银行系统性风险传染的机制研究
摘要
2007年爆发的美国次贷危机,使得银行业遭受巨额损失,大量银行出现倒闭、清算和重组,即银行系统性风险出现大范围传染。这种大范围传染使得一个银行发生财务困难会立刻扩散到周围的银行或者有密切联系的他国银行,引起系统性银行危机,从而造成严重的经济损失。
为了解释这种经济现象,本文首先从风险传染渠道的角度,构建一个新的分析框架,分别研究了封闭环境、银行间市场和跨国金融市场的系统性风险传染模型。模型表明,不同收益率资产的套利保值、银行间“搭便车”行为和国家自有储备耗竭解释了银行系统性风险的传染现象。然后,通过模型的分析,归纳得出影响银行系统性风险传染的因素,并就主要因素进行实证检验。结果表明,风险源的破坏程度和外汇储备是银行系统性风险的显著影响因素,而进出口贸易额和汇率因素影响却不显著。再次,在因素分析基础上,继续对银行系统性风险的传染机制进行实证和模拟。结果表明,银行系统性风险存在跨区域和跨市场传染的现象,而且前者比后者传染更明显；系统性风险传染导致银行资产大量损失,而且系统性冲击越大,银行资产损失越大,银行破产数量增长越快。
最后,本文提出防范和控制银行系统性风险传染的应急措施和中长期措施。其中,应急措施包括平息系统性风险冲击的传染源,切断个别银行危机演化成为银行系统性风险的传染途径,保护受到银行系统性风险传染的被传染对象,控制银行系统性风险传染可能的传染载体；中长期措施包括妥善处理传染后果和构建防范系统性风险传染的安全体系。
The U.S. subprime mortgage crisis, out broken in 2007, made the banking sector suffered huge losses, a large number of bank close down, liquidation and reorganization. There was a wide range of bank systemic risk contagion. This contagion caused a bank in financial difficulty that would immediately spread to the surrounding banks or other closely linked in neighbor countries, causing systemic banking crisis and serious economic losses.
To explain this economic phenomenon, this paper, from the view of risk contagion channels, builds a new analytical framework, researching on contagion model of a closed environment, inter-bank market and financial market respectively. The models show that in the period of banking systemic risk contagion, the hedge in the different rate of return of assets, "free rider" behavior of inter-bank and the state's own depleted reserves explain the phenomenon of systemic risk contagion in the banking sector. Then, through the model of analysis, I had drawn the factors of bank systemic contagion, and carried out an empirical test on the major factors. The results show that the damage degree of risk source and the foreign exchange reserves are significant while the volume of trade and exchange rate are not significant. Again, based on the factor analysis, I continually tested and simulated on systemic risk to contagion in the banking sector. The results show that bank systemic risk exists in contagion phenomenon of the across-regions and cross-market and that contagion the former is more obvious than the latter, that systemic risk contagion led to significant loss of bank assets, that the larger systemic shocks, the greater the loss of bank assets and the faster growth in the number of bankruptcies.
Finally, the paper proposes the emergency and long-term measures to prevent and control systemic risk contagion in the banking sector. Among them, the emergency measures include to quell the source of contagion, to cut off contagion path of evolution from the individual crisis to systemic risk, to protect the contagion objects which suffered the systemic risk, to control the possible carriers that systemic risk contagion, while the long-term measures includes to properly deal with the consequences of contagion and to build security system to prevent the systemic risk contagion.
为了解释这种经济现象,本文首先从风险传染渠道的角度,构建一个新的分析框架,分别研究了封闭环境、银行间市场和跨国金融市场的系统性风险传染模型。模型表明,不同收益率资产的套利保值、银行间“搭便车”行为和国家自有储备耗竭解释了银行系统性风险的传染现象。然后,通过模型的分析,归纳得出影响银行系统性风险传染的因素,并就主要因素进行实证检验。结果表明,风险源的破坏程度和外汇储备是银行系统性风险的显著影响因素,而进出口贸易额和汇率因素影响却不显著。再次,在因素分析基础上,继续对银行系统性风险的传染机制进行实证和模拟。结果表明,银行系统性风险存在跨区域和跨市场传染的现象,而且前者比后者传染更明显；系统性风险传染导致银行资产大量损失,而且系统性冲击越大,银行资产损失越大,银行破产数量增长越快。
最后,本文提出防范和控制银行系统性风险传染的应急措施和中长期措施。其中,应急措施包括平息系统性风险冲击的传染源,切断个别银行危机演化成为银行系统性风险的传染途径,保护受到银行系统性风险传染的被传染对象,控制银行系统性风险传染可能的传染载体；中长期措施包括妥善处理传染后果和构建防范系统性风险传染的安全体系。
The U.S. subprime mortgage crisis, out broken in 2007, made the banking sector suffered huge losses, a large number of bank close down, liquidation and reorganization. There was a wide range of bank systemic risk contagion. This contagion caused a bank in financial difficulty that would immediately spread to the surrounding banks or other closely linked in neighbor countries, causing systemic banking crisis and serious economic losses.
To explain this economic phenomenon, this paper, from the view of risk contagion channels, builds a new analytical framework, researching on contagion model of a closed environment, inter-bank market and financial market respectively. The models show that in the period of banking systemic risk contagion, the hedge in the different rate of return of assets, "free rider" behavior of inter-bank and the state's own depleted reserves explain the phenomenon of systemic risk contagion in the banking sector. Then, through the model of analysis, I had drawn the factors of bank systemic contagion, and carried out an empirical test on the major factors. The results show that the damage degree of risk source and the foreign exchange reserves are significant while the volume of trade and exchange rate are not significant. Again, based on the factor analysis, I continually tested and simulated on systemic risk to contagion in the banking sector. The results show that bank systemic risk exists in contagion phenomenon of the across-regions and cross-market and that contagion the former is more obvious than the latter, that systemic risk contagion led to significant loss of bank assets, that the larger systemic shocks, the greater the loss of bank assets and the faster growth in the number of bankruptcies.
Finally, the paper proposes the emergency and long-term measures to prevent and control systemic risk contagion in the banking sector. Among them, the emergency measures include to quell the source of contagion, to cut off contagion path of evolution from the individual crisis to systemic risk, to protect the contagion objects which suffered the systemic risk, to control the possible carriers that systemic risk contagion, while the long-term measures includes to properly deal with the consequences of contagion and to build security system to prevent the systemic risk contagion.
引文
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