商业银行流动性风险的传染机制及防范研究——基于100家商业银行的模拟测算

Research on the Contagion Mechanism of Commercial Banks’ Liquidity Risk and Prevention——A Simulation of 100 Commercial Banks

金融活动日益错综复杂,在带来经济效应的同时也为风险传染提供了媒介。本文基于2016-2018年国内100家银行的资产负债信息,利用最大熵方法和中心—边缘结构,构建银行间拆借网络,从债权债务关系和持有共同投资资产双渠道分析流动性风险的传染机制,探究以单银行违约和多银行组合违约作为诱导因素引发的流动性风险的传染效应。研究表明:同业拆借网络结构和强流动性投资资产比例对银行流动性风险传染具有一定的影响。中心—边缘结构的银行同业拆借网络中,中心银行数目越多,流动性风险传染的范围和影响程度越小。当中心银行数目达到最大,即网络为完全连接结构时,流动性风险传染危机达到最小;随着强流动性投资资产比例的增大,银行流动性风险传染效应减小。为防范银行流动性风险传染,本文提出以下建议:丰富央行流动性管理工具,创新流动性管理工具组合;完善银行流动性风险监管体系,加强对系统重要性银行流动性风险监管;提升银行流动性风险管理能力等。

Increasingly intricate financial activities bring economic effects while also providing a medium for risk contagion.Therefore,this paper constructs an interbank lending network based on the asset-liability information of 100 domestic banks from 2016-2018,using the maximum entropy approach and the center-edge structure.This includes analyzing the contagion mechanism of liquidity risk from the dual channels of debt-debt relationship and holding common investment assets,and exploring the contagion effect of liquidity risk triggered by single-bank default and multi-bank portfolio default as inducing factors.The study demonstrates that the interbank lending network structure and the proportion of strongly liquid investment assets have an impact on bank liquidity risk contagion.In interbank lending networks with center-edge structure,the higher the number of central banks,the smaller the extent and impact of liquidity risk contagion.The liquidity risk contagion crisis is minimized when the number of central banks reaches the maximum,i.e.,the network is a fully connected structure.As the proportion of strongly liquid investment assets increases,the contagion effect of bank liquidity risk decreases.All in all,for preventing bank liquidity risk contagion,this paper puts forward the following suggestions,that is,to enrich central bank liquidity management tools and innovate the portfolio of liquidity management tools;to improve the bank liquidity risk supervision system and strengthen the supervision of systemically important banks’liquidity risk;to enhance banks’liquidity risk management capacity,etc.