發(fā)布時(shí)間：2018-03-17 16:04

  本文選題：宏觀審慎管理　切入點(diǎn)：金融網(wǎng)絡(luò)模型　出處：《金融研究》2010年04期 　論文類型：期刊論文

【摘要】：本文認(rèn)為,以金融系統(tǒng)內(nèi)個(gè)體間相互連接構(gòu)成的網(wǎng)絡(luò)為對(duì)象,立足于金融網(wǎng)絡(luò)結(jié)構(gòu)的穩(wěn)定性分析,并以此視角對(duì)整個(gè)金融體系的系統(tǒng)性風(fēng)險(xiǎn)狀況進(jìn)行監(jiān)測(cè)、預(yù)警與分析,不失為現(xiàn)有制度約束下,推進(jìn)我國(guó)宏觀審慎管理制度建立的關(guān)鍵。本文提出借鑒矩陣模型的思路構(gòu)建中國(guó)金融網(wǎng)絡(luò)的風(fēng)險(xiǎn)傳遞模型,并以單一時(shí)點(diǎn)壓力測(cè)試的方式衡量金融網(wǎng)絡(luò)穩(wěn)定性,為推動(dòng)宏觀審慎管理框架的建立開拓新的思路。通過分析:(1)理論上,得到了銀行網(wǎng)絡(luò)的穩(wěn)定條件,并證明了網(wǎng)絡(luò)穩(wěn)定狀態(tài)的存在性與唯一性;(2)實(shí)證上,首次利用銀行間支付結(jié)算數(shù)據(jù)進(jìn)行了網(wǎng)絡(luò)模型實(shí)證,并對(duì)中國(guó)銀行網(wǎng)絡(luò)的結(jié)構(gòu)特點(diǎn)進(jìn)行了多維度描述;(3)發(fā)現(xiàn)我國(guó)銀行間網(wǎng)絡(luò)表現(xiàn)出明顯的重要節(jié)點(diǎn)與局部團(tuán)狀結(jié)構(gòu)共存的結(jié)構(gòu)特征,且網(wǎng)絡(luò)穩(wěn)定性表現(xiàn)出一定條件與范圍內(nèi)的均衡。
[Abstract]:In this paper, the author thinks that the network composed of individuals in financial system is based on the stability analysis of financial network structure, and from this perspective, the systemic risk situation of the whole financial system is monitored, forewarned and analyzed. It is the key to promote the establishment of macroprudential management system in China under the restriction of the existing system. This paper puts forward the idea of using matrix model for reference to construct the risk transfer model of Chinese financial network. The stability of the financial network is measured by a single time-point stress test. In order to promote the establishment of the macro-prudential management framework, the stability conditions of the banking network are obtained by analyzing the one-to-one theory. It is proved that the existence and uniqueness of the stable state of the network is the first time that the interbank payment and settlement data are used to carry out the network model demonstration. It is found that the interbank network in China is characterized by the coexistence of important nodes and local clusters, and the stability of the network is balanced within certain conditions and ranges.
【作者單位】： 中國(guó)人民銀行;
【分類號(hào)】：F830;F224

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本文編號(hào)：1625455