基于矩阵法的我国银行间市场风险传递效应实证研究

An Empirical Examination of Transfer Risk in China's Interbank Market Based on the Matrix Method

笔者基于2011年上市银行数据,运用矩阵法对我国银行间市场风险的传递效应进行模拟研究,并考虑到非银行金融机构在银行同业交易中的比重不断上升,将非银行金融机构交易数据纳入模型进行重新测算。结果表明我国银行间市场上系统性风险发生的可能性增大,表现为风险传染源银行数量的增加和风险传递范围的扩大。

Subprime crisis has caused regulators and academia＇ s general attention to the systemic risk of financial system. , especially since the exist of the exposures in the interbank market, the risk may spread throughout the banking system and eventually lead to seri- ous crisis. This paper, which is based on 2011 listed bank data, studies the interbank market transfer risk by using matrix method, then takes into account the increasing non-bank financial institutions＇ trading proportion. So taking this kind of transaction data into the model to re-estimates, the results show that the probability of inter-bank market＇ systemic risk is increasing, expressed as the increased number of risk contagion source banks and expanded risk infection scope.