摘要
本文通过金融网络传染引发系统性风险的机理,运用网络博弈理论检验银行同业拆借担保制度变迁对均衡金融网络结构的影响。研究发现:如果同业拆借受到担保,则任何满足完全流动性风险分摊的对称网络均为均衡网络,且最为稳定的均衡网络是由多组分构成的二分网络;若同业拆借担保被取消,政府有动机救助系统性重要银行的预期,促使银行通过银行间中介提高关联程度,这样一来,单个银行倒闭会因导致系统性风险而被政府救助。银行通过内生改变网络结构,使同业拆借以政府救助的形式变为隐性担保。新的均衡网络呈现实证中普遍发现的'核心-边缘'结构。本文指出,制定金融制度需考虑政策冲击对金融机构相互关联动机的影响。否则,金融网络结构的内生变化不但可能导致该制度失效甚至会增加系统性风险。
This paper studies how financial policy affects banks’ incentives in forming financial networks.In particular,we show how the withdrawal of interbank deposit guarantee can give banks the incentives to form an equilibrium network that can effectively increase the systemic risk ex post,hence increasing the possibility that the government bails out the insolvent bank.We then show that the new equilibrium network has core-periphery property.The paper suggests that if policy-making does not take account of network endogeneity,then this policy may give rise to a new equilibrium network in which the systemic risk may be even greater than before.
作者
隋鹏
周洪涛
SUI Peng;ZHOU Hongtao;Center for Economic Research,Shandong University;School of Economics,Dongbei University of Finance and Economics
出处
《制度经济学研究》
2019年第1期71-97,共27页
Research on Institutional Economics
基金
教育部人文社科青年项目“金融网络,系统性风险及金融监管制度研究”(14YJC790104)的阶段性成果
关键词
网络博弈
金融传染
系统性风险
政府救助
Network Formation Games
Financial Contagion
Systemic Risk
Bailout
