银行间市场网络稳定性与系统性金融风险最优应对策略:政府控股视角

Interbank Network Stability and Optimal Strategies to Deal with Systemic Financial Risk:Based on the Perspective of Government Shareholding

本文创新性地将政府控股银行的议价能力量化为溢价倍数,将其与银行保留价格的自相关性共同引入银行间均衡交易价格形成机制,基于2017—2019年139家银行的银行间资产负债数据和股权结构数据,构建了中国银行间市场内生均衡交易网络。基于该网络,本文从金融系统交易效率和稳定性两个维度,量化分析银行关联度限制最优区间及各类政府救助政策效果,并提出系统性金融风险的最优应对策略。结果表明:(1)政府控股银行在同业市场上存在7%—14%左右的正溢价,市场波动剧烈时政府控股溢价倍数大幅增加,且政府直接控股银行溢价倍数增幅超过政府间接控股银行;(2)限制关联度对银行系统交易效率和稳定性的影响是非单调的,最佳限制范围在60—80家,事前对银行关联度进行适当限制可以提高政府救助政策效果;(3)危机的最优应对策略取决于当时的市场预期,市场恐慌时,救助濒临倒闭的系统重要性银行成本巨大,但可以使整个银行系统迅速恢复稳定,而市场预期相对乐观时,对幸存的政府控股银行注资则是最佳策略;(4)当政府控股银行发生极端风险时,溢价倍数发生变化,最优风险处置策略也随之改变。

The financial crisis that broke out in 2008 had a huge impact on financial stability and economic development all over the world,making the systemic financial risk become the focus of the regulatory authorities and the academic community.Although China has not suffered a financial crisis in recent years,its financial system has experienced several shocks in recent years.With the increasing complexity of financial networks,risk events of small and medium-sized banks may evolve into systemic financial risks through the contagion amplification mechanism,which calls people’s great attention.Compared with Western countries,the government’s shareholding proportion in Chinese banks is higher,and the state-owned financial institutions are a key pillar for serving the real economy,preventing financial risks,and deepening financial reform.Therefore,we study the prevention and resolution strategies of China’s systemic risks from the perspective of government shareholding.We innovatively quantify the bargaining power of government-controlled banks into premium multiples and introduce the premium multiples together with the autocorrelation of bank reservation price after the occurrence of liquidity shock into the transaction price formation mechanism among banks.Based on interbank balance sheets and equity structure data of 139 banks from 2017 to 2019,we estimate the core characteristics of the interbank lending network using the exogenous maximum information entropy network,and construct the endogenous equilibrium transaction network(ETN)of China’s interbank market.Based on the ETN,this paper quantifies the optimal range of bank interconnectedness and the effects of various government bail-out policies from the two dimensions of transaction efficiency and stability of financial system,and gives the optimal coping strategies for systemic financial risks.The research results of this paper are as follows.Firstly,in the interbank lending market,government shareholding causes a positive premium effect,making it easier for banks to borrow funds.Empirical analysis shows that this effect still exists after controlling the factors of lending volume.The government-controlled banks have a positive premium of about 7%to 14%in the interbank market.When tight market liquidity leads to sharp price fluctuations,the premium multiple of the government-controlled banks increases significantly,and the increase rate of the premium multiple of the government-directly-controlled banks exceeds that of the government-indirectly-controlled banks.Secondly,implementing effective macro-prudential policies and moderately limiting the business interconnectedness of financial institutions in advance,for example,setting the maximum interconnectedness limitation of 60 to 80,will not only avoid institutions being too interconnected to fail,but also greatly affect the transaction efficiency and stability of the financial system.Thirdly,from the simulation analysis of risk disposal measures,it can be seen that under different situations(changing threshold R),there are differences in rescue costs and policy effects of various bail-out methods.The change of market risk tolerance will determine the choice of government liquidity injection mode.Appropriate restrictions on the interconnectedness of banks before risk events can improve the effect of government bail-out policies.When the market panic occurs,the cost of rescuing systemically important banks on the verge of bankruptcy is huge,but the whole banking system can quickly recover stability.When market expectations are relatively positive,injecting capital into survived government-controlled banks is the best strategy.Fourthly,when extreme risks occur in government-controlled banks and the belief of government guarantee is broken,the other banks will produce the phenomenon of being reluctant to lend.The failure of market liquidity creation will increase the cost of bail-out.The premium multiple will change and so should the optimal risk disposal strategy.The findings of this paper have three aspects of policy implications.Firstly,to prevent systemic financial risks,the government should optimize the layout of state-owned financial capital and maintain the government shareholding position in systemically important financial institutions.The government should also increase the proportion of government shareholding in important nodal financial institutions to continuously enhance the resilience of China’s financial network.Secondly,the government can add limits on financial institutions’business interconnectedness to its macro-prudential policy toolbox to prevent the problem of being too interconnected to fail.Thirdly,China should strengthen the coordination and cooperation between fiscal and financial departments,and improve the systematic financial risk disposal strategy composed of macroprudential policies and government rescue policies.