基于SIR模型的银行危机传染研究
发布时间：2018-10-31 16:52
【摘要】：银行危机的传染是当银行受经济波动等原因的影响下,造成银行流动性的缺乏,流动性的不足会通过金融市场进行传导,预期使得有业务往来的银行流动性不足,进而导致银行危机在银行间传递的过程。银行业是金融市场的主要构成部分，大规模的银行危机传染不仅会导致整个银行系统的健康有序发展，并且会严重阻碍实体经济的持续发展。国内虽然对银行危机传染过程的研究有很多，但是无论在理论上还是在模型方法上都有很大的不足，因此对银行危机传染过程的研究仍旧有着重要的意义。 国内外学者采用不同的模型方法对银行危机的传染进行了系统的研究，但这些方法均不能全面的描述整个银行危机传染的过程。为了解决现有方法或者模型存在的不足，，本文首先在明确对银行危机传染的定义、影响因素以及传播路径的基础上，根据巴塞尔委员会对各因素对银行危机传染的影响大小，依据银行资本规模、业务关联度和综合程度将每一个参与到危机中的银行进行标注化处理。借鉴病毒传染的SIR仓室模型，构建银行危机传播的动态模型，并求出危机转播阀值，得出三个重要结论：危机是否蔓延取决于危机传播阀值和初始标准化风险暴露银行数量的相对大小；增大银行危机管理系数和危机银行的破产系数均有助于控制银行危机；中小型银行居多的区域银行结构有利于降低银行危机的传播速度 根据模型得出的结论，文章从包括发展区域中小银行、建立完善的监管法律体系以及建立银行存款保险制度等方面提出了完善我国银行危机传染监管的政策建议，以期能够对银行危机传染进行有效预防和监管。
[Abstract]:The contagion of the banking crisis is that when banks are affected by economic fluctuations and other reasons, the lack of bank liquidity, which will be transmitted through the financial market, is expected to cause banks with business transactions to be illiquid. In turn, it leads to the process of bank crisis passing between banks. The banking industry is the main component of the financial market. The large-scale banking crisis contagion will not only lead to the healthy and orderly development of the whole banking system, but also seriously hinder the sustainable development of the real economy. Although there are a lot of researches on the process of bank crisis contagion in our country, it is still of great significance to study the process of bank crisis contagion, both in theory and in the model method. Scholars at home and abroad used different models to study the contagion of bank crisis, but these methods can not describe the whole process of bank crisis contagion. In order to solve the shortcomings of the existing methods or models, this paper first of all, on the basis of defining the bank crisis contagion, influencing factors and transmission path, according to the Basel Committee on the impact of each factor on the banking crisis contagion. Each bank involved in the crisis is tagged according to the size of the bank's capital, the degree of business relevance and the degree of integration. Based on the SIR warehouse model of virus infection, the dynamic model of bank crisis transmission is constructed, and the crisis retransmission threshold is obtained. Three important conclusions are drawn: whether the crisis spreads depends on the crisis propagation threshold and the relative size of the number of banks exposed to the initial standardized risk; Increasing the crisis management coefficient and bankruptcy coefficient of the crisis bank can help to control the bank crisis. The regional banking structure of small and medium-sized banks is conducive to reducing the spread speed of the banking crisis according to the conclusion of the model. This paper includes the development of regional small and medium-sized banks. In order to prevent and supervise bank crisis contagion effectively, the author puts forward some policy suggestions on how to perfect the supervision of bank crisis contagion from the aspects of establishing a perfect legal system of supervision and establishing the system of bank deposit insurance and so on.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.3;F832.3;F224
本文编号：2302939
[Abstract]:The contagion of the banking crisis is that when banks are affected by economic fluctuations and other reasons, the lack of bank liquidity, which will be transmitted through the financial market, is expected to cause banks with business transactions to be illiquid. In turn, it leads to the process of bank crisis passing between banks. The banking industry is the main component of the financial market. The large-scale banking crisis contagion will not only lead to the healthy and orderly development of the whole banking system, but also seriously hinder the sustainable development of the real economy. Although there are a lot of researches on the process of bank crisis contagion in our country, it is still of great significance to study the process of bank crisis contagion, both in theory and in the model method. Scholars at home and abroad used different models to study the contagion of bank crisis, but these methods can not describe the whole process of bank crisis contagion. In order to solve the shortcomings of the existing methods or models, this paper first of all, on the basis of defining the bank crisis contagion, influencing factors and transmission path, according to the Basel Committee on the impact of each factor on the banking crisis contagion. Each bank involved in the crisis is tagged according to the size of the bank's capital, the degree of business relevance and the degree of integration. Based on the SIR warehouse model of virus infection, the dynamic model of bank crisis transmission is constructed, and the crisis retransmission threshold is obtained. Three important conclusions are drawn: whether the crisis spreads depends on the crisis propagation threshold and the relative size of the number of banks exposed to the initial standardized risk; Increasing the crisis management coefficient and bankruptcy coefficient of the crisis bank can help to control the bank crisis. The regional banking structure of small and medium-sized banks is conducive to reducing the spread speed of the banking crisis according to the conclusion of the model. This paper includes the development of regional small and medium-sized banks. In order to prevent and supervise bank crisis contagion effectively, the author puts forward some policy suggestions on how to perfect the supervision of bank crisis contagion from the aspects of establishing a perfect legal system of supervision and establishing the system of bank deposit insurance and so on.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.3;F832.3;F224
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