我国系统重要性银行评估:网络层次结构视角

Identifying systemically important banks in China:A network hierarchy structure perspective

通过改进性地引入最小密度法解构了我国银行间双边风险敞口矩阵,在此基础上运用密度估计构建了契合我国银行间网络层次结构的核心-外围模型,实证甄别了系统重要性银行,并研究了我国银行间网络关联性和系统性风险.研究表明:1)核心块动态组成作为系统重要性银行在我国银行业网络层次结构中发挥着重要作用;2)我国系统重要性银行规模随时间的变化呈现出“庞大无序-两极分化-多但有序”的三阶段特征,表明我国银行系统日渐稳定,但仍需重点关注系统重要性银行以防范系统性风险;3)金融动荡时期,系统重要性银行与其他银行的关联强度和关联权重下降,积极的监管措施会使不良关联特征得到明显改观.本研究可为逆周期宏观审慎监管、基于银行系统重要性的针对性监管提供有益参考.

Interbank bilateral exposure in China is constructed using improved minimum density method,and a density-based estimator is used to construct the core-periphery network that is suitable for China.This model is further applied to identifing the systemically important banks and studying the correlation and systemic risk of interbank networks in China.The following research results are derived.(1)The dynamic composition of core blocks can be seen as systemically important banks,which is of great significance to China’s banking network hierarchy structure.(2)The change of the scale of systemically important banks in China shows the three-stage characteristics of"enormous unordered-polarization-many but orderly",which indicates that China’s banking system is becoming more and more stable,and that it is still necessary to pay attention to the systemically important banks in order to prevent systemic risks.(3)During the period of financial turmoil,the intensity and weight of interconnectedness between systemically important banks and other banks decreased,and positive regulatory measures can obviously improve the interconnected index.This empirical analysis can provide useful reference for counter-cyclical macro-prudential regulation and targeted regulation based on the importance of the banking system.