双渠道风险传染下银行系统稳定性分析

doi:10.16381/j.cnki.issn1003-207x.2020.11.006

摘要/Abstract

摘要： 随着金融危机的频率和范围的不断扩大，银行系统性风险的研究越来越受到重视。针对银行业系统性风险，构建银行同业拆借（直接传染渠道）、银行共同持有资产（间接传染渠道）的双渠道风险传染网络模型。该模型引入了宏观经济波动带来的投资风险，并允许银行通过贬值出售资产来弥补流动性，这更真实地反映了银行系统的操作规则。研究结果表明，在各种经济因素波动情况下，平均储蓄量、储蓄的波动幅度、投资的收益率、存款准备金率以及储蓄利率等对银行系统稳定性的有较大影响，并进行了定量分析。该研究为定量研究宏观经济波动下银行系统性风险问题提供了方案，并为决策者和监管部门防范银行系统性风险提供了参考。

关键词: 流动性, 系统性风险, 同业拆借, 共同持有资产

Abstract: The increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking systems. Overlapping portfolios is an important reason for the spread of financial risks. Existing bank systemic risk models consider the effects of interbank lending (direct contagion channel) or overlapping portfolios (indirect contagion channel) on bank systemic risk, rather than considering interbank lending and overlapping portfolios at same time (dual contagion channel). In order to study the systemic risk of banking system, a dual contagion channel network model with interbank lending (direct contagion channel) and overlapping portfolios (indirect contagion channel) is constructed in this work. This model is based on Lori's interbank lending model ^[14], establishes a two-part graph structure of interbank lending market with overlapping portfolios. In order to more truly reflect the evolution of systemic risk, the model introduces investment risk brought about by macroeconomic fluctuations, and the rate of return on investment (ROI) is allowed to change dynamically. The proposed model allows banks to compensate for liquidity by selling assets in depreciation, which more reflects truly the operating rules of banking systems. In addition, the model constrains investment, interbank lending funds can only be used to make up for short-term liquidity shortage, rather than for investment. The results show that under various macroeconomic fluctuations, the average savings, the fluctuation of savings, the rate of return on investment, the reserve ratio, and the interest rate of savings have a greater impact on the stability of the banking system, and the quantitative analysis is carried out. (1) The greater the average ROI, the more stable the banking system will be. (2) The stability of banks is sensitive to deposit interest rate. The higher deposit interest rate, the greater systemic risk. (3) The increase of deposit reserve ratio reduces the profit gap between investment income and deposit interest, thus reducing the ability of banks to cope with risks and increasing systemic risks. (4) Increasing the savings rate, reducing the fluctuation of savings and the interest rate of savings can effectively improve the stability of the banking system. This study provides a scheme for quantitative study of bank systemic risk under macroeconomic fluctuations, and provides a reference for policy makers and regulatory departments to prevent bank systemic risk.

Key words: liquidity, systemic risk, interbank lending, overlapping portfolios

中图分类号:

F830

姜闪闪, 范宏. 双渠道风险传染下银行系统稳定性分析[J]. 中国管理科学, 2020, 28(11): 51-60.

JIANG Shan-shan, FAN Hong. Stability Analysis of Banking System under Dual Channel Risk Contagion[J]. Chinese Journal of Management Science, 2020, 28(11): 51-60.

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