债务违约对银行系统性风险的传导机制与效应研究  

Research on the Transmission Effects of Debt Default on Bank Systemic Risk

作　　者：张庆君 曹亚威 ZHANG Qingjun;CAO Yawei

机构地区：[1]天津财经大学金融学院

出　　处：《金融监管研究》2025年第2期1-19,共19页Financial Regulation Research

基　　金：教育部项目“强监管防风险视角下债务风险与银行体系双向溢出的机制、监测与防范研究”的资助,项目编号:24YJA790088。

摘　　要：本文从银行风险管理的视角出发,运用双重差分模型系统研究了上市公司债务违约曝光前后对银行系统性风险的影响。研究发现,企业债务违约显著提高了银行的系统性风险水平,在考虑内生性以及进行稳健性检验后该结论仍然成立;机制检验表明,债务违约事件主要通过降低银行资本充足率、扩大负面市场预期和提高银行间风险传染三条途径显著提高了银行系统性风险水平;异质性检验发现,债务违约对银行系统性风险的正向作用在投资者情绪低落、银行盈利能力较弱以及高信用风险水平的样本中更显著。综上所述,债务违约不仅会直接冲击银行的资产质量,还会通过改变市场参与者的心理预期与银行间的风险传染,间接影响银行系统的稳健性。因此,有效的监管政策不仅需要关注银行的财务健康状况,还需考量市场情绪与信息传播效率,以实现对系统性金融风险的全面防控。This paper examines the impact of listed companies' debt default exposure on systemic risk in the banking system from the perspective of bank risk management.It employs a difference-in-differences(DID)model to systematically study this effect before and after corporate debt defaults.The ffndings reveal that corporate debt defaults signiffcantly increase the level of systemic risk in banks,and this conclusion holds even after controlling for endogeneity and conducting robustness tests.Mechanism analysis indicates that debt default events mainly increase the level of systemic risk in banks through three channels:reducing capital adequacy ratios,expanding negative market expectations,and increasing interbank risk contagion.The results of heterogeneity test ffnd that the positive impact of debt defaults on bank systemic risk is more pronounced in samples where investor sentiment is low,bank profftability is weak,and credit risk levels are high.In summary,debt defaults not only directly affect the asset quality of banks but also indirectly impact the stability of the banking system by altering the psychological expectations of market participants and increasing interbank risk contagion.Therefore,effective regulatory policies need to focus not only on the ffnancial health of banks but also on market sentiment and the efficiency of information dissemination to achieve comprehensive control over systemic ffnancial risks.

关 键 词：金融监管 金融稳定 债务违约 银行风险 

分 类 号：F832[经济管理—金融学]