CAJ | 학술논문

近年来，我国商业银行同业业务规模大幅增长，其中部分新型同业业务在加大银行杠杆和期限错配等风险的同时，还可能通过风险的传染加剧银行系统性风险。鉴于此，本文对新型同业业务的潜在风险传染机制及效应进行了研究。文章在“Allen-Gale银行间风险传染模型”的基础上对新型同业业务的风险传染机制进行了理论解释，并运用矩阵法对2008年年末及2013年6月末银行同业业务的风险传染效应进行了测算和比较分析。研究结果表明，商业银行新型同业业务存在风险传染效应。其中，相比2008年年末，2013年6月末国有大型银行对同业资产损失的吸收能力有所加强，风险传染效应有所减弱；股份制银行的情况则与之相反。最后，本文基于研究结论提出了相应的政策建议。
근년래，아국상업은행동업업무규모대폭증장，기중부분신형동업업무재가대은행강간화기한착배등풍험적동시，환가능통과풍험적전염가극은행계통성풍험。감우차，본문대신형동업업무적잠재풍험전염궤제급효응진행료연구。문장재“Allen-Gale은행간풍험전염모형”적기출상대신형동업업무적풍험전염궤제진행료이론해석，병운용구진법대2008년년말급2013년6월말은행동업업무적풍험전염효응진행료측산화비교분석。연구결과표명，상업은행신형동업업무존재풍험전염효응。기중，상비2008년년말，2013년6월말국유대형은행대동업자산손실적흡수능력유소가강，풍험전염효응유소감약；고빈제은행적정황칙여지상반。최후，본문기우연구결론제출료상응적정책건의。
In recent years, interbank business of China＇ s banks has increased significantly. Some innovations of interbank business not only increase the leverage and maturity mismatch risks of banks, but also the banking systemic risk through risk contagions. This paper attempts to study the contagion mechanisms and effects of these interbank business＇ s potential risks. Based on the ＂Allen-Gale financial contagion model＂, we explain the contagion mechanism of these interbank business innovations, effects between the end of 2008 and the end of June in 2013 then measure and compare their risk contagion using the matrix method. The empirical results confirm the existence of risk contagion. We also find that the loss absorption capacity and the risk contagion effects of large state-owned banks have been strengthened and weakened respectively, but joint-stock banks are exactly in the opposite situation. Finally, based on the findings we propose some policy suggestions.