基于矩阵法的我国银行间市场系统性风险实证研究

发布时间：2018-02-15 03:26

本文关键词： 系统性风险银行间市场矩阵法　出处：《湘潭大学》2014年硕士论文　论文类型：学位论文

【摘要】：2007年，美国次贷危机对全球金融体系和实体经济造成重创。于是，监管者开始重新审视金融体系的稳健性，将监管重点从以往的微观审慎监管转移到宏观审慎监管，更多地关注如何保障整个金融系统尤其是银行系统的安全。由于银行相互之间存在高度信贷关联，单个银行倒闭会引发一连串银行或倒闭或遭受一定程度的资产损失，最终可能波及到整个金融体系。因此次贷危机之后，各国开始高度关注银行间风险传染效应的评估和监管。本文依据矩阵法原理，基于2011年各上市银行的年报数据，不考虑金融安全网的作用来模拟我国银行间市场系统性风险。银行同业往来状况主要反映在银行资产负债表的四个科目中，分别是存放同业、拆放同业、同业存放、同业拆放，每个科目按照交易对象及交易地区的不同，又划分为境内（外）同业、境内（外）非银行金融机构四个子科目。本文首先将境内非银行金融机构及境外同业往来数据剔除后对我国银行间市场交易矩阵进行模拟，然后考虑到非银行金融机构在银行同业交易中的比重不断上升，将非银行金融机构的同业拆借数据包括在内再次测算银行间市场传染风险，研究结果显示：（1）系统性风险传染程度除了与清偿能力相关外，还与资产损失率θ相关，，θ越高，系统性风险波及的范围越大，导致的后果越严重；（2）改进后的矩阵模型模拟银行同业拆借市场的传染风险时，五大国有银行和兴业银行都成为风险传染源，而改进之前的风险传染源只有工商银行，这说明与非银行金融机构的同业往来在上述传染源银行，尤其是在中国银行、建设银中和工商银行中占据很大比例，由此才会产生数据样本增加后的不同测算结果；（3）当θ=1时，中国银行倒闭引起建设银行资不抵债，同时建设银行一旦倒闭同样引起中国银行倒闭，说明中国银行、建设银行同业往来密切；工商银行倒闭引发中国银行倒闭，但中国银行倒闭并没有使工商银行倒闭，说明工商银行在同业拆借市场中的抗风险能力较强；（4）在股份制商业银行中，招商银行的抗风险能力最强。
[Abstract]:In 2007, the subprime mortgage crisis in the United States caused heavy damage to the global financial system and the real economy. Therefore, regulators began to re-examine the soundness of the financial system, shifting the focus of supervision from microprudential supervision to macro-prudential supervision. Paying more attention to the security of the financial system as a whole, especially the banking system. Because of the high credit relationship between banks, the failure of a single bank can lead to a series of bank failures or some degree of asset losses, As a result, after the subprime mortgage crisis, countries began to pay close attention to the assessment and regulation of the contagion effect between banks. Based on the principle of matrix method and the annual report data of each listed bank in 2011, Without considering the role of the financial safety net, we can simulate the systemic risk in the interbank market in China. Interbank transactions are mainly reflected in the four subjects of the bank balance sheet, namely, depositing interbank, interbank depositing, interbank depositing, and interbank offering. Each subject is divided into domestic (external) peers according to the object of the transaction and the region in which it is traded. Four sub-subjects of domestic (external) non-bank financial institutions. Firstly, this paper simulates the interbank market transaction matrix of our country after the data of domestic non-bank financial institutions and foreign interbank transactions are removed. Then taking into account the increasing proportion of non-bank financial institutions in interbank transactions, including the interbank lending data of non-bank financial institutions, the risk of contagion in the interbank market is again measured. The results show that the degree of systemic risk contagion is not only related to solvency, but also to asset loss rate 胃. The higher 胃 is, the larger the scope of systemic risk spread is. The more serious the consequences, the more serious the improved matrix model is when it comes to simulating the contagion risk in the interbank lending market, the five major state-owned banks and industrial and commercial banks are both the source of risk contagion, while the only source of risk infection before the improvement is the Industrial and Commercial Bank. This shows that interbank exchanges with non-bank financial institutions account for a large proportion of the above-mentioned source banks, especially the Bank of China, and ICBC, which will result in different results after the increase of data samples.) when 胃 = 1:00, The failure of the Bank of China caused the China Construction Bank to be insolvent, and the collapse of the Construction Bank also led to the collapse of the Bank of China, indicating that the Bank of China and the Construction Bank had close interbank exchanges; the collapse of the Industrial and Commercial Bank of China caused the collapse of the Bank of China. However, the failure of Bank of China did not cause ICBC to fail, indicating that ICBC has stronger ability to resist risks in the interbank lending market. (4) among joint-stock commercial banks, China Merchants Bank has the strongest ability to resist risks.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3;F224

【参考文献】