金融网络视角下的宏观审慎管理——基于银行间支付结算数据的实证分析

发布时间：2018-03-17 16:04

本文选题：宏观审慎管理　切入点：金融网络模型　出处：《金融研究》2010年04期 　论文类型：期刊论文

【摘要】：本文认为,以金融系统内个体间相互连接构成的网络为对象,立足于金融网络结构的稳定性分析,并以此视角对整个金融体系的系统性风险状况进行监测、预警与分析,不失为现有制度约束下,推进我国宏观审慎管理制度建立的关键。本文提出借鉴矩阵模型的思路构建中国金融网络的风险传递模型,并以单一时点压力测试的方式衡量金融网络稳定性,为推动宏观审慎管理框架的建立开拓新的思路。通过分析:(1)理论上,得到了银行网络的稳定条件,并证明了网络稳定状态的存在性与唯一性;(2)实证上,首次利用银行间支付结算数据进行了网络模型实证,并对中国银行网络的结构特点进行了多维度描述;(3)发现我国银行间网络表现出明显的重要节点与局部团状结构共存的结构特征,且网络稳定性表现出一定条件与范围内的均衡。
[Abstract]:In this paper, the author thinks that the network composed of individuals in financial system is based on the stability analysis of financial network structure, and from this perspective, the systemic risk situation of the whole financial system is monitored, forewarned and analyzed. It is the key to promote the establishment of macroprudential management system in China under the restriction of the existing system. This paper puts forward the idea of using matrix model for reference to construct the risk transfer model of Chinese financial network. The stability of the financial network is measured by a single time-point stress test. In order to promote the establishment of the macro-prudential management framework, the stability conditions of the banking network are obtained by analyzing the one-to-one theory. It is proved that the existence and uniqueness of the stable state of the network is the first time that the interbank payment and settlement data are used to carry out the network model demonstration. It is found that the interbank network in China is characterized by the coexistence of important nodes and local clusters, and the stability of the network is balanced within certain conditions and ranges.
【作者单位】：中国人民银行;
【分类号】：F830;F224

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