动态内生拆借网络演化的银行系统稳定性

The Stability of Banking Systemwith the Evolution of the Dynamic Endogenous Lending Network

目前针对银行系统稳定性的研究大多在静态给定(外生)的网络结构下,并假设银行资产负债表固定的情况下,研究银行网络系统中银行倒闭传染规律。而现实中的银行网络系统,网络结构是内生(银行动态拆借选择形成的)动态演化的,同时网络中银行的资产负债表也是动态演化的。本文基于银行资产负债表动态演化、储蓄波动动态演化及同业拆借利率动态演化下,构建动态内生拆借网络演化的银行网络系统模型。然后研究内生拆借机制,网络结构、银行异质性及不同参数变动对银行系统稳定性的影响。研究表明:偏好拆借形成的多中心网络结构下的系统更稳定,且偏好网络的网络密度明显低于随机网络;进一步研究发现,异质性银行系统比同质性银行系统稳定性更高;同时,增大银行数量、增加所有者权益比重和提升存款准备金率有利于维护系统稳定性;但增加投资比重并加大存款波动时系统稳定性将遭到破坏。

At present,most of the studies on the stability of banking system arc under the static given(exogenous)network structurcand assumes that the balance sheet of the bank is fixed,then study the banking failure contagion law in the banking network system.However,in the real banking network system,the network structure endogenously(formed by dynamic interbank lending) and dynamically evolves,and the balance sheet of banks in the network is also dynamic evolution.Based on the dynamic evolution of the balance sheet of banks,dynamic fluctuation of savings,and dynamic changing of the interbank lending rate,a dynamic endogenous lending network evolutional model of banking network system is proposed.The effects of endogenous lending mechanism,network structure,bank heterogeneity,and different parameters on the stability of the banking systemare studied.The simulation results show that the banking system with the multi-center network structure formed by preference lending is more stable,and the network density of preference network is significantly lower than that of random network.It is further found that the heterogeneous banking system is more stable than the homogeneous banking system.At the same time,increasing the size of banks,magnifying the proportion of owner’s equity,and amplifying the deposit reserve ratio arc conducive to maintaining the stability of the system,but increasing the proportion of investment and raising the fluctuation of deposits will destroy the stability of the system.