摘要
本文利用我国上市银行在同业市场上的信贷关系构建网络结构模型,分析上市银行所构成网络的结构特征,发现上市银行信贷网络联系紧密,倾向于群体性结构。以信贷网络为基础研究单个银行发生清偿力问题时对整个系统的影响,得出上市银行中有三家系统性重要银行,即中国银行、中国工商银行和兴业银行。最后使用或有权益方法对三家系统性重要银行2007—2014年的清偿力风险进行分析,发现三家银行受2008年国际金融危机影响较大,但随着存款准备金率以及存贷款基准利率等政策的调整,清偿力风险得到缓解和控制。
The stability of the banking system plays a crucial role in the growth of macro economy. Regulators and policy makers pay a lot attention to the stability of the banking system. While most of the studies about systemic risk in the network of financial institutions focused on macroeconomic impact, they neglected the risk of default risk contagion in financial system. In order to effectively maintain the stability of the banking system, we need to study systematic risk of the banking system and put forward effective suggestions to preventing the banking system cri- sis. Study about bank systematic risk should not only concern about the impact of external shocks to the system, but also pay attention to the structure of the banking banking system and the risk contagion in banking system. This paper establishes a network structure model and analyses the solvency risk of systemically important banks. Firstly, taken the financial system as a whole, its stability is mainly reflected in the following two points： one is the ability to deal with external shocks. The other is the ability to control risk contagion in the financial system. The stronger the ability of the financial system to deal with external shocks and control risk conduction, the more stable the financial system is. External shocks may induce a single bank failure and then through several rounds of risk contagion it may lead to default of other banks. Thus the risk is spread through the banking system. Random factors lead an institution i in the system to bankrupt. In the first round of risk transmission, all institutions in the banking system related will bankrupt if the capital hold is less than the amount of loss caused by risk transmission. The second round begins if any institution go bankrupt except institution i, institutions bankruptcy in the first round except i will in turn affect other institutions in the banking system. If an institution＇ s cumulative loss goes beyond its capital, the institution will face bankruptcy. The domino effect will pass on. In a banking system, there are some banks which are more contagious. It is important to locate these banks and analyse their potential risk. Secondly, we establish a nefwork structure model of Chinese listed banks, estimate the inter-bank credit ma- trix and study its structural characteristics with specific indicators. We obtain credit data from the annual reports of listed banks. Only the total volume of interbank market is accessible, detail trading counterparties＇ information is included in the annual report of listed banks. To solve the problem of missing specific data to depict the interbank market, we use the cross entropy method to estimate the detail volume of interbank business. With these data, clus- tering coefficient, degree of node and average shortest path length can be obtained to analyse the structural charac- teristics. Based on the credit matrix, we study the systemically important banks in Chinese listed banking system. We try to find out systemically important banks and study the solvency risk of them through CCA method. Finally, clustering coefficient, degree of node and average shortest path length of the network structure model show that Chinese listed banks are closely connected. And the network tends to be group network structure. By cal- culating the systematic loss caused by the default of a single bank, we can get the systemically important banks in Chinses listed banking system, which are Bank of China, Industrial and Commercial Bank of China and Industrial Bank. Supervision department can effectively prevent systemic risks by strengthening supervision of the systemati- cally important banks. We use CCA method to study the solvency risk of systemically important banks. Because of impact of 2007 global economic crisis, the default distance of Bank of China, Industrial and Commercial Bank of China and Industrial Bank has same change trend. Specifically, from the fourth quarter of 2007, the default dis- tance has a substantial decline, which indicates solvency risk increases. With the implementation of relevant poli- cies, such as adjustment of deposit-reserve ratio and RMB benchmark deposit and lending interest rates of financial institutions, those problems have been effectively curbed. Specifically, from the end of 2008, the distance to de- fault of the three banks has increased significantly.
出处
《经济管理》
CSSCI
北大核心
2015年第11期93-100,共8页
Business and Management Journal ( BMJ )
基金
教育部人文社会科学研究青年基金项目"基于相互隐含担保的金融部门与政府间风险反馈机制研究"(14YJC790100)
国家社科基金项目"经济增速下行引致的系统性金融风险及防范机制研究"(15BJY152)
