系统性金融风险多层网络传染与控制研究

Multiplex Networks Infection and Control of Financial Systemic Risk

考虑银行间同业拆借和持有共同资产两种关联,采用债务排序方法构建了系统性金融风险多层网络传染模型,并基于2012~2017年我国银行业数据对系统性金融风险及其影响因素进行了实证研究。研究结果表明,在多层网络中的系统性金融风险要大于单一网络的风险之和,不同规模银行的主要风险来源渠道不同,资产冲击对银行系统的影响要远大于单一银行冲击对银行系统的影响。风险敞口和行业资产规模是系统性金融风险的主要影响因素,并且净资产能够显著降低系统性金融风险。同时,增加银行资产集中度并不会降低系统性金融风险,要同时考虑风险敞口、杠杆倍数等因素的共同影响。此外,相比市场流动性,资产缓冲对系统性金融风险的影响更大,并且存在一个阈值,当大于这个阈值时,系统性金融风险会显著降低。

This paper investigates both interbank lending and common asset holdings,a multi-layer network contagion model of the financial systemic risk based on the DebtRank model,and carries out an empirical study on the financial systemic risk and its influencing factors based on the data of China’s bank loans from 2012 to 2017.The results show that the financial systemic risk in the multi-layer network is greater than the sum of the risks in a single network,the main risk sources of banks with different asset scales are different,and the impact of asset shock on the banking system is far greater than that of a single bank shock on the banking system.Risk exposure and asset scale of the financial sectors are the main factors leading to the financial systemic risk,and net worth can significantly reduce the financial systemic risk.At the same time,increasing the concentration of bank assets may not reduce the financial systemic risk,so the joint influence of risk exposure and leverage ratio,among others,should be considered.In addition,compared with market liquidity,asset cushion has a greater impact on the systemic financial risk,and there is a threshold above which the financial systemic risk will be significantly reduced.