经济波动、网络关联与银行业系统性风险监管

Economic Fluctuations, Network connectedness and Systemic Risk Supervision of Banking

银行间网络关联和经济波动是形成银行业系统性风险的重要来源。本文从经济波动影响内生于银行业系统性风险的视角出发,将SCCA模型与马尔科夫区制转移模型相结合,量化系统性风险中银行间网络关联和经济波动的影响,并分析不同风险来源受不同类型银行的影响程度。本文以14家上市银行为样本进行实证研究,发现银行间网络关联发挥风险承担和风险溢出的功能,且网络关联风险与内部脆弱性风险存在此消彼长的关系,而经济波动主要发挥“增效器”的作用。同时,银行业系统性风险是大型国有银行风险和中小型银行风险的组合,系统性风险中的内部脆弱性风险和经济波动影响主要来源于中小型银行,网络关联风险主要来源于大型国有银行。因此,本文建议针对银行业系统性风险的不同来源使用不同监管工具,并注重监管工具之间的配合,还需要结合具体风险来源,针对不同类型的银行制定差异化监管要求。

Inter-bank network connectedness and economic fluctuations are important sources of the banking systemic risk. Based on the perspective that economic fluctuations endogenously affect the systemic risk of banking, this paper combines SCCA model with Markov regime switching model to quantify the impact of inter-bank network connectedness and economic fluctuations on the systemic risk, and analyzes the impact of different types of banks on different risk sources. This paper takes 14 listed banks as samples for empirical research, and finds that inter-bank network connectedness plays the role of risk bearing and risk spillover. There is a trade-off between network connectedness risk and internal vulnerability risk, while economic fluctuations mainly play the role of “synergist”. Morevoer, the banking systemic risk is a combination of the risk of large state-owned banks as well as small and medium-sized banks. The internal vulnerability risk and the impact of economic fluctuations on systemic risk mainly come from small and medium-sized banks, while the network connectedness risk mainly comes from large state-owned banks. Therefore, this paper suggests that different regulatory tools should be implemented for different sources of the banking systemic risk, and the cooperation between regulatory tools is needed. It is also necessary to adopt differentiated supervision requirements for different types of banks according to the specific risk sources.