【摘要】：20世紀70年代以來,在發(fā)展中國家和發(fā)達國家一共爆發(fā)了168次銀行危機,這其中包括117次系統(tǒng)性危機和51次非系統(tǒng)性危機,其造成的損失都超過了年GDP的十分之一。而最近發(fā)生的次貸危機以及隨后的歐債危機,其影響力更是席卷全球。在銀行的系統(tǒng)性風險的產(chǎn)生中,最為重要的因素是銀行體系間的風險傳染效應。正確的識別和度量該效應,對于銀行危機的防范有十分重要的作用。基于此,本文對銀行的風險傳染效應進行了詳細的研究,,使用了模型分析、仿真模擬、實證檢驗等研究方法。具體而言,首先,研究了單個銀行危機產(chǎn)生機制的理論模型,得出了儲戶取款要求的變化對銀行擠兌產(chǎn)生的影響；接著,運用仿真模擬和實證檢驗的方法,對銀行體系內(nèi)的風險傳染效應進行分析,重點研究了系統(tǒng)重要性銀行的識別和傳染效應的度量；最后,分析了國際金融市場對中國銀行業(yè)的風險傳染途徑和傳染效應。本文得出的主要結(jié)論有： (1)單個銀行危機產(chǎn)生機制的理論研究表明,一旦某銀行出現(xiàn)支付危機,這個信息會很快被儲戶捕捉到,由于信息的不對稱性,儲戶中那些謹慎類型的人就會提前取款,這種取款行為由于羊群效應的影響,使得儲戶之間發(fā)生傳染,會有越來越多的人加入到提前取款的行列,使得銀行的經(jīng)營狀況更加惡化,最終使得單個銀行危機不可避免,導致銀行失敗,而銀行中壞賬的存在,又會使得這一過程的產(chǎn)生被加快,銀行的危機會更早出現(xiàn)。 (2)銀行體系間風險傳染效應的仿真模擬結(jié)果表明,銀行體系中錯綜復雜的債權(quán)債務關(guān)系,使得一家銀行的失敗風險會引發(fā)傳染效應,最終可能會引發(fā)一場銀行體系的系統(tǒng)性風險。具體而言,如果發(fā)生危機的銀行,其債權(quán)損失率不超過30%,那么,不論銀行是否系統(tǒng)重要性銀行,都不會對整個銀行體系的穩(wěn)定造成影響；如果達到或者大于50%,傳染效應會明顯加強,此時,若發(fā)生危機的是系統(tǒng)重要性銀行,會在很短時間內(nèi)引發(fā)一場系統(tǒng)性風險,若發(fā)生危機的不是系統(tǒng)重要性銀行,可能會引發(fā)局部風險,或者使得系統(tǒng)性風險的過程放慢�？傊�,系統(tǒng)重要性銀行對風險傳染效應有決定性的影響。 (3)對中國銀行體系內(nèi)14家上市銀行的日收益數(shù)據(jù)的Copula相關(guān)性的實證研究發(fā)現(xiàn),中國的系統(tǒng)重要性銀行一共有7家：中國銀行、中國工商銀行、中國建設(shè)銀行、中國農(nóng)業(yè)銀行、交通銀行、民生銀行和中信銀行,這些銀行的傳染性非常強,一旦發(fā)生風險將會對其他銀行乃至整個金融業(yè)產(chǎn)生極大的破壞力。
[Abstract]:Since the 1970s, there have been 168 banking crises in both developing and developed countries, including 117 systemic crises and 51 non-systemic crises, all of which caused more than 1/10 of the annual GDP. The recent subprime mortgage crisis and the subsequent European debt crisis, its impact is sweeping the world. The most important factor is the risk contagion effect among banks. Correct recognition and measurement of this effect plays an important role in the prevention of bank crisis. Based on this, this paper makes a detailed study on the risk contagion effect of banks, using the methods of model analysis, simulation, empirical testing and so on. In particular, first of all, the theoretical model of the crisis generation mechanism of a single bank is studied, and the influence of the change of depositors' withdrawal requirements on the bank runs is obtained. Then, the method of simulation and empirical test is used. This paper analyzes the risk contagion effect in the banking system, focuses on the identification and measurement of the contagion effect of systemically important banks, and finally, analyzes the risk contagion path and contagion effect of the international financial market to the Chinese banking industry. The main conclusions of this paper are as follows: (1) the theoretical research on the mechanism of single bank crisis shows that once a bank has a payment crisis, this information will be quickly captured by depositors because of the asymmetry of the information. The prudent type of savers will withdraw money in advance, and the withdrawal behavior will be affected by the herding effect, and more people will join in the advance withdrawal. It makes the operation of the bank worse, and finally makes the crisis of individual bank inevitable, leading to the failure of the bank, and the existence of bad debts in the bank will speed up the process. Bank crises will occur earlier. (2) the simulation results of risk contagion effect between banking systems show that the complex relationship between creditor's rights and liabilities in the banking system makes the failure risk of a bank lead to contagion effect. It could eventually trigger a systemic risk to the banking system. Specifically, if the bank in crisis has a loss rate of less than 30%, then, whether the bank is systemically important or not, it will not affect the stability of the whole banking system; If the contagion effect is reached or greater than 50%, the contagion effect will obviously strengthen. In this case, if the crisis occurs in a systemically important bank, it will cause a systemic risk in a very short period of time, and if the crisis is not a systemically important bank, It may cause local risk, or slow down the process of systemic risk. In short, systemically important banks have a decisive impact on risk contagion effect. (3) empirical study on the Copula correlation of daily earnings data of 14 listed banks in the banking system of China shows that, There are seven systemically important banks in China: bank of China, Industrial and Commercial Bank of China, China Construction Bank, Agricultural Bank of China, Bank of Communications, Minsheng Bank and CITIC Bank. These banks are very contagious. A risk would be devastating to other banks and to the financial sector as a whole.
【學位授予單位】：華中科技大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F224;F832.3

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