宏观经济变量冲击与我国银行间市场风险传染

The Shocks of Macroeconomic Variables and Chinese Interbank Market Risks Contagion

虽然宏观经济变量对我国银行同业拆借市场的影响比较小,但随着时间的推移,风险传染规模呈扩大趋势,同时银行风险的溢出效应比较明显。本文模型结构和模拟结果显示的四个特征表明,监管当局在防范我国银行风险传染方面不仅要关注宏观经济变量冲击的负面影响和银行在同业拆借市场中的具体交易情况,还需要关注银行风险的传染源和风险溢出效应。监管机构可以通过建立银行偿付水平对应于不同宏观经济变量的敏感系数,时刻关注宏观经济的异常波动对银行偿付能力的影响。

The research focuses on the relationship between macroeconomic variables and interbank market risks contagion. By using matrix and regression analysis, interbank market network and the relationship between major macroeconomic variables and the solvency of banks are estimated. Then, analyze the way of interbank market risks contagion through scenario simulation. The research finds out that the macroeconomic variables have relatively small impact on the interbank market, but the scale of risks contagion tends to expand as time goes by. Meanwhile, the spillover effects of banking risks are obvious. Some suggestions are proposed about improving regulatory efficiency and reducing banking risks in the end.