CAJ | 학술논문

本文基于2012年我国115家商业银行的同业资产和同业负债数据，运用网络传导分析法评估了单家银行的异质性风险对整个银行体系的传染效应。结果发现：考虑到联合冲击因素并调减银行部门的资本金水平时，部分银行的异质性风险触发系统性金融风险并非是极端小概率事件。这表明，近年来我国银行业同业业务的较快发展，导致了银行体系具有潜在的脆弱性。另外，从风险传染的角度来看，大型国有商业银行、政策性银行及部分股份制商业银行具有系统重要性。对少数总资产规模较大的银行施加金融安全网保护，能有效抑制金融风险传染效应。为防范银行机构的道德风险问题，金融监管机构可以基于风险传染效应的评估，最大程度地降低对金融机构的救助范围。
본문기우2012년아국115가상업은행적동업자산화동업부채수거，운용망락전도분석법평고료단가은행적이질성풍험대정개은행체계적전염효응。결과발현：고필도연합충격인소병조감은행부문적자본금수평시，부분은행적이질성풍험촉발계통성금융풍험병비시겁단소개솔사건。저표명，근년래아국은행업동업업무적교쾌발전，도치료은행체계구유잠재적취약성。령외，종풍험전염적각도래간，대형국유상업은행、정책성은행급부분고빈제상업은행구유계통중요성。대소수총자산규모교대적은행시가금융안전망보호，능유효억제금융풍험전염효응。위방범은행궤구적도덕풍험문제，금융감관궤구가이기우풍험전염효응적평고，최대정도지강저대금융궤구적구조범위。
Based on the data of inter-bank assets and liabilities of 115 commercial banks in China in 2012, this paper assesses the financial contagion effects of heterogeneous risks of individual banks on the overall banking system by using the network conduction model. The results show that, it is not rare that heterogeneous risks of some commercial banks become systemic risks of the overall banking system, if taking into account the correlated shocks and adjusting the capital level of the commercial banks. It indicates there is potential fragility in China's banking system due to the rapid growth of the inter-bank business in recent years. In addition, from the perspective of financial contagion, the state-owed commercial banks, policy banks and some joint-equity commercial banks are systemically important. The Financial contagion could be effectively restrained by the establishment of a financial safety net for a few banks with relatively larger assets. In order to mitigate the moral hazard problems, financial regulators should minimize the scope of bailouts for financial institutions based on risk contagion assessment.