银行和政府间信用风险反馈机制研究——基于希腊的样本

发布时间：2018-11-17 14:51

【摘要】：本文从欧债危机对希腊银行和政府部门带来的负面冲击入手,基于或有权益分析方法 (CCA)构建双重隐性担保模型,分析危机演变过程中负面冲击在银行和政府部门间形成的信用风险反馈机制,研究救助意愿、银行持有政府债务与希腊政府违约的关系。结果表明,银行和政府部门分别受到冲击后,风险在两部门间通过显性负债和隐性担保方式转移,政府承担大部分风险损失;政府部门资产市值损失随着政府救助意愿的增加而变大,导致希腊政府部门资产负债表质量恶化;银行资产市值损失随着银行持有政府债务占政府总债务的比重增加而变大;同时,资产波动率的上升进一步恶化两部门资产市值。基于此,本文提出建立动态储备、银行要持有适度规模的国债和降低金融市场波动性的政策建议。
[Abstract]:Starting from the negative impact of the European debt crisis on Greek banks and government departments, this paper constructs a double implicit guarantee model based on contingent equity analysis method (CCA). This paper analyzes the credit risk feedback mechanism between banks and government departments formed by negative shocks in the course of crisis evolution, studies the willingness to rescue, and the relationship between the banks holding government debt and the Greek government default. The results show that after the impact on banks and government departments, the risk is transferred between the two sectors through explicit liabilities and implicit guarantees, and the government bears most of the risk losses. The loss of market value of government assets becomes bigger with the increase of government's willingness to rescue, which leads to the deterioration of balance sheet quality of Greek government departments, and the loss of bank assets' market value increases with the increase of the proportion of government debt held by banks to the total government debts. At the same time, the rise in asset volatility further worsened the market capitalization of assets in both sectors. Based on this, this paper puts forward some policy suggestions for the establishment of dynamic reserve, the bank should hold the appropriate scale of national debt and reduce the volatility of financial market.
【作者单位】：武汉大学经济与管理学院;武汉市科技金融创新促进中心;
【基金】：国家社科基金一般项目“经济增速下行引致的系统性金融风险及防范机制研究”(15BJY152)的资助
【分类号】：F815.45;F835.45

【参考文献】