摘要
影子银行体系引发的系统性风险最易以资金链断裂的方式爆发,而资金链断裂后一般以"挤兑"的形式爆发系统性风险。本文以D-D模型为基础,区别以往研究,首次建立了一个包含商业银行和影子银行两种异质节点的网络,以银行间同业业务和管道业务为研究对象,考察流动性充足与不足情况下,商业银行和影子银行网络系统性风险的传染过程。通过仿真实验,得到主要结论:在流动性充足情况下,影子银行增加了商业银行的系统性风险程度,影子银行通过商业银行同业业务缓释风险,商业银行同业关联规模越大,受风险传染的可能性越大;流动性不足使系统性风险程度增加,同时,影子银行的存在也增大了系统性风险程度,影子银行关联的规模越大,越容易将更多风险传染给商业银行。
In recent nomic structure and the years,the Chinese Shadow Banking System has emerged from both the adjustment of eco- reformation of financial system. On one hand, this shadow banking system, the scale of which expanded fast in a comparatively short-time period, has promoted the economic development and activated the financial market to some extent. On the other hand, due to the risk characteristics of its contents, the shadow banking system has become a hotbed for economic and financial risks to agglomerate. As a result, some significant issues, which include the development process of the banking shadow system, the operational characteristics, the connection with commercial Banks and the relationship between the risk transfer mechanism and the systemic risk, are not only seriously concerned by regulators and financial institutions, but also emphasized as worthwhile research subjects in the field of economics. This paper will carry out related research based on these issues. Through the recognition of the Chinese shadow banking system and based on the analysis of its development, this paper discussed the relation- ship between shadow banking system and risk, and has found the characteristics that the development of Chinese shadow banking banking system system is led by commercial banks. This paper has found that systemic risk triggered by the shadow is usually caused by the rupture of the capital chain and lead to ＂bank run＂, and further imitated the infection mechanism of risk through constructing the heterogeneous financial network system model which con- tains commercial banks and shadow banking system. This paper considers that the shadow banking system is significantly driven by commercial banks. The growing shadow banking system in China has been basically initiated by commercial banks to escape the regulatory control on credit expansion and to gain the abnormal profits from non-standard credit expansion through arbitrage activities of exploiting the policy discrepancies between different financial re
出处
《经济管理》
CSSCI
北大核心
2015年第8期109-119,共11页
Business and Management Journal ( BMJ )
基金
国家自然科学基金项目"我国的通货膨胀预期与通货膨胀动态机制研究"(71103082)
关键词
金融网络
影子银行
风险传染
financial network
shadow banking
risk contagion
