系统性风险在银行间的传染路径研究——基于持有共同资产网络模型

Research on Contagion Paths of Systemic Risk in the Interbank System: Based on Network Model with Common Assets Holdings

本文将系统重要性银行、系统脆弱性银行及传染风险等指标有机结合,提出并度量了系统重要性传染路径指标。系统重要性传染路径以风险生成银行为起点,以风险承受银行为终点,从微观机构角度刻画了系统性风险在风险生成银行与风险承受银行之间的传染,兼具深入理解系统性风险的生成机制及直接面向金融监管实践的优点。本文通过实证发现,银行体系的系统性风险总体呈上升趋势,系统性风险和各家银行的系统重要性程度均与规模因素具有较强的正相关关系。风险生成银行往往是那些遭受外生冲击较大、具有高度传染性的系统重要性银行,风险承受银行则通常是遭受外生冲击较小、且与风险生成银行持有资产结构类似(高度关联性)的系统重要性银行。本文对系统重要性传染路径指标的影响因素分析进一步论证了上述结论,并通过敏感性分析论证了多轮传染和资产价格相关性等改进的必要性。

This paper combines indicators of systemically important banks （SIB）, systemically vulnerable banks （SVB） and contagion risk （CR） to construct a brand-new indicator of systemically important contagion paths （S1CP）. SICP starts from the risk-generating banks and ends at the risk-absorbing banks. The SICP indicator which describes how systemic risk is transmitted between the risk-generating banks and the riskabsorbing banks shows in depth the generation of systemic risk and directly targets the practice of financial regulation. The empirical research shows that systemic risk in the banking system is generally increasing and that SIB positively correlate with the size factor, just like systemic risk indicator. The risk- generating banks are usually systemically important banks that suffer from a major exogenous shock and are highly contagious, while the risk-absorbing banks are systemically important banks that suffer from a minor exogenous shock and hold similar assets （or are tightly interconnected） with the risk-generating banks. The factor analysis on the SICP indicator further supports the above conclusion. Meanwhile, the sensitivity analysis shows the necessity of our improved assumptions on multiple rounds of contagion and assets prices correlation.