多层网络视阈下银行业系统性风险跨网络传染研究

Research on Cross Network Contagion of Banking Systemic Risk from the Perspective of Multi-layer Network

研究银行系统性风险的跨网络传染对识别系统性风险传染路径及传染机制具有重要意义。利用中国16家上市商业银行2010年第三季度至2020年第四季度数据,构建动态决策层网络(基于共同股东形成的共同股东网络)与动态经营层网络(基于共同贷款形成的债权网络与基于共同持股房地产公司形成的股权网络),在多层网络特征及系统性风险的基础上,实证检验了银行系统性风险传染的多层复杂网络特征及作用机制。结果表明:银行多层网络中心性与系统性风险显著正相关,相较于单层网络,多层网络结构能够捕捉更多的系统性风险信息,对系统性风险有更强的解释力;银行系统性风险传染具有显著的网络间与网络内立体式特征,为系统性风险防范提出新思路;在银行业多层网络间,存在决策层网络至经营层网络的风险传染渠道,系统性风险呈现跨网络立体式传染特征。

Prevention of financial systemic risk is the fundamental task of China’s financial work at present.Under the background of intensifying bank competition, the interconnectedness among banks presents a trend of increasing multiplicity and complexity.In order to keep the bottom line of no systemic financial risk events, it is of great significance to study the cross-network contagion of systemic risks in China’s banking industry to identify the path and mechanism of systemic risk contagion.Based on the data of 16 listed commercial banks in China from the first quarter of 2010 to the fourth quarter of 2020,a dynamic decision layer network and a dynamic management layer network are constructed.The former includes a common shareholder network based on common shareholders, while the later includes a creditor’s network based on joint loans and an equity network based on joint holdings of real estate companies.Based on the quarterly data of 16 listed commercial banks in China, the systemic risk of China’s banking industry is measured in the sample period.Based on the characteristics of multilayer network and systemic risk, the characteristics and mechanism of multilayer complex network of bank systemic risk infection are tested empirically.The conclusions are as follows.Firstly, the centrality of multi-layer bank network is significantly positively correlated with systemic risk.Compared with single-layer network, multi-layer network structure can capture more information about systemic risk and has stronger explanatory power for systemic risk.Secondly, the systemic risk contagion of banks has a remarkable three-dimensional characteristic of inter-network contagion and intra-network contagion, which puts forward a new idea for systemic risk prevention.Thirdly, there is a risk transmission channel from the decision level network to the management level network among the multi-layer networks of the banking industry, and the systemic risk presents the characteristics of cross-network three-dimensional transmission.Based on the above conclusions, the following policy suggestions are put forward: First, regulators should pay attention to the complexity and multiple characteristics of multi-layer networks of banks, especially systemically important banks, to prevent cross-level contagion of financial systemic risks.Second, central bank will improve and strengthen the internal and external governance of commercial banks, especially systemically important banks.Strictly control the number and characteristics of common shareholders especially common major shareholders among banks.Third, regulators should attach great importance to the dynamic supervision of the common loan network and the common equity network of the banking industry, strengthen the differentiated competition countermeasures of the banking industry, restrain the homogenous competition, regulate the equity investment of banks in the real economy, and strengthen the supervision of the combination of industry and finance.Fourth, strengthen the supervision, financial warning and credit rating disclosure of joint loan enterprises, especially the leading enterprises in the industry and the core enterprises in the industrial chain.Fifth, further strengthen and improve the banking sector to the real estate industry loan concentration management system construction.Sixth, steadily realize the dynamic balance between the assets of the banking industry and the assets of the green industry, vigorously develop green finance, and ensure the security of financial assets.