financial institutions face risk shocks and choose the optimal securities portfolio to sell in order to minimize fire-sale losses.We use the trading data of China's financial market and the financial data of 289 commercial banks to assess the potential contagion effects of securities fire sales in China's financial market.We find that credit risk and liquidity risk shocks may generate significant securities fire-sale losses in the financial market;liquidity risk shocks have a greater potential impact.Under small-scale credit risk shocks and medium-to-small-scale liquidity risk shocks,the contagion process will go through many rounds,and the contagion effect will show the characteristics of phased divergence.Financial contagion triggered by credit and liquidity risk shocks may reinforce each other;the combined shocks'effects are greater than the sum of either shock's effects in isolation.

关 键 词：间接关联 资产价格 市场深度 多维背包问题 

分 类 号：F832.5[经济管理—金融学]