摘要
本文创新性构建了包含银行破产机制和去杠杆机制的资产负债表直接关联网络模型。本文发现:(1)四类银行特征和4个外生参数影响四类传染渠道,且影响存在显著差异,四类传染渠道中去杠杆渠道(Loss^(DEL))和银行间负债违约渠道(Loss^(IA_DF))最为重要;(2)在传染过程中,银行破产会导致系统性风险急剧上升,且破产越集中,系统性风险越大;(3)系统性风险存在"区制转换"效应:当低于某一参数阈值,金融体系呈现出随时间递减的"常态"系统性风险(SR),该风险由银行体系杠杆率驱动;当高于某一参数阈值,金融体系呈现出随时间递增的"危机"系统性风险(SR),该风险由银行关联性和资产规模驱动,并主要来源于传染指标较高的大型商业银行;(4)4个外生参数对应了四类针对金融体系整体的宏观审慎政策,脆弱性指标(VBI)和传染性指标(CBI)对应了针对单家金融机构的宏观审慎政策,这些宏观审慎政策应根据金融周期(上行或下行)和系统性风险类型(常态或危机)来实施。
This study builds a balance sheet network model includingbanks' bankruptcy and deleverage mechanism. Theresultsshow that:(1) the four types of bank features and the four exogenous parameters affect the four types of transmission channels with significant differences. Among the four types of transmission channels,the deleverage channeland interbank debt default channel are the most important;(2) in the process of transmission, bank failures can lead to sharp increase of systematic risk, and more concentrated bankruptciescause higher systematic risk;(3) systemic risk shows' Regime-Switching 'effect: when models' parameters are below a certain threshold, the financial system shows the diminishing' normal 'systemic riskdriven by the leverage of the bank system, but when parameters are above the certain threshold, the financial system shows increasing' crisis 'systematic risk which is mainly caused by large commercial banks and is driven by the bankassets as well as the interbank interconnection;(4) the four exogenous parameters correspond to the four categories of macro-prudential policies for thewhole financial system, while vulnerable banks index(VBI) and contagion banks index(CBI) correspond to the macro-prudential policy for individual financial institutions. These macro-prudential policies should be implemented according to the financial cycle(upward or downward)and the type of systemic risk(' normal 'or' crisis ').
出处
《管理世界》
CSSCI
北大核心
2016年第8期32-57,共26页
Journal of Management World
基金
国家自然科学基金青年项目"货币政策
房地产价格与金融稳定"(项目批准号:71503290)
中央财经大学"中财121人才工程"青年博士发展基金"宏观审慎政策的有效性及其与货币政策的协调分析"(项目批准号:QBJ1415)
国家社科基金重大项目"金融排斥
金融密度差异与信息化普惠金融体系建设研究"(项目批准号:14ZDA044)
中国人民银行研究局课题"改革并完善适应现代金融市场发展的金融监管框架研究"(项目批准号:15ZDC019)
教育部哲学社会科学研究重大课题攻关项目"中国资本账户开放进程安排和风险防范研究"(项目批准号:14JZD016)
教育部人文社会科学研究规划基金项目"我国宏观审慎政策协调问题研究"(项目批准号:15YJA790090)的资助
