银行与政府部门间信用风险的跨国传导与反馈研究——以欧元区为例

Transnational Credit Risk Transfer and Feedback in Banking and Sovereign Sectors——A Case Study of Euro Area

文章以欧债危机中银行和政府部门间信用风险跨国传导为切入点,基于或有权益分析方法(CCA)建立跨国部门间信用风险模型,构造系统重要性和脆弱性指标,研究信用风险跨国传导与反馈的机制和特点。结果表明,基于银行同业、隐含担保和主权债务渠道的跨国风险外溢效应显著;跨国间部门的风险传导表现出单向性,政府部门能极大影响银行信用风险,但银行风险对他国政府部门影响不大;与系统重要性相比,国别间银行部门系统脆弱性对外部风险冲击更加敏感。基于此,文章提出应加强商业银行国债投资的国别风险管理,减少对本国主权债务的持有;建立基于系统性风险贡献的准备金制度,动态调节风险储备。

Based on cross border transmission of credit risk between banking and sovereign sectors in European debt crisis,this article constructs multinational credit risk model through the contingent claim analysis method,and establishes systematic importance and vulnerability indicators to analyze the mechanism and characteristics of transnational credit risk feedback between banking and sovereign sectors.The result indicates that risk spillover effects are significant based on interbank,implied guarantee and sovereign debt;the risk transmission of cross-country sector shows unidirectional;compared with importance,the vulnerability of banking sectors in different countries is more sensitive to the change of risk intensity.This paper proposes strengthening risk management of treasury bond in commercial banks,reducing the holding of sovereign debt on its own country,establishing the reserve system based on the systemic risk contribution,and adjusting the risk reserve dynamically.