不良资产引发系统性风险的计算实验分析与政策模拟
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摘要
不良资产是形成市场风险、流动性风险、交易对手风险等众多风险的根源。本文建立了一个包含不良资产的银行间计算实验模型,利用该模型从微观个体的不良资产变化入手研究其对银行系统的宏观影响。模拟实验发现,在资本监管约束下,不良资产的累积导致了银行体系内流动性过剩,单纯宽松的货币政策对缓解债务危机的作用有限,这在一定程度上可以解释次贷危机后全球性的宽松货币政策环境下经济增长仍然乏力的原因。此外,不良资产核销与逆周期资本缓冲政策组合的干预效果最明显,该政策组合能够加快银行系统恢复,并能够避免单纯核销带来的短期冲击。
Bad debts, such as non-performing assets, are generally associated with a wide variety of risks, including market risk, liquidity risk, counterparty risk, etc.In order to investigate the macroeconomic impact of individuals' non-performing assets on the banking system, a new interbank agent-based model is established in this paper, together with a simulation test of relative policy interventions.Our results show that the accumulation of non-performing assets leads to an excess of liquidity in the banking system under the limitations of capital supervision.Moreover, easing of monetary policies plays a limited role in mitigating the debt crisis, which partly accounts for the typically-observed sluggish economic growth in the context of a lax global monetary policy in the aftermath of the 2008 subprime mortgage crisis.Finally, our results from policy simulation tests reveal that the intervention effect of the combined policy of bad debt write-off and countercyclical capital buffer can conspicuously accelerate banking system recovery and avoid the short-term shocks of pure write-offs.
Bad debts, such as non-performing assets, are generally associated with a wide variety of risks, including market risk, liquidity risk, counterparty risk, etc.In order to investigate the macroeconomic impact of individuals' non-performing assets on the banking system, a new interbank agent-based model is established in this paper, together with a simulation test of relative policy interventions.Our results show that the accumulation of non-performing assets leads to an excess of liquidity in the banking system under the limitations of capital supervision.Moreover, easing of monetary policies plays a limited role in mitigating the debt crisis, which partly accounts for the typically-observed sluggish economic growth in the context of a lax global monetary policy in the aftermath of the 2008 subprime mortgage crisis.Finally, our results from policy simulation tests reveal that the intervention effect of the combined policy of bad debt write-off and countercyclical capital buffer can conspicuously accelerate banking system recovery and avoid the short-term shocks of pure write-offs.
引文
苟文均、袁鹰、漆鑫(2016):《债务杠杆与系统性风险传染机制——基于CCA模型的分析》,《金融研究》第3期。
隋聪、迟国泰、王宗尧(2014):《网络结构与银行系统性风险》,《管理科学学报》第4期。
隋聪、王宗尧(2015):《银行间网络的无标度特征》,《管理科学学报》第12期。
王晋斌、李博(2017):《中国货币政策对商业银行风险承担行为的影响研究》,《世界经济》第1期。
韦立坚、张维、熊熊(2017):《股市流动性踩踏危机的形成机理与应对机制》,《管理科学学报》第3期。
吴念鲁、徐丽丽、苗海宾(2017):《我国银行同业之间流动性风险传染研究——基于复杂网络理论分析视角》,《国际金融研究》第7期。
周兆生(2004):《中国国有商业银行不良资产的处置问题研究》,《世界经济》第7期。
Benes, J.and Kumhof, M.“Risky Bank Lending and Countercyclical Capital Buffers.” Journal of Economic Dynamics and Control, 2015, 58, pp.58-80.
Caccioli, F.; Farmer, J.D.and Foti, N.“Overlapping Portfolios, Contagion, and Financial Stability.” Journal of Economic Dynamics and Control, 2015, 51, pp.50-63.
Das, A.and Ghosh, S.“Financial Deregulation and Efficiency: An Empirical Analysis of Indian Banks During the Post Reform Period.” Review of Financial Economics, 2006, 15(3), pp.193-221.
Eisenberg, L.and Noe, T.H.“Systemic Risk in Financial Networks.” Management Science, 2001, 47(2), pp.236-249.
Farmer, J.D.and Foley, D.“The Economy Needs Agent-Based Modelling.” Nature, 2009, 460(7256), pp.685-686.
Fischer, T.and Riedler, J.“Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market.” Journal of Economic Dynamics and Control, 2014, 48(C), pp.95-120.
Galbiati, M.and Soram?ki, K.“An Agent-Based Model of Payment Systems.” Journal of Economic Dynamics and Control, 2008, 35(6), pp.859-875.
Georg, C.P.“The Effect of the Interbank Network Structure on Contagion and Common Shocks.” Journal of Banking & Finance, 2013, 37(7), pp.2216-2228.
Ghosh, A.“Banking-Industry Specific and Regional Economic Determinants of Non-Performing Loans: Evidence from US States.” Journal of Financial Stability, 2015, 20, pp.93-104.
Grilli, R.; Tedeschi, G.and Gallegati, M.“Bank Interlinkages and Macroeconomic Stability.” International Review of Economics & Finance, 2014, 34(C), pp.72-88.
He, J.; Sui, X.and Li, S.“An Endogenous Model of the Credit Network.” Physica A: Statistical Mechanics & Its Applications, 2016, 441(1), pp.1-14.
Iori, G.; Jafarey, S.and Padilla, F.G.“Systemic Risk on The Interbank Market.” Journal of Economic Behavior & Organization, 2006, 61(4), pp.525-542.
Iori, G.; Mantegna, R.N.; Marotta L.; Miccichè, S.; Porter, J.and Tumminello, M.“Networked Relationships in the E-MID Interbank Market: A Trading Model with Memory.” Journal of Economic Dynamics & Control, 2015, 50, pp.98-116.
Iori, G.and Porter, J.“Agent-Based Modelling for Financial Markets.” Department of Economics University of London working paper, 2012, No.12/08.
Jeong, S.and Jung, H.“Bank Wholesale Funding and Credit Procyclicality: Evidence From Korea.” Panoeconomicus, 2013, 60(5), pp.615- 631.
Jiménez, G.; Ongena, S.; Peydró, J.-L.and Saurina, J.“Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments.” Journal of Political Economy, 2017, 125(6), pp.2126-2177.
Kauko, K.“External Deficits and Non-Performing Loans in the Recent Financial Crisis.” Economics Letters, 2012, 115(2), pp.196-199.
Klimek, P.; Poledna, S.and Farmer, J.D.“To Bail-out or To Bail-in? Answers from an Agent-Based Model.” Journal of Economic Dynamics & Control, 2015, 50(C), pp.144-154.
Louzis, D.P.; Vouldis, A.T.and Metaxas, V.L.“Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios.” Journal of Banking & Finance, 2012, 36(4), pp.1012-1027.
Makri, V.; Tsaganos, A.and Bellas, A.“Determinants of Non-Performing Loans: The Case of Eurozone.” Panoeconomicus, 2014, 61(2), pp.193-206.
Podpiera, J.and Weill, L.“Bad Luck or Bad Management? Emerging Banking Market Experience.” Journal of Financial Stability, 2008, 4, pp.135-148.
Quagliarello, M.“Banks' Riskiness over the Business Cycle: A Panel Analysis on Italian Intermediaries.” Applied Financial Economics, 2007, 17(2), pp.119-138.
Zago, A.and Dongili, P.“Credit Quality and Technical Efficiency in Banking.” Empirical Economics, 2011, 40(2), pp.537-558.
Zhang, D.; Cai, J.; Dickinson, D.G.and Kutan A.M.“Non-Performing Loans, Moral Hazard and Regulation of the Chinese Commercial Banking System.” Journal of Banking & Finance, 2016, 63(5), pp.48-60.
隋聪、迟国泰、王宗尧(2014):《网络结构与银行系统性风险》,《管理科学学报》第4期。
隋聪、王宗尧(2015):《银行间网络的无标度特征》,《管理科学学报》第12期。
王晋斌、李博(2017):《中国货币政策对商业银行风险承担行为的影响研究》,《世界经济》第1期。
韦立坚、张维、熊熊(2017):《股市流动性踩踏危机的形成机理与应对机制》,《管理科学学报》第3期。
吴念鲁、徐丽丽、苗海宾(2017):《我国银行同业之间流动性风险传染研究——基于复杂网络理论分析视角》,《国际金融研究》第7期。
周兆生(2004):《中国国有商业银行不良资产的处置问题研究》,《世界经济》第7期。
Benes, J.and Kumhof, M.“Risky Bank Lending and Countercyclical Capital Buffers.” Journal of Economic Dynamics and Control, 2015, 58, pp.58-80.
Caccioli, F.; Farmer, J.D.and Foti, N.“Overlapping Portfolios, Contagion, and Financial Stability.” Journal of Economic Dynamics and Control, 2015, 51, pp.50-63.
Das, A.and Ghosh, S.“Financial Deregulation and Efficiency: An Empirical Analysis of Indian Banks During the Post Reform Period.” Review of Financial Economics, 2006, 15(3), pp.193-221.
Eisenberg, L.and Noe, T.H.“Systemic Risk in Financial Networks.” Management Science, 2001, 47(2), pp.236-249.
Farmer, J.D.and Foley, D.“The Economy Needs Agent-Based Modelling.” Nature, 2009, 460(7256), pp.685-686.
Fischer, T.and Riedler, J.“Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market.” Journal of Economic Dynamics and Control, 2014, 48(C), pp.95-120.
Galbiati, M.and Soram?ki, K.“An Agent-Based Model of Payment Systems.” Journal of Economic Dynamics and Control, 2008, 35(6), pp.859-875.
Georg, C.P.“The Effect of the Interbank Network Structure on Contagion and Common Shocks.” Journal of Banking & Finance, 2013, 37(7), pp.2216-2228.
Ghosh, A.“Banking-Industry Specific and Regional Economic Determinants of Non-Performing Loans: Evidence from US States.” Journal of Financial Stability, 2015, 20, pp.93-104.
Grilli, R.; Tedeschi, G.and Gallegati, M.“Bank Interlinkages and Macroeconomic Stability.” International Review of Economics & Finance, 2014, 34(C), pp.72-88.
He, J.; Sui, X.and Li, S.“An Endogenous Model of the Credit Network.” Physica A: Statistical Mechanics & Its Applications, 2016, 441(1), pp.1-14.
Iori, G.; Jafarey, S.and Padilla, F.G.“Systemic Risk on The Interbank Market.” Journal of Economic Behavior & Organization, 2006, 61(4), pp.525-542.
Iori, G.; Mantegna, R.N.; Marotta L.; Miccichè, S.; Porter, J.and Tumminello, M.“Networked Relationships in the E-MID Interbank Market: A Trading Model with Memory.” Journal of Economic Dynamics & Control, 2015, 50, pp.98-116.
Iori, G.and Porter, J.“Agent-Based Modelling for Financial Markets.” Department of Economics University of London working paper, 2012, No.12/08.
Jeong, S.and Jung, H.“Bank Wholesale Funding and Credit Procyclicality: Evidence From Korea.” Panoeconomicus, 2013, 60(5), pp.615- 631.
Jiménez, G.; Ongena, S.; Peydró, J.-L.and Saurina, J.“Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments.” Journal of Political Economy, 2017, 125(6), pp.2126-2177.
Kauko, K.“External Deficits and Non-Performing Loans in the Recent Financial Crisis.” Economics Letters, 2012, 115(2), pp.196-199.
Klimek, P.; Poledna, S.and Farmer, J.D.“To Bail-out or To Bail-in? Answers from an Agent-Based Model.” Journal of Economic Dynamics & Control, 2015, 50(C), pp.144-154.
Louzis, D.P.; Vouldis, A.T.and Metaxas, V.L.“Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios.” Journal of Banking & Finance, 2012, 36(4), pp.1012-1027.
Makri, V.; Tsaganos, A.and Bellas, A.“Determinants of Non-Performing Loans: The Case of Eurozone.” Panoeconomicus, 2014, 61(2), pp.193-206.
Podpiera, J.and Weill, L.“Bad Luck or Bad Management? Emerging Banking Market Experience.” Journal of Financial Stability, 2008, 4, pp.135-148.
Quagliarello, M.“Banks' Riskiness over the Business Cycle: A Panel Analysis on Italian Intermediaries.” Applied Financial Economics, 2007, 17(2), pp.119-138.
Zago, A.and Dongili, P.“Credit Quality and Technical Efficiency in Banking.” Empirical Economics, 2011, 40(2), pp.537-558.
Zhang, D.; Cai, J.; Dickinson, D.G.and Kutan A.M.“Non-Performing Loans, Moral Hazard and Regulation of the Chinese Commercial Banking System.” Journal of Banking & Finance, 2016, 63(5), pp.48-60.