摘要
当前,中国银行系统稳定性仍未明显改善,商业银行的不良贷款比例再次上升,债券市场违约事件增加以及股票市场下跌。首先,根据在险价值(CoVaR)模型对中国银行系统稳定性的评估结果显示,在金融去杠杆的影响已传导至实体部门的背景下,在商业银行受到个体性冲击时,单家商业银行的个体损失以及平均风险溢出率均未呈现改善;在商业银行受到系统性冲击时,五大国有商业银行抗击系统性风险的能力虽然依然强于其他银行,但其优势正在缩小。此外,根据网络模型的分析,虽然中国金融机构间同业网络整体稳定性有一定改善,但五大商业银行的稳定性值得特别关注。
At present,the stability of China’s banking system is not improved significantly.The proportion of non-performing loans in commercial banks has risen again,the number of defaults in the bond market has been increased and the stock market has fallen.First of all,it is shown from the evaluation results of the stability of China’s banking system based on the value at risk(CoVaR)model that under the background that the influence of financial deleveraging has been transmitted to the real economy,when commercial banks are subject to individual shocks,the individual losses and the average risk overflow rate of a single commercial bank have not been improved.When commercial banks are systematically impacted,the five major state-owned commercial banks are still better than other banks in resisting systemic risks,but their advantages are diminished.In addition,according to the analysis of network model,although the overall stability of the interbank network among Chinese financial institutions has been improved to some extents,the stability of the five major commercial banks deserves special attention.
出处
《中国经济报告》
2019年第2期110-117,共8页
CHINA POLICY REVIEW
