网络结构、资本缓冲与银行系统性风险传染效应——来自2007~2017年中国14个上市商业银行数据

Network Structure, Capital Buffer and Systematic Risk Contagion Effect of Banks——Data from 14 Listed Commercial Banks in China from 2007 to 2017

银行体系稳健运行对国民经济健康发展具有重要意义。选取2007~2017年中国14个上市商业银行数据,利用债务矩阵构建银行网络,运用无残差完全分解模型将其分解为网络结构和资本缓冲两个因素,对我国银行系统性风险传染效应研究。结果表明:网络结构与银行系统性风险存在复杂的关联性,而资本缓冲与银行系统性风险有显著负相关关系;在金融危机期间,网络结构是诱导银行系统性风险波动的决定性因素,资本缓冲对降低银行系统性风险有重要作用。此外国有商业银行与其他银行债务关系更为紧密,对系统性金融风险贡献较大,中国银行处于网络结构中重要位置,中国工商银行和中国建设银行处于次重要位置。该结果为资本监管政策和宏观审慎政策有效实施提供了理论依据。

The sound operation of the banking system is of great significance to the healthy development of the national economy. We construct a bank network to conduct empirical research on the contagion effect of systemic risk in Chinese banks by using debt matrix and complete decomposition model without residual, which is about two factors: network structure and capital buffer. Based on the data of 14 commercial banks in China from 2007 to 2017, the statistical analysis results show that there is a complex correlation between network structure and systemic risk of banks and the capital buffer has a significant negative correlation with the systemic risk of banks. Network structure is the decisive factor to induce systemic risk fluctuation and capital buffer plays a vital role in reducing systemic risk during the financial crisis. In addition, state-owned commercial banks have closer debt relationships with other banks, and they make a greater contribution to systemic financial risks. Bank of China(BOC) is in an important position in the network structure, and Industrial and Commercial Bank of China(ICBC) and China Construction Bank(CCB)are in a secondary one. The results have theoretical basis for capital supervision and macro-prudential policies.