房地产贷款损失与银行间市场风险传染——基于金融网络方法的研究  

Real Estate Loans Default and Interbank Market Risk Contagion——Based on Financial Network Analysis

作　　者：孙艳霞[1] 鲍勤[2] 汪寿阳[2] 

机构地区：[1]东北财经大学社会与行为跨学科研究中心,大连116025 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理评论》2015年第3期3-15,共13页Management Review

基　　金：国家自然科学基金重点项目(70933003)

摘　　要：本文利用金融网络方法构建完全连接和中心-边缘结构的银行间市场网络,研究由房地产贷款损失引发的银行间市场风险传染的动态过程及影响因素。研究表明:若不考虑银行间关联,我国单个银行抵御房地产贷款损失能力较强;若考虑银行间关联,则相同程度的房地产贷款损失会引发大规模的银行风险传染;中心-边缘结构的银行间市场网络更易发生大规模风险传染;与大银行相比,小银行的破产受房地产贷款损失的直接冲击较小,受银行间风险传染的影响较大。This paper constructs a completely-connected interbank network and a center-periphery structured interbank network by using the method of financial network,and studies the interbank market risk contagion caused by the default of real estate loans and the key influencing factors. The results suggest that the default of real estate loans would have a moderate direct impact on China's individual bank; however,it will probably cause a large-scale risk contagion in banking system when considering interbank linkages. Moreover,a center-periphery network structure will be more vulnerable to risk contagion,and the bankruptcy of small banks would be less related with the direct impact of the default of real estate loans but more related with the interbank risk contagion compared with large banks.

关 键 词：银行间市场网络 系统风险 房地产贷款 

分 类 号：F832.45[经济管理—金融学]