资本短缺与银行业系统性风险--基于复杂间接关联的视角

Capital Shortage and Systemic Risk in Banking Industry--Based on the Complex Indirect Correlation

本文建立了模型环境松弛、微观基础统一的间接关联抛售模型,为中国银行业系统性风险生成机制提供复杂间接关联视角下的理论与经验认识。结果表明:中国银行业系统性风险近年来显著下降,以群体一致性抛售为核心的重要性机构集在风险传染中起着决定性作用;资本短缺损失是资产抛售发生的首要条件,在监管约束机制下导致了间接抛售损失的积累,而间接抛售损失是系统性风险的主要积累方式;网络视角下风险指标对系统性风险具有异质性作用,机构视角下风险指标对银行重要性具有一致性作用。

This paper establishes an Indirect-Correlation Fire-Sale Model(IC-FSM)with relaxed assumptions and a unified micro-foundation,providing theoretical and empirical insights into the mechanism of systemic risk generation in China's banking industry from the perspective of complex indirect correlation.The research shows that the systemic risk of China's banking industry has significantly decreased in recent years,and the set of important institutions which centers around group-consensus fire sale plays a decisive role in risk contagion.Capital shortage losses is the primary precondition for fire sales,leading to the accumulation of indirect fire-sale losses under regulatory constraints,and indirect fire-sale losses is the primary mode of systemic risk accumulating.From a network perspective,risk indicators have a heterogeneous effect on systemic risk,while risk indicators from an institutional perspective consistently affect the importance of banks.