我国银行同业之间流动性风险传染研究——基于复杂网络理论分析视角

Research on Inter-bank Liquidity Risk Contagion of China——From the Perspective of Complex Network Theory

2013年6月份的"钱荒"事件充分暴露了流动性风险在同业之间的传染之快、后果之严重。本文基于复杂网络理论分析视角,构建了基于机构的网络模拟模型(ABNS),研究不同冲击下我国银行同业之间流动性风险的传染机制和后果,研究发现:第一,中国银行、工商银行、兴业银行和农业银行节点度最高,属于中心节点。第二,中心节点违约的后果尤为严重。第三,市场流动性收紧到阈值时违约机构大规模爆发。第四,组合冲击加深了传染后果,同时为2013年6月"钱荒"事件的发生提供了一些解释。第五,提出关注同业业务规模及其分布等对策建议。

The ＂money shortage＂ phenomenon in June 2013 fully exposed the serious consequences of liquidity risk contagion among financial institutions. Based on the complex network theory, we construct ABNS model to analyze the mechanism and results of liquidity risk contagion under the situation of different shocks. Four conclusions have been drawn： 1.the hubs of inter-bank network are BOC, ICBC, CIB and ABC; 2. the default consequence of the hubs is particularly serious; 3. lots of institutions default when the market liquidity tightens to a certain level; 4. the combination shocks deepens the contagion results and provides some explanation for the ＂money shortage＂ phenomenon in June 2013.