基于SIR模型的銀行危機(jī)傳染研究
發(fā)布時間：2018-10-31 16:52
【摘要】：銀行危機(jī)的傳染是當(dāng)銀行受經(jīng)濟(jì)波動等原因的影響下,造成銀行流動性的缺乏,流動性的不足會通過金融市場進(jìn)行傳導(dǎo),預(yù)期使得有業(yè)務(wù)往來的銀行流動性不足,進(jìn)而導(dǎo)致銀行危機(jī)在銀行間傳遞的過程。銀行業(yè)是金融市場的主要構(gòu)成部分，大規(guī)模的銀行危機(jī)傳染不僅會導(dǎo)致整個銀行系統(tǒng)的健康有序發(fā)展，并且會嚴(yán)重阻礙實(shí)體經(jīng)濟(jì)的持續(xù)發(fā)展。國內(nèi)雖然對銀行危機(jī)傳染過程的研究有很多，但是無論在理論上還是在模型方法上都有很大的不足，因此對銀行危機(jī)傳染過程的研究仍舊有著重要的意義。 國內(nèi)外學(xué)者采用不同的模型方法對銀行危機(jī)的傳染進(jìn)行了系統(tǒng)的研究，但這些方法均不能全面的描述整個銀行危機(jī)傳染的過程。為了解決現(xiàn)有方法或者模型存在的不足，，本文首先在明確對銀行危機(jī)傳染的定義、影響因素以及傳播路徑的基礎(chǔ)上，根據(jù)巴塞爾委員會對各因素對銀行危機(jī)傳染的影響大小，依據(jù)銀行資本規(guī)模、業(yè)務(wù)關(guān)聯(lián)度和綜合程度將每一個參與到危機(jī)中的銀行進(jìn)行標(biāo)注化處理。借鑒病毒傳染的SIR倉室模型，構(gòu)建銀行危機(jī)傳播的動態(tài)模型，并求出危機(jī)轉(zhuǎn)播閥值，得出三個重要結(jié)論：危機(jī)是否蔓延取決于危機(jī)傳播閥值和初始標(biāo)準(zhǔn)化風(fēng)險暴露銀行數(shù)量的相對大��；增大銀行危機(jī)管理系數(shù)和危機(jī)銀行的破產(chǎn)系數(shù)均有助于控制銀行危機(jī)；中小型銀行居多的區(qū)域銀行結(jié)構(gòu)有利于降低銀行危機(jī)的傳播速度 根據(jù)模型得出的結(jié)論，文章從包括發(fā)展區(qū)域中小銀行、建立完善的監(jiān)管法律體系以及建立銀行存款保險制度等方面提出了完善我國銀行危機(jī)傳染監(jiān)管的政策建議，以期能夠?qū)︺y行危機(jī)傳染進(jìn)行有效預(yù)防和監(jiān)管。
[Abstract]:The contagion of the banking crisis is that when banks are affected by economic fluctuations and other reasons, the lack of bank liquidity, which will be transmitted through the financial market, is expected to cause banks with business transactions to be illiquid. In turn, it leads to the process of bank crisis passing between banks. The banking industry is the main component of the financial market. The large-scale banking crisis contagion will not only lead to the healthy and orderly development of the whole banking system, but also seriously hinder the sustainable development of the real economy. Although there are a lot of researches on the process of bank crisis contagion in our country, it is still of great significance to study the process of bank crisis contagion, both in theory and in the model method. Scholars at home and abroad used different models to study the contagion of bank crisis, but these methods can not describe the whole process of bank crisis contagion. In order to solve the shortcomings of the existing methods or models, this paper first of all, on the basis of defining the bank crisis contagion, influencing factors and transmission path, according to the Basel Committee on the impact of each factor on the banking crisis contagion. Each bank involved in the crisis is tagged according to the size of the bank's capital, the degree of business relevance and the degree of integration. Based on the SIR warehouse model of virus infection, the dynamic model of bank crisis transmission is constructed, and the crisis retransmission threshold is obtained. Three important conclusions are drawn: whether the crisis spreads depends on the crisis propagation threshold and the relative size of the number of banks exposed to the initial standardized risk; Increasing the crisis management coefficient and bankruptcy coefficient of the crisis bank can help to control the bank crisis. The regional banking structure of small and medium-sized banks is conducive to reducing the spread speed of the banking crisis according to the conclusion of the model. This paper includes the development of regional small and medium-sized banks. In order to prevent and supervise bank crisis contagion effectively, the author puts forward some policy suggestions on how to perfect the supervision of bank crisis contagion from the aspects of establishing a perfect legal system of supervision and establishing the system of bank deposit insurance and so on.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.3;F832.3;F224
本文編號：2302939
[Abstract]:The contagion of the banking crisis is that when banks are affected by economic fluctuations and other reasons, the lack of bank liquidity, which will be transmitted through the financial market, is expected to cause banks with business transactions to be illiquid. In turn, it leads to the process of bank crisis passing between banks. The banking industry is the main component of the financial market. The large-scale banking crisis contagion will not only lead to the healthy and orderly development of the whole banking system, but also seriously hinder the sustainable development of the real economy. Although there are a lot of researches on the process of bank crisis contagion in our country, it is still of great significance to study the process of bank crisis contagion, both in theory and in the model method. Scholars at home and abroad used different models to study the contagion of bank crisis, but these methods can not describe the whole process of bank crisis contagion. In order to solve the shortcomings of the existing methods or models, this paper first of all, on the basis of defining the bank crisis contagion, influencing factors and transmission path, according to the Basel Committee on the impact of each factor on the banking crisis contagion. Each bank involved in the crisis is tagged according to the size of the bank's capital, the degree of business relevance and the degree of integration. Based on the SIR warehouse model of virus infection, the dynamic model of bank crisis transmission is constructed, and the crisis retransmission threshold is obtained. Three important conclusions are drawn: whether the crisis spreads depends on the crisis propagation threshold and the relative size of the number of banks exposed to the initial standardized risk; Increasing the crisis management coefficient and bankruptcy coefficient of the crisis bank can help to control the bank crisis. The regional banking structure of small and medium-sized banks is conducive to reducing the spread speed of the banking crisis according to the conclusion of the model. This paper includes the development of regional small and medium-sized banks. In order to prevent and supervise bank crisis contagion effectively, the author puts forward some policy suggestions on how to perfect the supervision of bank crisis contagion from the aspects of establishing a perfect legal system of supervision and establishing the system of bank deposit insurance and so on.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.3;F832.3;F224
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