我国信贷关系网络宏观拓扑特征及系统性信贷风险鉴别

Empirical Study on Macro Topologic Properties and Systematic Credit Risks of China's Credit Network

本文运用复杂网络技术,构建我国金融机构-企业信贷关系网络及其映射子网络。研究表明,我国金融机构-企业信贷关系网络存在典型的无标度网络特性。本文发现,在同一信贷关系网络中,同时存在异配性和"富者俱乐部"特征,使信贷关系网络的节点连结模式呈现出"核-边缘"格局,表明大型金融机构、大型企业主导了我国信贷资源,竞争优势明显,小型金融机构和中小企业竞争力较弱。通过最小生成树分析,揭示了信贷网络层级模块化特征,还发现各层级、簇集、子群的顶点是信贷风险管控的关键实体。本文提出了一种新的系统重要性节点鉴别指标——信贷风险指数,并建议对高风险指数实体采取差异化风险管控策略。本研究对政策引导,优化监管资源配置,增强我国信贷系统稳健性具有一定的参考意义。

This paper conducts systematic study on the macro topologic properties of financial intuitionsfirms credit network from the complex network prospective. Firstly, by analyzing the degree and edge weight distributions, there exists a significant heterogeneity and ＂Scale-free＂ property in the whole credit network. Secondly, it is the first time that the disassortativity and ＂Rich-club＂ phenomenon are found in one network simultaneously, leading to a remarkable ＂Core-periphery＂ pattern. Thirdly, three clear layers are clearly identified when employing the minimum spanning tree approach, which verifies the existence of the hierarchical modularity in China＇s credit network. Finally, applying the CRR, a new feedback centrality-liked index, we find only a few entities whose defaults would exert great impact on the whole credit network, which demonstrates heterogeneity of the credit risks. Based on CRR, a new differential risks regulation is proposed, whose effectiveness is validated via three targeted immunization strategies. This paper provides some references for policy guidance, optimizing the allocation of regulation resources and strengthening the stability of the credit system in China.