双传染渠道下银行系统性风险的测度研究

Research on Measuring Systemic Risk of Banks under Dual Contagion Channel

运用改进后的双传染渠道模型,依据2014—2022年42家银行的年报数据,从传染损失、倒闭机构数、银行系统损失和溢出至经济系统损失四个维度测度我国银行系统性风险。结果显示,从传染损失或倒闭机构数量单个维度测量系统性风险并分析其生成机制过于片面。综合银行系统损失和溢出至经济系统损失维度能更全面、准确地测度银行系统性风险。降价抛售、债务违约分别是权益损失、银行破产的主要渠道。杠杆高且银行间贷款占比高的银行更脆弱,溢出风险更大。

By applying the improved dual contagion channel model and using the annual report data of 42 listed banks from 2014-2022,the systemic risk of China’s banks is considered comprehensively in four dimensions:contagion loss,number of failed institutions,banking system loss and spillover to economic system loss.The results show that measuring systemic risk and analyzing its generation mechanism only from a single dimension of commonly used contagion loss or number of failed institutions is too one-sided.In contrast,combining the two dimensions of bank systemic losses and spillover to economic systemic losses provides a more comprehensive and accurate measure of bank systemic risk,and identifies the main risk generating channels and key points to prevent systemic risk.