金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2014年
5期
23~28
,共null页
出口冲击 风险传染 系统性风险 银行间市场
齣口遲擊 風險傳染 繫統性風險 銀行間市場
출구충격 풍험전염 계통성풍험 은행간시장
export shock; risk contagion; systemic risk; interbank market
以具体化风险源为研究出发点，从贸易出口额下降冲击角度预测和识别我国银行业的系统性风险诱导因子。在此基础上应用20家银行2008年至2012年数据，估算了在不同损失率下资产负债表关联的银行间市场双边风险传染效应。结果显示，规模较小的银行更易受外部冲击的影响；诱导因素与其他银行关联度越密切，破产门槛越低，系统越不稳定。
以具體化風險源為研究齣髮點，從貿易齣口額下降遲擊角度預測和識彆我國銀行業的繫統性風險誘導因子。在此基礎上應用20傢銀行2008年至2012年數據，估算瞭在不同損失率下資產負債錶關聯的銀行間市場雙邊風險傳染效應。結果顯示，規模較小的銀行更易受外部遲擊的影響；誘導因素與其他銀行關聯度越密切，破產門檻越低，繫統越不穩定。
이구체화풍험원위연구출발점，종무역출구액하강충격각도예측화식별아국은행업적계통성풍험유도인자。재차기출상응용20가은행2008년지2012년수거，고산료재불동손실솔하자산부채표관련적은행간시장쌍변풍험전염효응。결과현시，규모교소적은행경역수외부충격적영향；유도인소여기타은행관련도월밀절，파산문함월저，계통월불은정。
Innovative points of this paper are making the sure sources of risk. We find the banking sys- temic risk factor of China from the perspective of the decrease of export trade. We use balance sheet information from the year 2008 to 2012 to estimate bilateral credit relationships for china banking system, and test whether the breakdown of inducing factors can lead to contagion at different loss ratios. The research finds that smaller Banks are more easily affected by external shocks. The closer between the inducing factors and other bank, the more easily lead to system risk. So the regulator should not only pay to the effect of interbank market, but also the debt paying ability of those closer bank under the external shock.
