基于复杂网络的银行间市场网络流动性传导研究

发布时间：2018-02-10 05:51

本文关键词： 复杂网络银行间市场系统性风险流动性冲击　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：历次金融危机对银行业造成的巨大冲击和损失使得银行系统性风险逐渐受到重视,研究银行系统性风险成为近年来的热点问题。银行间市场因其规模巨大和银行间拆借形成的复杂关系成为银行系统性风险的重要来源。简单来说,银行间市场系统性风险是指在流动性冲击下单个或多个银行的倒闭以及其后可能引发的风险传染威胁市场稳定的现象。综合已有文献研究,银行间市场系统性风险可分为初始冲击和风险传染两部分。本文在复杂网络的三种基本模型的基础上构造了有向赋权的三种银行间市场网络结构,通过分析网络结构的流动性传导能力来考察网络结构对于初始冲击的防范功能。借助Matlab软件编程实现网络架构模拟分析了外生流动性冲击下特定网络的结构参数、拆借抵押资产风险扣减率和拆借模式对网络结构流动性传导能力的影响。研究表明随着拆借抵押资产风险扣减率的不断提高,三种网络结构的流动性传导能力均逐渐下降,并且出现了拆借抵押资产风险扣减率的阀值现象。银行间市场网络双向拆借占比的增加极大的增强了三种网络结构的流动性传导能力。通过相同平均连接概率下的对比发现,无标度网络因其各节点之间拆借资源的极度不均造成了流动性传导能力明显低于随机网络和小世界网络。相较而言,小世界网络结构表现出优于随机网络和无标度网络的流动性传导能力,在受到外生流动性冲击时能够更好的发挥银行间市场的风险分担功能。
[Abstract]:The great impact and losses caused by the previous financial crises on the banking industry have made the systemic risk of the banks receive more and more attention. The study of systemic risk in banks has become a hot issue in recent years. The interbank market has become an important source of systemic risk for banks because of its large scale and the complex relationship between interbank lending and lending. The systemic risk of interbank market refers to the phenomenon of single or multiple bank failure under the impact of liquidity and the risk contagion that may lead to threaten the stability of the market. The systematic risk of interbank market can be divided into two parts: initial impact and risk contagion. Based on the three basic models of complex network, this paper constructs three kinds of directed weighted interbank market network structure. By analyzing the fluidity conduction ability of the network structure, the function of the network structure against the initial shock is investigated, and the structure parameters of the specific network under the exogenous liquidity shock are simulated and analyzed by Matlab software programming. The effect of risk reduction rate of mortgage assets and the mode of lending on the liquidity conduction ability of network structure. The results show that with the increasing of risk reduction rate of mortgage assets, the fluidity conductivity of the three kinds of network structure decreases gradually. And the phenomenon of threshold value of risk reduction rate of mortgage assets appears. The increase of two-way ratio of interbank market network greatly enhances the liquidity conductivity of three kinds of network structure. Through the comparison of the same average connection probability, it is found that, Scale-free networks have significantly lower liquidity conductivity than random networks and small-world networks because of the extreme imbalance in borrowing resources between nodes. Small-world network structure shows better liquidity conduction ability than random network and scale-free network, and it can play the role of risk sharing in interbank market better when it is impacted by exogenous liquidity.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830;O157.5

【参考文献】