【摘要】：基于金融網(wǎng)絡(luò)模型對風(fēng)險擴(kuò)散機(jī)制的分析,本文嘗試將金融網(wǎng)絡(luò)結(jié)構(gòu)因素納入到對系統(tǒng)風(fēng)險的衡量中,并依此建立了以"直接貢獻(xiàn)"和"間接參與"兩種方式分析和評價金融機(jī)構(gòu)系統(tǒng)重要性的模式。在結(jié)合我國2007～2010年的銀行間支付結(jié)算數(shù)據(jù)基礎(chǔ)上,本文對國內(nèi)主要銀行的系統(tǒng)重要性水平開展了綜合評測,并進(jìn)一步討論了影響機(jī)構(gòu)系統(tǒng)重要性水平的因素。通過分析:(1)考慮了金融網(wǎng)絡(luò)結(jié)構(gòu)對整個系統(tǒng)的影響,構(gòu)建了"系統(tǒng)風(fēng)險曲線",對金融網(wǎng)絡(luò)條件下的系統(tǒng)風(fēng)險進(jìn)行了重新度量;(2)理論上將單一金融機(jī)構(gòu)對整個系統(tǒng)的影響區(qū)分為直接影響與間接參與影響兩部分,并分別使用"沖擊測試"與"Shapley-Value"測算了兩種效應(yīng)所造成的全系統(tǒng)損失;(3)實證上,依據(jù)數(shù)值模擬計算的結(jié)果,本文估計得到了當(dāng)前金融網(wǎng)絡(luò)條件下我國各銀行機(jī)構(gòu)的系統(tǒng)重要性分值及排序,為宏觀審慎工具的設(shè)計、開發(fā)及進(jìn)一步運用打下了基礎(chǔ)。
[Abstract]:Based on the analysis of the risk diffusion mechanism based on the financial network model, this paper attempts to incorporate the financial network structure factors into the measurement of the system risk. Based on this, the model of "direct contribution" and "indirect participation" is established to analyze and evaluate the importance of financial institution system. Based on the data of inter-bank payment and settlement from 2007 to 2010 in China, this paper makes a comprehensive evaluation of the systematical importance level of the major banks in China, and further discusses the factors affecting the systematical importance level of the institutions. Through analysis: (1) considering the influence of financial network structure on the whole system, The system risk curve is constructed, and the system risk under the condition of financial network is remeasured. (2) the influence of a single financial institution on the whole system is divided into two parts: direct impact and indirect participation impact. The system losses caused by the two effects are calculated by "impact test" and "Shapley-Value" respectively. (3) empirically, according to the results of numerical simulation, In this paper, the system importance of banking institutions in China is estimated and sorted under the current financial network conditions, which lays a foundation for the design, development and further application of macroprudential instruments.
【作者單位】： 中國人民銀行研究局;
【基金】：2011年“國家社會科學(xué)基金項目(11CJY103)” “第四十七批中國博士后科學(xué)基金項目(20100470443)” “中國博士后科學(xué)基金第四批特別資助項目(201104180)”的階段性成果
【分類號】：F832.3;F224
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本文編號：2208086