信息溢出对银企担保网络流动性风险传染的影响研究

doi:10.16381/j.cnki.issn1003-207x.2024.0427

Abstract

Abstract:

During China’s three default waves in 2008， 2011， and 2015， the impact of corporate defaults was transmitted to financial institutions. However， the risk did not remain contained； it further propagated to other firms. This resulted in a significant number of normally functioning firms—those that do not belong to the same industry chain and lack direct transactional relationships but are interconnected through the same bank or guarantee institution—falling into liquidity crises one after another. This phenomenon cannot be explained by existing risk transmission mechanisms. Therefore， the phenomenon is explained from the perspective of information spillover and its impact on liquidity risk contagion in the bank-firm guarantee network is explored. A multi-layer bank-firm guarantee network model is constructed including an interbank lending network， a supply chain commercial credit network， a supply chain financing guarantee network， a commercial guarantee network between firms and guarantee institutions， and a loan network between banks and firms. The information is divided into bankruptcy information and liquidity information， and computational experimental methods are used to study the influence of information spillover on liquidity risk contagion in the bank-firm guarantee network.Research indicates that in the absence of external shocks， information spillover tends to increase the number of liquidity bankruptcies for banks and firms. Conversely， during periods of external shocks， information spillover leads to an increase in firm liquidity bankruptcies while simultaneously decreasing bank liquidity bankruptcies. The parameter sensitivity analysis reveals that in highly uncertain external environments， information spillover positively influences banks by enhancing business stability and mitigating external risks. Improving banks' risk awareness and risk appetite， along with making positive information disclosure， can help mitigate the adverse effects of information spillover and reduce the extent of liquidity risk transmission. When bank-firm leverage levels are high while firm management ability is low， information spillover may exacerbate liquidity risk contagion. Furthermore， if there is a liquidity information spillover between firms， they can timely adjust accounts receivable to restrain liquidity risk contagion. The impact mechanism of information spillover on risk contagion in bank-firm guarantee networks is investigated， contributing to the research on risk contagion between banks and firms. The research findings provide theoretical insights into mitigating information asymmetry between banks and firms and reducing the adverse effects of information spillovers on liquidity risk contagion within these networks.

Key words: information spillover, bank-firm guarantee network, liquidity risk, agent-based computational finance

CLC Number:

F830

Zhinan Li,Jingyue Lei,Peilong Shen. The Influence of Information Spillover on Liquidity Risk Contagion in Bank-firm Guarantee Network[J]. Chinese Journal of Management Science, 2025, 33(12): 26-40.

Figures/Tables 12

主体

资产

负债与所有者权益

企业

投资资产（ $I i$ ）

应收账款（ $T F F A i$ ）

现金（ $C i$ ）

存货（ $O i$ ）

银行贷款（ $T F B L i$ ）

应付账款（ $T F F D i$ ）

所有者权益（ $A i$ ）

担保机构

投资资产（ $I j$ ）

现金（ $C j$ ）

所有者权益（

A j

）

银行

投资资产（ $I z$ ）

贷款（ $T B L z$ ）

同业资产（ $T B B A z$ ）

现金（ $C z$ ）

存款（ $D P z$ ）

同业负债（ $T B B D z$ ））

所有者权益（ $A z$ ）

参数	描述	值	参数	描述	值
$φ 1$	企业的综合技术水平	1.2	$α b f$	银行贷款利率对银企间风险的敏感性	0.01
$φ 2$	企业资本产出的弹性系数	0.8	$α g f$	担保机构担保费率对企业风险的敏感性	0.0075
$ω$	工资水平	U (0.1,0.6)	$α b b$	银行间借贷利率对银行间风险的敏感性	0.01
$ϖ f$	核心企业担保放大倍数	2	$r f$	无风险利率	0.01
$ϖ g$	担保机构担保放大倍数	10	$ξ$	银行风险认知水平	0.3
$ρ$	无担保无抵押下可贷款比例	0.6	$μ$	银行风险偏好	0.5
$r g$	基准担保费率	0.005	$ν$	银行信息披露倾向	0.5

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The Influence of Information Spillover on Liquidity Risk Contagion in Bank-firm Guarantee Network

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