基于异质杠杆的银行系统稳定性仿真研究

Simulation on the Stability of Banking System Based on Heterogeneous Leverage

银行系统稳定性研究是国内外研究的重要课题,但是目前针对银行系统稳定性的研究大多数都是建立在均匀杠杆作用下,并且银行间拆借矩阵权重也是均匀的。现引入异质杠杆,并对银行间拆借矩阵赋予不同的权值,构建基于异质杠杆的银行系统稳定性动态演化模型并设计仿真算法。研究连接矩阵权重、冲击大小、连接度、同业拆借规模、同质杠杆及异质杠杆对银行网络系统稳定性的影响。仿真结果表明,异质性杠杆大大恶化了银行系统的稳定性,系统重要性银行与杠杆大小有关,研究结果可为金融监管机构提供决策依据。

The stability of banking system is an important research topic at home and abroad.However,most of the researches are based on homogeneous leverage.And the weights of the interbank lending matrix are also uniform.This paper introduces a heterogeneous leverage,assigns different weights to the interbank lending matrix,and constructs a dynamic evolution model with heterogeneous leverage and a simulation algorithm on the stability of banking system.Then it focuses on the effects of the weights of the interbank lending matrix,shock size,connectivity,the volume of interbank,homogeneous leverage,and heterogeneous leverage on the stability of the banking system.Simulation results show that heterogeneous leverage deteriorates sharply the stability of the banking system.Depending on the leverage level,banks have different systemic significance in the banking system.These results can provide the basis of decision making for financial regulators.