基于多主体内生信贷网络的银企间风险传染研究

Research on the Risk Contagion Between Firms and Banks Based on the Endogenous Credit Network with the Multi-Agent

在全球经济一体化程度不断加深背景下,银企主体间的信贷关联网络极易成为外来冲击的传播渠道.为此,对基于信贷关联网络的银企主体间的风险传染进行研究具有重要意义.在研究过程中,引入银行主体、上游企业主体、下游企业主体,对各类主体行为及主体间的相互作用进行刻画,并基于主体间的相互作用,内生构建融合银行间信贷网络、企业间信贷网络、银企间信贷网络的复合网络,在此基础上对网络视角下的银企间风险传染进行研究.研究表明资产最大银行主体与入度最大银行主体的违约均可加剧银企间的风险传染,故而仅针对资产负债表的监管并不足够,亦应关注主体间关联网络的拓扑结构.

With the further deepening of economic globalization, the credit network becomes a transmission channel of external shocks easily. Thereby, it is of great significance to research on the risk contagion between firm and bank agents based on the credit-connected network. During the research, we introduce the bank agents and the upstream and downstream firm agents, describe their behavior and interaction, endogenously establish a compounded network integrating the interbank credit network, the interfirm credit network and the firm-bank credit network simultaneously and research the risk contagion between firm and bank agents based on the established network. The research shows the default of the bank agent with the largest value of the net worth aggravates the risk contagion between firms and banks as well as the one with the largest value of the in-degree, so a reliance on balance sheet regulation is not enough but must be supplemented by considerations for the topology structure of the credit-connected network.