中国银行体系的风险传染效应研究

发布时间：2018-08-29 08:23

【摘要】：20世纪70年代以来,在发展中国家和发达国家一共爆发了168次银行危机,这其中包括117次系统性危机和51次非系统性危机,其造成的损失都超过了年GDP的十分之一。而最近发生的次贷危机以及随后的欧债危机,其影响力更是席卷全球。在银行的系统性风险的产生中,最为重要的因素是银行体系间的风险传染效应。正确的识别和度量该效应,对于银行危机的防范有十分重要的作用。基于此,本文对银行的风险传染效应进行了详细的研究,,使用了模型分析、仿真模拟、实证检验等研究方法。具体而言,首先,研究了单个银行危机产生机制的理论模型,得出了储户取款要求的变化对银行挤兑产生的影响；接着,运用仿真模拟和实证检验的方法,对银行体系内的风险传染效应进行分析,重点研究了系统重要性银行的识别和传染效应的度量；最后,分析了国际金融市场对中国银行业的风险传染途径和传染效应。本文得出的主要结论有： (1)单个银行危机产生机制的理论研究表明,一旦某银行出现支付危机,这个信息会很快被储户捕捉到,由于信息的不对称性,储户中那些谨慎类型的人就会提前取款,这种取款行为由于羊群效应的影响,使得储户之间发生传染,会有越来越多的人加入到提前取款的行列,使得银行的经营状况更加恶化,最终使得单个银行危机不可避免,导致银行失败,而银行中坏账的存在,又会使得这一过程的产生被加快,银行的危机会更早出现。 (2)银行体系间风险传染效应的仿真模拟结果表明,银行体系中错综复杂的债权债务关系,使得一家银行的失败风险会引发传染效应,最终可能会引发一场银行体系的系统性风险。具体而言,如果发生危机的银行,其债权损失率不超过30%,那么,不论银行是否系统重要性银行,都不会对整个银行体系的稳定造成影响；如果达到或者大于50%,传染效应会明显加强,此时,若发生危机的是系统重要性银行,会在很短时间内引发一场系统性风险,若发生危机的不是系统重要性银行,可能会引发局部风险,或者使得系统性风险的过程放慢。总之,系统重要性银行对风险传染效应有决定性的影响。 (3)对中国银行体系内14家上市银行的日收益数据的Copula相关性的实证研究发现,中国的系统重要性银行一共有7家：中国银行、中国工商银行、中国建设银行、中国农业银行、交通银行、民生银行和中信银行,这些银行的传染性非常强,一旦发生风险将会对其他银行乃至整个金融业产生极大的破坏力。
[Abstract]:Since the 1970s, there have been 168 banking crises in both developing and developed countries, including 117 systemic crises and 51 non-systemic crises, all of which caused more than 1/10 of the annual GDP. The recent subprime mortgage crisis and the subsequent European debt crisis, its impact is sweeping the world. The most important factor is the risk contagion effect among banks. Correct recognition and measurement of this effect plays an important role in the prevention of bank crisis. Based on this, this paper makes a detailed study on the risk contagion effect of banks, using the methods of model analysis, simulation, empirical testing and so on. In particular, first of all, the theoretical model of the crisis generation mechanism of a single bank is studied, and the influence of the change of depositors' withdrawal requirements on the bank runs is obtained. Then, the method of simulation and empirical test is used. This paper analyzes the risk contagion effect in the banking system, focuses on the identification and measurement of the contagion effect of systemically important banks, and finally, analyzes the risk contagion path and contagion effect of the international financial market to the Chinese banking industry. The main conclusions of this paper are as follows: (1) the theoretical research on the mechanism of single bank crisis shows that once a bank has a payment crisis, this information will be quickly captured by depositors because of the asymmetry of the information. The prudent type of savers will withdraw money in advance, and the withdrawal behavior will be affected by the herding effect, and more people will join in the advance withdrawal. It makes the operation of the bank worse, and finally makes the crisis of individual bank inevitable, leading to the failure of the bank, and the existence of bad debts in the bank will speed up the process. Bank crises will occur earlier. (2) the simulation results of risk contagion effect between banking systems show that the complex relationship between creditor's rights and liabilities in the banking system makes the failure risk of a bank lead to contagion effect. It could eventually trigger a systemic risk to the banking system. Specifically, if the bank in crisis has a loss rate of less than 30%, then, whether the bank is systemically important or not, it will not affect the stability of the whole banking system; If the contagion effect is reached or greater than 50%, the contagion effect will obviously strengthen. In this case, if the crisis occurs in a systemically important bank, it will cause a systemic risk in a very short period of time, and if the crisis is not a systemically important bank, It may cause local risk, or slow down the process of systemic risk. In short, systemically important banks have a decisive impact on risk contagion effect. (3) empirical study on the Copula correlation of daily earnings data of 14 listed banks in the banking system of China shows that, There are seven systemically important banks in China: bank of China, Industrial and Commercial Bank of China, China Construction Bank, Agricultural Bank of China, Bank of Communications, Minsheng Bank and CITIC Bank. These banks are very contagious. A risk would be devastating to other banks and to the financial sector as a whole.
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F832.3

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