银行间资产清算顺序优化与风险传染免疫机制

中国管理科学 ›› 2012, Vol. ›› Issue (1): 51-58.

银行间资产清算顺序优化与风险传染免疫机制

童中文^1,2

1. 南京师范大学商学院,江苏南京 2100931;
2. 南京大学商学院,江苏南京 210093

收稿日期:2010-11-25 修回日期:2011-11-30 出版日期:2012-02-29 发布日期:2012-03-09
基金资助:
国家教育部人文社会科学基金青年项目(10YJC790241);国家社会科学基金重点研究项目(11AJL003)

Interbank Asset Liquidating Order Optimization and the Risk Contagion Immunization Mechanism

TONG Zhong-wen^1,2

1. Business School,Nanjing Normal University,Nanjing 210093, China;
2. Business School, Nanjing University,Nanjing 210093, China

Received:2010-11-25 Revised:2011-11-30 Online:2012-02-29 Published:2012-03-09

摘要/Abstract

摘要： 银行间交叉持有同业存款时,风险共担和传染是可能的。银行间市场结构的不同会对风险共担和传染产生影响,本文采用三阶段流动性偏好模型的一般分析框架,讨论了应对危机时银行微观层面的资产清算顺序的异同对于银行系统脆弱性的不同影响,并从合作博弈的视角探讨了"货币池"风险免疫的可能性。研究发现:在不存在银行资产信息不对称的条件下,当问题银行流动性波动足够大(ε>ε) ,银行间风险传染可能难以避免,而当流动性短缺ε在区间[ε,ε]内,银行间的合作博弈效果最优,风险传染可以在很大程度上避免。银行间市场的"货币池"免疫结构模式可以实现风险分担和防范银行间风险传染,从微观层面提供了一种银行间市场危机传染的内生免疫机制。

关键词: 银行间市场, 清算顺序, 风险免疫, 货币池

Abstract: The risk infection is possible with cross-holdings between banks with deposits or interbank lending. In this paper,we explain the possible mechanism of infection for interbank deposits using three-step liquidity preference analyzing frame,and discuss the difference of the asset auditting order affect the bank system fragility. In addition, we probe into the probability of optimizing the asset auditing order from the cooperation game. Here we argue that the Allen-Gale model can be used to analysis the risk contagion inter banks only if the liquidity fluctuates big enough. However,when the liquidity shortage remain in [ε,ε] the optimizing asset auditing order is the best and the contagion can be avoided at some probability.Then we also proposed a "currency pool" of the immune structure model, when there is no asymmetric information of bank assets, the structure can be inter-bank risk-sharing and prevent the risk infection. Therefore, we provide an antibody of risk infection interbanks market from micro view.

Key words: interbank market, liquidating order, micro-decision making, risk immunity, currency pool

中图分类号:

F831

童中文. 银行间资产清算顺序优化与风险传染免疫机制[J]. 中国管理科学, 2012, (1): 51-58.

TONG Zhong-wen. Interbank Asset Liquidating Order Optimization and the Risk Contagion Immunization Mechanism[J]. Chinese Journal of Management Science, 2012, (1): 51-58.

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