我国系统重要性银行评估:网络层次结构视角

被引：26

作者：

范小云

荣宇浩

王博

机构：

[1] 南开大学金融学院

来源：

管理科学学报 | 2021年 / 02期

关键词：

最小密度法; 网络层次结构; 系统重要性银行; 系统性风险;

D O I：

10.19920/j.cnki.jmsc.2021.02.004

中图分类号：

F832.3 [金融组织、银行];

学科分类号：

摘要：

通过改进性地引入最小密度法解构了我国银行间双边风险敞口矩阵,在此基础上运用密度估计构建了契合我国银行间网络层次结构的核心-外围模型,实证甄别了系统重要性银行,并研究了我国银行间网络关联性和系统性风险.研究表明:1)核心块动态组成作为系统重要性银行在我国银行业网络层次结构中发挥着重要作用; 2)我国系统重要性银行规模随时间的变化呈现出"庞大无序-两极分化-多但有序"的三阶段特征,表明我国银行系统日渐稳定,但仍需重点关注系统重要性银行以防范系统性风险; 3)金融动荡时期,系统重要性银行与其他银行的关联强度和关联权重下降,积极的监管措施会使不良关联特征得到明显改观.本研究可为逆周期宏观审慎监管、基于银行系统重要性的针对性监管提供有益参考.

引用

页码：48 / 74

页数：27

共 30 条

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