本文關(guān)鍵詞：中國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)研究——宏觀審慎視角下的三個(gè)壓力測(cè)試　出處：《經(jīng)濟(jì)理論與經(jīng)濟(jì)管理》2017年02期 　論文類型：期刊論文

  更多相關(guān)文章： 網(wǎng)絡(luò)模型 壓力測(cè)試 系統(tǒng)性風(fēng)險(xiǎn) 房地產(chǎn)貸款 地方政府融資平臺(tái)貸款

【摘要】：本文在傳統(tǒng)網(wǎng)絡(luò)模型中加入去杠桿—降價(jià)拋售機(jī)制,研究以下兩類宏觀經(jīng)濟(jì)沖擊對(duì)銀行體系系統(tǒng)性風(fēng)險(xiǎn)的影響。從房地產(chǎn)貸款違約壓力測(cè)試看,房地產(chǎn)貸款違約引起的傳染風(fēng)險(xiǎn)是系統(tǒng)性風(fēng)險(xiǎn)的重要來源;傳染損失比重和去杠桿次數(shù)結(jié)果則表明,2007年我國(guó)銀行面臨的傳染風(fēng)險(xiǎn)最高,之后呈現(xiàn)快速下降的趨勢(shì);參數(shù)敏感性結(jié)果表明,網(wǎng)絡(luò)模型中去杠桿、降價(jià)拋售以及破產(chǎn)對(duì)傳染風(fēng)險(xiǎn)的相對(duì)重要性依次遞減。從地方政府融資平臺(tái)貸款違約壓力測(cè)試看,大型商業(yè)銀行受平臺(tái)貸款違約的影響小于股份制和城市商業(yè)銀行。此外,平臺(tái)貸款違約概率存在閾值,在閾值之上銀行損失和倒閉急劇攀升�；阢y行倒閉壓力測(cè)試,量化出本文的網(wǎng)絡(luò)模型相對(duì)于傳統(tǒng)網(wǎng)絡(luò)模型的優(yōu)越性。本文還發(fā)現(xiàn)中國(guó)金融體系的系統(tǒng)重要性與系統(tǒng)脆弱性指標(biāo)的"錯(cuò)配"對(duì)于維持金融體系穩(wěn)定非常關(guān)鍵。
[Abstract]:In this paper, the deleveraging and selling mechanism is added to the traditional network model to study the impact of the following two kinds of macroeconomic shocks on the systemic risk of the banking system. The contagion risk caused by the default of real estate loan is an important source of systemic risk. The results of the proportion of contagion loss and the number of times of deleveraging show that in 2007 the risk of contagion faced by Chinese banks was the highest and then showed a trend of rapid decline. The parametric sensitivity results show that the relative importance of deleveraging, price selling and bankruptcy to contagion risk is decreasing in the network model. Large commercial banks are less affected by platform loan default than joint-stock and urban commercial banks. In addition, the probability of platform loan default exists threshold. Bank losses and failures rise sharply above the threshold. Based on bank failure stress tests. This paper quantifies the superiority of the network model compared with the traditional network model. It is also found that the system importance of the Chinese financial system and the mismatch of the system vulnerability index are very important for maintaining the stability of the financial system.
【作者單位】： 中央財(cái)經(jīng)大學(xué)金融學(xué)院;
【基金】：國(guó)家自然科學(xué)基金青年項(xiàng)目(71503290);國(guó)家自然科學(xué)基金項(xiàng)目(71403305)的資助 國(guó)家社科基金重大項(xiàng)目(14ZDA044)
【分類號(hào)】：F832
【正文快照】： 一、引言2007—2009年的國(guó)際金融危機(jī)凸顯了金融體系對(duì)房地產(chǎn)行業(yè)的過度風(fēng)險(xiǎn)暴露及金融機(jī)構(gòu)之間過度關(guān)聯(lián)所導(dǎo)致的系統(tǒng)性風(fēng)險(xiǎn)等問題。危機(jī)開始前,金融機(jī)構(gòu)首先面臨著房地產(chǎn)貸款違約的直接沖擊,并導(dǎo)致其杠桿上升。由于大部分金融機(jī)構(gòu)都遭受此沖擊,且面臨著資本充足率等監(jiān)管要求,

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