摘要
目前国内外很多的实证研究及仿真实验均发现了银行网络系统中的风险传染现象,并研究了网络结构与风险传染的关系,但这种风险的多级传染机理仍未阐明。首先,本文构建银行网络系统,定义银行清算比率、威胁系数、溢出效应,通过清算比率计算银行系统中的违约银行集合;然后,根据违约银行集合计算威胁系数,在威胁系数的基础上计算每个银行的溢出效应;最后,基于银行的溢出效应,理论分析得出银行违约引起的多级传染机理。传染机理表明,传染的发生只与违约银行间的网络结构有关,与安全银行连接的网络结构无关。银行的多级传染溢出效应与其传染路径上每家银行的溢出效应有关,银行的溢出效应越大,传染影响越强,传染级数越多。通过对2018年中国违约银行溢出效应的研究发现,龙江银行、国民银行、贵阳银行及承德银行为溢出效应最大的四家银行,它们的违约对整个中国银行网络的风险传染的影响最大。
Since the 2007-2009 financial crisis,preventing the occurrence of financial risks has become an important financial goal of all countries.At present,many empirical studies and simulation experiments have found the phenomenon of risk contagion in the banking network system and studied the relationship between network structure and risk contagion,but the mechanism of risk contagion is still unclear.Firstly,a banking network is constructed and the bank clearing ratio,threat index,and spillover effect are defined in this paper based on EN network clearing model.After that,default bank set in the banking system is calculated according to clearing ratio and the threat index is calculated based on the set of defaulting banks.The spillover effect of each bank is determined based on the threat index,and the multi-stage contagion mechanism caused by defaulting banks.It is found that a bank's clearing ratio measures its solvency and is related to its debtor bank,while a bank's threat index reflects the contagion ability of a bank's default risk and is related to its creditor bank.The risk contagion of the banking system is related to the spillover effect of each bank.A large spillover effect means that there are more stages of contagion and a stronger effect.An empirical analysis using balance sheet data of 194 banks in China from 2015 to 2018 is conducted to estimate the real Chinese bank default spillovers.It is found that the number of default banks in China has decreased and total liquidity has increased year by year from 2016 to 2018.Furthermore,Longjiang Bank,National Australia Bank,Guiyang Bank,and Chengde Bank are revealed to be the four banks with the largest spillover effects and the greatest impact on the risk contagion of the banking network of China in 2018.Regulators are recommended to focus on these four banks first in supervision of the banking network system in China.
作者
范宏
陈乃熙
FAN Hong;CHEN Nai-xi(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China)
出处
《中国管理科学》
CSCD
北大核心
2023年第6期39-48,共10页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71971054)
上海市自然科学基金资助项目(19ZR1402100)
中央高校基本科研业务费专项资金
东华大学研究生创新基金资助项目(CUSF-DH-D-2022056)。
关键词
银行网络结构
债务违约风险
威胁系数
溢出效应
多级传染机理
banking network structure
debt default risk
threat index
spillover effect
multi-stage contagion mechanism
