信用债违约的金融风险传染效应研究——基于宏观资产负债表和网络分析模型

Research on Financial Risk Contagion Effect of Credit Debt Default Based on the Macro Balance Sheet and Network Analysis Model

随着中国信用债市场的快速发展,信用债的违约风险正在逐步上升,由于金融市场的高度关联性,信用债违约不仅会给其持有人带来直接损失,也会由于各机构部门、各金融工具之间的相互关联给全社会带来间接损失。本文利用宏观资产负债表和网络分析法的基本思想,测算了各机构部门之间的资金关联关系以及信用债违约带来的金融风险传染效应。结果显示:我国各部门的资金往来中,金融部门对风险传播的影响最大;信用债违约对经济的总损失会放大至3.81倍;53.6%的损失集中在金融部门,其中存款资金账户影响最大,占总损失的27.8%。在选定与市场波动相关程度较大的负债项目下,信用债违约对经济总损失的放大程度有所下降,放大倍数下降至3.41倍;在违约损失传导中,各部门及各资金项目受到冲击的严重程度因波及次数而变化,居民部门的影响程度与波及次数呈正相关关系。

With the rapid development of China’s credit bond market,the default risk of credit bonds is gradually increasing.Due to the high correlation of the financial market,the default of credit bonds will not only bring direct losses to its holders,but also bring indirect losses to the whole society due to the interrelationship between various institutional sectors and various financial instruments.This article uses the basic ideas of the macro balance sheet and network analysis method to measure the financial relationship between various institutions and departments,and calculates the financial risk contagion effect caused by the default of credit bonds.The results show that:The financial sector has the greatest impact on risk spread among the capital exchanges of various departments in the country.The total loss of credit debt default on the economy will be magnified to 3.81 times,53.6%of the loss is concentrated in the financial sector,of which deposit funds accounts have the greatest impact,accounting for 27.8%of the total loss.Under the selection of debt items that are relatively related to market fluctuations,the magnification of the total economic loss caused by the default of credit bonds dropped to 3.41 times.In the transmission of default losses,the severity of the impact of each department and each fund project varies with the number of impacts,and the impact of the residential sector is positively correlated with the number of impacts.