银行与政府部门间信用风险的跨国传导与反馈研究——以欧元区为例

发布时间：2018-03-18 09:09

本文选题：或有权益分析　切入点：部门风险反馈　出处：《世界经济研究》2017年06期 　论文类型：期刊论文

【摘要】：文章以欧债危机中银行和政府部门间信用风险跨国传导为切入点,基于或有权益分析方法(CCA)建立跨国部门间信用风险模型,构造系统重要性和脆弱性指标,研究信用风险跨国传导与反馈的机制和特点。结果表明,基于银行同业、隐含担保和主权债务渠道的跨国风险外溢效应显著;跨国间部门的风险传导表现出单向性,政府部门能极大影响银行信用风险,但银行风险对他国政府部门影响不大;与系统重要性相比,国别间银行部门系统脆弱性对外部风险冲击更加敏感。基于此,文章提出应加强商业银行国债投资的国别风险管理,减少对本国主权债务的持有;建立基于系统性风险贡献的准备金制度,动态调节风险储备。
[Abstract]:This paper starts with the transnational transmission of credit risk between banks and government departments in the European debt crisis. Based on the contingent interest analysis method (CCAA), the paper sets up a credit risk model among transnational departments and constructs systematical importance and vulnerability indicators. This paper studies the mechanism and characteristics of transnational transmission and feedback of credit risk. The results show that the interbank risk spillover effect of implied guarantee and sovereign debt channels is significant. Government departments can greatly influence bank credit risk, but bank risk has little impact on other government departments. The vulnerability of intercountry banking sector system is more sensitive to external risk impact than systemic importance. This paper puts forward that the country risk management of national debt investment of commercial banks should be strengthened, the holding of national sovereign debt should be reduced, the reserve system based on the contribution of systemic risk should be established, and the risk reserve should be dynamically adjusted.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家社会科学基金一般项目“经济增速下行引致的系统性金融风险及防范机制研究”(项目编号:15BJY152)的资助
【分类号】：F831

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