金融衍生产品交易降低银行业传染风险作用分析

Analysis of the Effect of Financial Derivatives Transactions on Reducing the Contagion Risk of Banking

本文以中国上市商业银行为研究样本,对传染风险的研究转化为使用PageRank算法测算每家商业银行在每年引发传染风险的可能性,并研究商业银行金融衍生产品交易对其引发传染风险可能性的影响。实证结果表明,第一,金融衍生产品交易有助于降低商业银行引发传染风险的可能;第二,金融机构金融衍生产品交易在增加自身传染风险的同时,却实现了整体风险的下降,说明商业银行参与金融衍生产品市场交易活动有效的实现了风险的转移与对冲,金融衍生产品市场实现其风险管理功能;第三,从个体银行层面来讲,工商银行、建设银行、中国银行、华夏银行、民生银行、光大银行等大型银行的金融衍生产品交易存在增加其引发传染风险的可能性。

This paper takes Chinese listed commercial banks as a research sample,uses the PageRank algorithm to measure the likelihood of each commercial bank’s annual risk of contagion,and studies the impact of commercial bank financial derivative product transactions on its likelihood of contagious risk.The empirical results show that,first,financial derivative product transactions help reduce the possibility of contagion risks caused by commercial banks;second,financial institutions’financial derivative product transactions have increased their own contagion risk,but have achieved a reduction in overall risk,indicating that banks’participation in financial derivatives market trading activities has effectively realized the transfer and hedging of risks,and the financial derivatives market has realized its risk management functions.Third,from the perspective of individual banks,the financial derivatives transactions of major banks such as ICBC,CCB,Bank of China,Huaxia Bank,Minsheng Bank and China Everbright Bank may increase their risk of contagion.