中国系统重要性银行评估:来自2006-2010年中国上市银行的证据

发布时间：2018-12-08 19:04

【摘要】：系统重要性银行是指具有负外部性特征,并且由于规模、复杂度与系统相关度在金融市场中承担了关键功能,其无序破产可能给金融体系造成包括核心金融功能的中断、金融服务成本急剧增加等在内的系统性风险,进而可能危及金融稳定、损害实体经济的银行。通过对系统重要性银行进行评估,得出其主要影响指标包括银行规模、关联性、复杂性和可替代性,其中,交易性金融资产与负债是最重要的关联性指标,衍生金融资产与负债是最重要的复杂性指标。系统重要性银行评估结果显示,假定阀值为5%,则全部国有商业银行和股份制商业银行中的招商银行、光大银行和中信银行属于系统重要性银行,而其他股份制商业银行和全部城市商业银行则不属于系统重要性银行。
[Abstract]:Systemically important banks are characterized by negative externalities, and because of the scale, complexity and correlation degree of the system, they assume the key functions in the financial market. The disorderly bankruptcy of the banks may interrupt the financial system, including the core financial functions. The systematic risk, such as the sharp increase in the cost of financial services, may endanger the financial stability and damage the banks in the real economy. Through the evaluation of systemically important banks, it is concluded that the main impact indicators include bank size, relevance, complexity and substitutability. Among them, transactional financial assets and liabilities are the most important correlation indicators. Derivative financial assets and liabilities are the most important indicators of complexity. The evaluation results of systemically important banks show that, assuming a threshold of 5, all state-owned commercial banks and joint-stock commercial banks, such as China Merchants Bank, Everbright Bank and CITIC Bank, belong to systemically important banks. Other joint-stock commercial banks and all urban commercial banks are not systemically important banks.
【作者单位】：湖南大学金融与统计学院;
【基金】：国家自然科学基金《中国债券市场监管标准研究》(项目号:71073050) 高校博士点基金《系统论视角下中国债券市场监管标准研究》(项目号:20100161110021)资助
【分类号】：F832.2;F832.51;F224

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