摘要
全球系统重要性银行形成金融网络,其重大风险不仅对本国经济体系具有重要影响,而且通过该网络对其他国家进行风险传染。文章基于23家全球系统重要性银行2010年1月至2020年6月的资产价格日频数据,计算全球系统重要性银行网络,分析得出:全球系统重要性银行网络具有一定的地理板块性特征,在不同时期,板块构成银行可能发生局部变动。其中,美国的全球系统重要性银行具有显著的传出效应;欧洲国家、加拿大和日本的全球系统重要性银行具有显著的传入效应;中国的全球系统重要性银行的风险传染效应主要作用于国内。在不同时段,JP摩根大通和花旗银行间隔轮换对国际金融风险产生较大的传染效应;欧洲国家、加拿大、日本的全球系统重要性银行2020年1月以来出现了显著的上升态势。文章认为可根据相关结论,加强对有关全球系统重要性银行的重点风险监测和监管。
Direct and indirect relations between financial institutions make the global financial system form a complex financial network. Global systemically important banks(G-SIBs) not only have important effects on a country’s economic system, but also transmit risks to other countries through the financial network. Based on 23 G-SIBs’ data from January 1, 2010 to June 30, 2020, by using the complex network, forecast variance decomposition, and system clustering analysis method, this paper calculates the global systemically important bank network structure/The preliminary conclusions are as follows:(1) The risk contagion network of G-SIBs has certain characteristics of geographical blocks, and its members may have local changes in different risk periods.(2) The G-SIBs in the United States have a significant efferent effect, net efferent effect and total effect, which are larger than those in other countries. The G-SIBs in European countries, Canada and Japan have a significant pass-through effect. The risk contagion effect of G-SIBs in China mainly affects domestic banks and is less affected by the risk contagion effect of banks in other countries.(3) At different stages, the G-SIBs in the United States that spread international financial risks have obvious changes. The banks with the biggest contagion effect are mainly JP Morgan Chase and Citibank, which are rotated constantly. The fluctuation ranges of the risk contagion effect of G-SIBs in Europe, Canada and Japan is relatively stable, and there has been a significant increase of risk since 2020. The risk contagion effect of China’s G-SIBs has been relatively smooth.
作者
何德旭
苗文龙
李硕
He Dexu;Miao Wenlong;Li Shuo(Business School,University of Chinese Academy of Social Sciences,Beijing;International Business School,Shaanxi Normal University,Xi'an;Mathematics and Data Science School,Changji University,Changji)
出处
《经济社会体制比较》
CSSCI
北大核心
2022年第3期57-71,共15页
Comparative Economic & Social Systems
基金
国家社会科学基金后期资助项目“金融分权、金融风险与金融治理研究”(项目编号:20FJYA002)。
关键词
全球系统重要性银行
网络结构
风险治理
Global Systemically Important Banks
Network Structure
International Financial Risk Contagion
