摘要
本文构建网络模型分析了关联性对于银行系统重要性的影响,模型表明,银行间负债关联程度是决定银行诱发系统性危机难易程度和破产损失大小的重要因素。本文利用2007～2009年中国银行间市场数据进行模拟分析,对中国系统重要性银行进行了甄别,并进一步比较了其系统重要性程度的大小。计量分析进一步表明,与银行资产规模相比,银行间负债关联程度是决定银行系统重要性的更为重要的因素。因此,在增强对我国系统重要性银行监管时,规模固然需要关注,关联性尤其是银行间负债关联程度需更加关注。
Based on a network model, this paper analyses the impact of the interconnectedness on bank＇s sys- temic importance. The model shows that bank with high inter - bank liabilities is easier to cause systemic crisis and more losses. With the 2007 ~ 2009 annual data of China＇s banking sector, the paper proposes a method to measure the SIFIs of China. The empirical analysis verifies that banks with intensive interconnections are easy to cause systemic crisis and greater losses. To enhance banking supervision, we should not only focus on the size of the financial institutions but pay more attention to their intereonnectedness, especially formed through in- ter - bank liabilities.
出处
《金融研究》
CSSCI
北大核心
2012年第11期16-30,共15页
Journal of Financial Research
基金
教育部重大攻关项目(09JZD0016)
教育部重大攻关项目(11JZD022)
教育部重点研究基地重大项目(2009JJD790027)
教育部新世纪优秀人才支持计划资助
关键词
关联性
系统重要性
银行
网络分析
Interconnectedness, Systemically important, Bank
Network analysis
