资产异质视角下我国的系统性金融风险研究

Research on systemic financial risk in China from the perspective of asset heterogeneity

资产具备异质性是金融机构的重要特征,异质性是影响系统性金融风险的重要因素。建立一个具备资产异质性的改进复杂网络模型,研究我国金融系统的系统性风险、系统重要性资产、系统重要性机构以及系统脆弱性机构。以2015—2022年42家银行年报数据,结合最大熵法和最小密度法构建银行间网络,模拟不同冲击强度下,金融系统在违约清算渠道和降价抛售渠道造成的系统性风险。通过抛售受冲击资产的方式测量各项资产的重要性程度,将首轮抛售银行作为间接渠道的系统性风险来源。研究发现:银行系统降价抛售、违约清算单独产生的系统性风险较低,但叠加渠道造成的风险具有强大的破坏力;从研究结果看,我国的系统制造业、交运仓储业、租赁和商务服务业、房地产资产为银行系统的系统重要性资产;中国银行、中国农业银行、中国工商银行、中国建设银行、交通银行、中国邮政储蓄银行、招商银行系统重要性程度高;部分城市商业银行是系统脆弱性银行;各城市商业银行、股份制银行由于灵活经营造成趋同性投资,是间接渠道传染风险的主要来源。

Asset heterogeneity is an important characteristic of financial institutions.This paper establishes an improved complex network model with asset heterogeneity to study China’s financial system’s systemically important assets,institutions,and vulnerability.Utilizing annual report data from 42 banks between 2015 and 2022,we construct an interbank network using the maximum entropy method and the minimal density method.We simulate systemic risks caused by the financial system under different shock intensities through default settlement and fire sale channels.The importance of each asset is measured by selling the shocked assets.The initial selling banks are considered the source of systemic risk through indirect channels.The study finds that the systemic risks generated by bank fire sales and default settlements alone are relatively low;however,when combined,these channels can cause significant harm.The results indicate that in China’s banking system,systemic importance assets include those in the manufacturing,transportation,warehousing,leasing,business services,and real estate sectors.Banks such as the Bank of China,Agricultural Bank of China,Industrial and Commercial Bank of China,China Construction Bank,Bank of Communications,Postal Savings Bank of China,and China Merchants Bank have a high degree of systemic importance.Some city commercial banks are identified as vulnerable institutions.The convergent investments of various city commercial banks and joint-stock banks,due to flexible operations,are the main sources of contagion risk through indirect channels.