基于银行间市场网络的系统性风险传染研究

Systemic Risk Contagion Based on Interbank Networks

通过建立银行间市场网络,其中网络中的节点为银行,银行之间的同业拆借关联为节点之间连边,研究了市场网络结构对系统性风险的影响。研究发现,银行间关联有两种作用:流动性转移和风险传染,这两种作用分别在不同环境占据主导地位。当银行系统流动性充足时,银行间关联的流动性转移作用占据主导地位,此时加强银行间关联可以实现系统内部流动性转移,有利于保证整个银行系统稳定;当银行系统流动性不足时,银行间关联的风险传染作用占据主导地位,此时应该减少银行间关联,从而切断风险传染的途径,牺牲小部分危机银行,保证系统中大部分银行稳定。

This paper investigates how systemic risk is affected by the structure of the banking system. We construct a banking system that is composed of a number of banks, which are con- nected by interbank linkages. By examining the key structure parameters of the banking net- work, including degree （the number of connections of a bank） and link weight （the amount of in- terbank assets）, we analyze the effect of these parameters on the stability of the banking system. We show that interbank linkages have two opposing effects. They can act as ＂liquidity transmitters＂ to transfer liquidity from solvent banks to insolvent banks through interbank connections. However, inter- bank linkages can also act as ＂risk transmitters＂; if one bank declares bankruptcy, then the loss can be transmitted to its connected banks. We investigate two environments that are differentiated by whether there is an aggregate shortage of liquidity. The results provide insight into the interplay between the liq- uidity transmission effect and the risk transmission effect.