基于宏观审慎的我国银行间系统风险传染机制

发布时间：2018-02-08 16:37

本文关键词： 宏观经济变量系统性风险风险传染银行监管　出处：《河南师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：近来的一系列金融危机,使预测某个国家或地区系统性风险传染显得尤为重要。系统性风险的存在与否，成为某个区域或国家金融存在危机的标志。发展迅速和日益复杂的我国的金融体系，对我国的金融监管提出了新的课题。在金融监管体系中有机地加入宏观审慎，才会更好地阻止风险的外部性引起的大范围的风险传染。一旦风险在银行间传染，演变成系统性风险，会造成很大地损失,严重时可能导致整个金融系统丧失其基本功能。所以研究银行系统性风险传染有及其重要的意义。首先,本文对银行系统性风险的相关概念进行了界定。然后模拟我国银行间系统危机的传染。在实证研究时，用到了我国的几家主要银行的同业拆放和存放数据，且计算时涉及了Eviews、Spss等工具。通过最小二乘法和相对熵方法，在假设不同损失率后，研究单家银行倒闭引起的危机在系统中的传染。结果表明这两种方法对应的传染过程存在差异，且最小二乘方法的效果更好些。其次，考虑到宏观经济变量对我国银行的抗风险能力存在的影响，本文把国内生产总值(GDP)，股票价格指数(SP)，房地产价格指数(HP)和一年期存贷款利差(R)，这四个变量引入到了情景模拟中，以考察监管部门针对金融危机制定地干预政策对银行间风险传染的作用。银行间复杂的业务来往会导致这种现象，若某家银行出现偿付困难，跟该家银行有业务来往，尤其是大量业务的的其他银行就会受到影响，，甚至会破产。在对风险传染进行预测时，由于四个宏观变量间存在共线性，所以先对四个经济变量进行主成分分析，利用主成分的回归方程得到比较精确的四个变量对银行所有者权益的回归方程；然后通过压力测试，找到所有者权益最差状态的四个变量的取值，计算该情形下银行的所有者权益，最后对银行进行风险传染测试。结果表明主成分—分位数方法能够有效地解决变量的多重共线性问题。文章的最后，从充分发挥宏观审慎监管框架的作用，宏观微观审慎监管同时进行，加强相关监管机构的分工合作，三个方面提出了防范我国银行系统性风险发生的建议。
[Abstract]:The recent series of financial crises have made it particularly important to predict systemic risk contagion in a certain country or region. It has become a symbol of financial crisis in a certain region or country. The rapidly developing and increasingly complex financial system of our country has put forward a new topic for our financial supervision. In order to better prevent the risk contagion caused by the externality of risk. Once the risk spreads between banks, it turns into systemic risk, which results in a lot of losses. In severe cases, the whole financial system may lose its basic function. Therefore, it is of great significance to study the systemic risk contagion of banks. First of all, this paper defines the related concepts of banking systemic risk, and then simulates the contagion of interbank system crisis in China. In the empirical study, we use the interbank offered and stored data of several major banks in our country. By using the least square method and the relative entropy method, the loss rate is assumed to be different. This paper studies the contagion of the crisis caused by the failure of a single bank in the system. The results show that there are differences between the two methods in the corresponding contagion process, and the least square method is more effective. Secondly, considering the impact of macroeconomic variables on the ability of Chinese banks to resist risks, In this paper, four variables, GDP, stock price index, real estate price index, and one-year deposit and loan interest margin, are introduced into the scenario simulation. In order to examine the role of regulatory intervention policies formulated in response to the financial crisis to the contagion of inter-bank risks. Complex inter-bank business transactions can lead to this phenomenon. If a bank has difficulties in paying its debts, it has business dealings with that bank. In particular, other banks with a lot of business will be affected, or even go bankrupt. In forecasting risk contagion, because there is a co-linearity among the four macro variables, the principal component analysis of the four economic variables is carried out first. By using the regression equation of principal component, the regression equation of the bank owner's equity with four variables is obtained, and the value of the four variables in the worst state of owner's equity is found by the stress test. In this case, the owner's equity of the bank is calculated, and the risk contagion test is carried out on the bank. The results show that the principal component quantile method can effectively solve the multiple collinearity problem of variables. At the end of the paper, the author puts forward some suggestions on how to prevent the systemic risk of Chinese banks from three aspects: exerting the role of macro-prudential supervision framework, carrying out macro-micro prudential supervision simultaneously, and strengthening the division of work and cooperation of relevant regulatory bodies.
【学位授予单位】：河南师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F272.3

【参考文献】