中国银行业系统性风险研究——宏观审慎视角下的三个压力测试

发布时间：2018-01-13 09:06

本文关键词：中国银行业系统性风险研究——宏观审慎视角下的三个压力测试　出处：《经济理论与经济管理》2017年02期 　论文类型：期刊论文

【摘要】：本文在传统网络模型中加入去杠杆—降价抛售机制,研究以下两类宏观经济冲击对银行体系系统性风险的影响。从房地产贷款违约压力测试看,房地产贷款违约引起的传染风险是系统性风险的重要来源;传染损失比重和去杠杆次数结果则表明,2007年我国银行面临的传染风险最高,之后呈现快速下降的趋势;参数敏感性结果表明,网络模型中去杠杆、降价抛售以及破产对传染风险的相对重要性依次递减。从地方政府融资平台贷款违约压力测试看,大型商业银行受平台贷款违约的影响小于股份制和城市商业银行。此外,平台贷款违约概率存在阈值,在阈值之上银行损失和倒闭急剧攀升。基于银行倒闭压力测试,量化出本文的网络模型相对于传统网络模型的优越性。本文还发现中国金融体系的系统重要性与系统脆弱性指标的"错配"对于维持金融体系稳定非常关键。
[Abstract]:In this paper, the deleveraging and selling mechanism is added to the traditional network model to study the impact of the following two kinds of macroeconomic shocks on the systemic risk of the banking system. The contagion risk caused by the default of real estate loan is an important source of systemic risk. The results of the proportion of contagion loss and the number of times of deleveraging show that in 2007 the risk of contagion faced by Chinese banks was the highest and then showed a trend of rapid decline. The parametric sensitivity results show that the relative importance of deleveraging, price selling and bankruptcy to contagion risk is decreasing in the network model. Large commercial banks are less affected by platform loan default than joint-stock and urban commercial banks. In addition, the probability of platform loan default exists threshold. Bank losses and failures rise sharply above the threshold. Based on bank failure stress tests. This paper quantifies the superiority of the network model compared with the traditional network model. It is also found that the system importance of the Chinese financial system and the mismatch of the system vulnerability index are very important for maintaining the stability of the financial system.
【作者单位】：中央财经大学金融学院;
【基金】：国家自然科学基金青年项目(71503290);国家自然科学基金项目(71403305)的资助国家社科基金重大项目(14ZDA044)
【分类号】：F832
【正文快照】： 一、引言2007—2009年的国际金融危机凸显了金融体系对房地产行业的过度风险暴露及金融机构之间过度关联所导致的系统性风险等问题。危机开始前,金融机构首先面临着房地产贷款违约的直接冲击,并导致其杠杆上升。由于大部分金融机构都遭受此冲击,且面临着资本充足率等监管要求,

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