银行间市场系统风险传染效应——来自印度尼西亚银行业的实证分析

The Contagion Effect of System Risk in the Interbank Market——An Empirical Analysis from the Banking Industry in Indonesia

本文选取印度尼西亚87家上市银行2010~2016年的同业拆借等数据,运用最大化熵原理构建了动态的印度尼西亚银行间市场网络结构,并在此基础上分析了银行系统风险传染效应。实证结果表明:①最易引发风险传染的银行都是国有商业银行,其中排第一位的是Bank Mandiri(Persero)Tbk;②在发生风险传染的年份,区域发展银行PT Bank DKI和海外银行Deutsche Bank Ag Indonesian最易因风险传染而倒闭,因此是"系统脆弱性银行";③2010~2013年,风险传染效应各不相同,2014~2016年系统不会发生风险传染,从总体上看,印度尼西亚银行系统风险传染效应逐年下降,银行体系趋于稳健。高效的外部监管机构、健全的银行监管法规、严格的银行资本金制度、细致的危机管理协议以及完善的银行退出机制是印度尼西亚银行体系趋于稳健的重要原因。

This study selects the inter-bank lending data of 87 listed banks in Indonesia from 2010 to 2016 to construct a dynamic network structure of the interbank market in Indonesia by employing the Maximum Entropy method.Based on this,the paper analyzes the risk contagion effect of the banking system.The empirical results show that banks most likely to cause risk contagion are state—owned commercial banks and the first of which is Bank Mandiri(Persero)Tbk.In the year of risk contagion,the regional development bank,PT Bank DKI,and the overseas bank,Deutsche Bank Ag Indonesian,are most vulnerable to risk contagion.From 2010 to 2013,the risk contagion effects are different,and from 2014 to 2016,there will be no risk contagion in the system.Overall,the risk contagion effect of the Indonesian banking system has been declining year by year,and the banking system has become more stable.Efficient external regulatory agencies,sound banking regulations,strict bank capital system,detailed crisis management agreements and a sound bank exit mechanism are important reasons for the stability of the Indonesian banking system.