摘要
随着国内经济下行压力增大,银行风险传染的研究越来越受到重视.基于银行间同业拆借和上市银行股价高频数据,构建了银行风险沿同业拆借直接渠道和信息溢出间接渠道交叉传染的复杂网络模型,并进一步通过仿真模拟发现:相较于单一传染渠道,双渠道交叉传染下银行系统的核心资本损失率更高,即只考虑一种传染渠道会低估银行间的风险传染效应;与完全连接网络结构相比,中心-边缘网络结构更加贴合实际,处于网络边缘位置的部分股份制银行和城市商业银行在后一种网络结构中造成的核心资本损失率更高,其风险溢出不容忽视.
Abstract
With the increasing downward pressure of domestic economy,the research of bank risk contagion has been paid more and more attention.Financial security is a key component of national security,and preventing and controlling financial risks is a top priority for the economy.With the development of the inter-bank market and the advancement of Internet technology and mo-bile communication technology,the inter-bank lending market plays an important role in financial stability,monetary policy trans-mission and market supervision,and its scale is generally on the rise,at the same time,inter-bank information transmission has become faster and more convenient.This has led to the intensification of risk transmission based on inter-bank lending channels and information spillover channels,and financial risks can spread to a wider scope along the dual channels,and it is more realis-tic and convincing to study the contagion of financial risks along the dual channels.Based on the inter-bank lending data and stock yield data from 2017 to 2021,this paper studies the cross-contagion of inter-bank financial risks along inter-bank lending channels and information spillover channels and dual-channel cross-infection,and based on the principle of maximum entropy and the construction of the fully connected network structure and center-edge network structure of inter-bank financial risk conta-gion,it is found through simulation that considering only one infection channel will underestimate the risk contagion effect of banks,that is,whether under the fully connected network structure or under the hub-edge network structure.The core capital loss rate of the banking system under the dual channels is greater than the core capital loss rate of the banking system under the inter-bank lending channel.The hub-edge network structure is more realistic,and compared with the fully connected network structure,the core capital loss rate of the banking system caused by the central bank under the center-edge network structure is higher,while the core capital loss rate of the banking system caused by the edge bank under the center-edge network structure is lower.
基金项目
国家社会科学基金后期资助重点项目(21FJYA002)
NETL
NSTL
万方数据