摘要
本文基于共同资产的价格波动研究银行违约的直接效应和间接效应,研究发现:变现费用和资本缓冲率会影响银行的实际支付水平,其中变现费用的增加导致违约损失非线性增长,而资本缓冲率的提高能有效延缓违约损失传染;共同资产销售的间接效应远大于资产关联的直接效应;资产注入和非流动资产直接购买的救助方法对于防范系统性风险发生都是有效的,但前者侧重于缓解资产关联的直接效应,后者侧重于防范资产销售的间接效应。
Based on the fluctuation in the price of common assets, this paper presents an analysis of the direct effect and indirect effect of bank default. It is found that the realization cost and the capital buffer rate affect the actual payment of banks, and the increase in realization cost will lead to the non-linear growth of default loss, but the rise in capital buffer rate will effectively delay the contagion of default loss; the indirect effect of common asset sale is far greater than the direct effect of asset relation; the adding assets and the bailout pattern of buying non-current assets are effective in preventing systemic risk, but the former focuses on alleviating the direct effect of asset relation, and the latter focuses on the indirect effect of asset sale.
出处
《金融论坛》
CSSCI
北大核心
2017年第8期35-45,共11页
Finance Forum
基金
国家自然科学基金青年项目(61403181)
华侨大学人文社会科学研究基地基金
"四个一批"人才自助选题资助
关键词
共同资产
同业业务
资产价格波动
网络风险传染
政府救助
common asset
inter-bank business
fluctuation in asset price
network risk contagion
government bailout
