CAJ | 학술논문

基于不同的银行间市场网络结构假设,利用中国银行业数据,使用最大熵方法估计银行间资产负债关系,建立银行间市场网络以研究我国单个银行破产引发的金融风险的传染概率和影响程度,进而通过建立异质性银行的多主体仿真模型研究银行间市场结构和银行资产负债表结构对金融风险传染的影响.研究结果表明：相比于完全连接网络,中心-边缘的层级网络将增大金融风险传染的范围和程度.此外,对于银行资产负债表结构而言,所有者权益占比提高将增强金融机构的抗风险能力,降低传染概率,而银行间资产和负债占比提高则会扩大金融风险传染的影响.这为我国银行业系统风险监管中对金融结构的关注提供了重要启示.
기우불동적은행간시장망락결구가설,이용중국은행업수거,사용최대적방법고계은행간자산부채관계,건립은행간시장망락이연구아국단개은행파산인발적금융풍험적전염개솔화영향정도,진이통과건립이질성은행적다주체방진모형연구은행간시장결구화은행자산부채표결구대금융풍험전염적영향.연구결과표명：상비우완전련접망락,중심-변연적층급망락장증대금융풍험전염적범위화정도.차외,대우은행자산부채표결구이언,소유자권익점비제고장증강금융궤구적항풍험능력,강저전염개솔,이은행간자산화부채점비제고칙회확대금융풍험전염적영향.저위아국은행업계통풍험감관중대금융결구적관주제공료중요계시.
This paper estimates the interbank bilateral asset and debt positions based on different assumptions of interbank network structures by using data of China’s banking sector.The network structure of interbank market is modeled to analyze the financial contagion caused by a singular bank failure.A multiagent simulation model including heterogenous banks is built to study how interbank network structures and banks’ balance sheet structures affect financial contagion.The results indicate that a core-periphery interbank structure would increase the influence of financial contagion compared with a complete network structure.Moreover,the balance sheet structure would affect financial contagion,with a higher equity ratio increasing financial stability and decreasing probability of financial contagion,and a higher interbank asset and debt ratio the opposite.This implies that regulation of systemic risk in banking sector should pay more attention to financial structure.