跨银行与企业部门的系统性风险研究

Systemic risk across the banking sector and the firm sector

从风险反馈视角,研究跨银行与企业部门的系统性风险贡献度与传染效应.基于债务排序方法构建了银企系统性风险测度模型,并基于2018年中国银企间借贷数据进行研究.研究结果表明:银行节点在银行层的债务等级小于在企业层的债务等级,而企业节点在企业层的债务等级小于在银行层的债务等级;银企信贷系统中存在少数系统重要性银行和企业,其系统性风险贡献度高;随着银行或企业的信贷规模增大,所对应的总债务等级越高,而且总债务等级与信贷规模呈现非线性特征;随着信贷宽松程度变大,银行与企业的系统性风险贡献度呈现下降特征;在不同信贷宽松政策下,由企业所引发的总信贷损失始终大于银行,而且造成的银企信贷系统崩溃的阈值始终小于银行;信贷政策宽松程度对维持银企信贷系统的稳定性具有积极影响,特别对银行的作用更为显著.

This study investigates contribution and contagion effect of systemic risk across the banking sector and the firm sector from the perspective of risk feedback.Based on the debt ranking method,this study constructs the measurement model of the bank-firm systemic risk,and conducts analysis based on the bank-firm loan data of China in 2018.The research results show that:The debt rank of the bank node at the bank layer is lower than that at the firm layer,while the debt rank of the firm node at the firm layer is lower than that at the bank layer;there are a few systemically important banks and firms in the bank-firm credit system,and they have high contribution degree of systemic risk;with the increase of the credit scale of banks or firms,the corresponding total debt rank is higher,and the relationship between the total debt rank and the credit scale is nonlinear;as the degree of credit easing increases,the contribution of systemic risk of banks and firms show a downward trend.Under different credit easing policies,the total credit loss caused by firms is always greater than that of banks,and the threshold of firms for the collapse of the bank-firm credit system is always smaller than that of banks;the degree of easing of credit policies has a positive impact on maintaining the stability of the bank-firm credit system,especially for the banking sector.