不同货币政策下我国银行网络鲁棒性的实证研究

发布时间：2018-04-14 11:37

本文选题：货币政策衡量 + 银行网络　；参考：《东北大学》2014年硕士论文

【摘要】：在我国,金融业在现代经济的发展中发挥着重要的作用,而银行业又是金融系统中最为重要的部分,因此,银行系统的稳定运行对整个金融系统甚至整个经济系统都至关重要。近几年来,我国银行同业拆借市场发展迅猛,整个银行系统的资金流动也变得更为频繁,银行间的资金流动使得我国各个银行之间形成了复杂的关系,这些关系使银行系统形成网络。网络必然会受到各种不确定的内部或外部的冲击,这种冲击的后果轻则减缓银行同业拆借市场的效率,阻碍其良好运行,重则沿着整个市场扩散,使其发生“多米诺骨牌”效应,最终导致我国银行同业拆借市场崩溃。因此,对我国银行网络鲁棒性的研究具有重大意义。首先,本文根据我国2001年第1季度到2013年第4季度的季度数据拟合出我国央行在一定时期内的货币政策决定方式,并根据利差项衡量出我国2001年到2013年各季度的货币政策松紧情况,结果发现,在此期间,我国大部分实行的是宽松的货币政策,只在2007年和2011年这两年期间实施的是紧缩的货币政策。其次,本文根据我国19家银行(3家政策性银行和16家上市银行)2001年到2012年的同业拆借数据模拟构建出我国的银行有向网络,并在此基础上利用选择性冲击与随机性冲击的方法对我国银行网络的鲁棒性进行研究。结果发现,我国的银行网络对选择性冲击具有较低的鲁棒性,对随机性冲击则表现出较高的鲁棒性。再次,本文还研究了不同货币政策下,银行网络鲁棒性的差异。结果发现,在货币政策宽松时,银行网络的鲁棒性更低。
[Abstract]:In China, the financial industry plays an important role in the development of modern economy, and the banking industry is the most important part of the financial system. Therefore, the stable operation of the banking system is very important to the whole financial system and even the whole economic system.In recent years, with the rapid development of interbank lending market in China, the capital flow of the whole banking system has become more frequent.These relationships form a network of banking systems.The network is bound to be subject to a variety of uncertain internal or external shocks, the consequences of which are light to slow down the efficiency of the interbank lending market, hinder its good operation and spread along the entire market.Make it "domino" effect, eventually lead to the collapse of the interbank lending market in China.Therefore, it is of great significance to study the robustness of banking network in China.First of all, according to the quarterly data from the first quarter of 2001 to the fourth quarter of 2013, this paper fits the monetary policy decision mode of the central bank in a certain period.According to the interest rate difference, we measure the monetary policy looseness from 2001 to 2013. The results show that during this period, most of the monetary policy in our country is loose.Only in 2007 and 2011 the implementation of tight monetary policy.Secondly, according to 19 banks and 3 policy banks and 16 listed banks in China, the paper simulates the interbank lending data from 2001 to 2012 to construct a directed bank network in China.On this basis, the robustness of China's banking network is studied by the methods of selective impact and random impact.The results show that China's banking network has lower robustness to selective shocks and higher robustness to random shocks.Thirdly, this paper also studies the differences of bank network robustness under different monetary policies.The results show that bank networks are less robust when monetary policy is loose.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.3

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