银行间债务违约诱发资产减价出售——基于债务与资产关联的风险叠加传染研究

发布时间：2018-07-09 21:20

本文选题：银行间债务 + 减价出售　；参考：《系统工程理论与实践》2017年11期

【摘要】：本文针对银行间债务与外部资产关联两种传染渠道,研究了风险传染的叠加效应.首先,本文构建了包含两种传染机制的研究框架.该研究框架的优势在于,允许两种传染机制同时存在,相互影响,为多种传染机制风险叠加的相关问题提供了一类研究方法.其次,本文提出了一种新的实验设计思路.在相同的基础设置上,独立进行银行间债务违约,减价出售以及同时存在这两种传染机制的三种模拟.这种实验设计完全剔除了两种传染机制的交叉影响,因此可以准确研究两种传染机制的叠加效应.最后,本文进行了三组实验,分析了两种传染机制的叠加效应,研究了资产价格敏感系数,银行间贷款比例对叠加效应的影响.研究结果发现:1)两种传染机制同时存在产生的叠加效应的破坏力远远大于两种传染机制的独立传染破坏力.风险传染的叠加效应是形成银行系统性风险的主要推手.2)资产价格敏感系数对减价出售以及叠加效应的影响具有突变性.在减价出售过程中,随着抛售资产数量增加,价格加速下降,减价出售的风险传染力度不断增大,会导致叠加效应加速放大.在风险传染初期,若能保证充足的流动性,避免减价出售,则能够大大降低银行系统性风险.3)银行间贷款比例变动对债务违约以及叠加效应的影响力有限.与减价出售传染不同,银行间债务违约传染随着传染轮次的增加,初始冲击的损失会不断被违约银行的权益所吸收,传染损失会逐渐衰退.
[Abstract]:In this paper, the superposition effect of risk contagion is studied for two kinds of contagion channels: interbank debt and external assets. First of all, this paper constructs a research framework including two infectious mechanisms. The advantage of this research framework is that it allows two infectious mechanisms to exist simultaneously and interact with each other, which provides a kind of research method for the risk superposition of multiple transmission mechanisms. Secondly, a new idea of experimental design is proposed. On the same basis, three kinds of simulations of interbank debt default, reduction of price and simultaneous existence of these two contagion mechanisms are carried out independently. This experimental design completely eliminates the cross effect of the two transmission mechanisms, so the superposition effect of the two transmission mechanisms can be accurately studied. Finally, three groups of experiments are carried out to analyze the superposition effects of the two infectious mechanisms, and to study the effects of asset price sensitivity coefficient and the ratio of inter-bank loans on the superposition effect. It is found that the superposition effect of the two infectious mechanisms is much more destructive than the independent contagion mechanism of the two infectious mechanisms. The superposition effect of risk contagion is the main driving force to form the systemic risk of banks. 2) the influence of asset price sensitivity coefficient on price reduction and superposition effect is abrupt. In the process of price reduction, with the increase of the amount of assets sold, the price decreases rapidly, and the risk contagion of the sale increases, which will lead to the acceleration of the superposition effect. In the early stages of risk contagion, if sufficient liquidity can be guaranteed and a reduction in price can be avoided, it can greatly reduce the bank systemic risk. 3) the effect of the change in the ratio of inter-bank loans on debt default and the superposition effect is limited. With the increase of contagion rounds, the initial impact losses will be absorbed by the rights and interests of the defaulting banks, and the contagion losses will gradually decline.
【作者单位】：东北财经大学金融学院;东北财经大学实验经济学实验室;
【基金】：国家自然科学基金(71571034,71773013,61304180) 辽宁省高等学校优秀人才支持计划(WJQ2015012)~~
【分类号】：F830

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