银行间市场系统流动性风险形成与演化机制

Past financial crises have always been accompanied by financial system liquidity crisis. In June 2013, China's interbank market liquidity crisis brought more attention on research of systematic liquidity risk, and to realize the correlation inside the structure and the importance of interactive mechanism among financial institutions. This project is based on the perspective of complex systems and heterogeneous multi-agent models; characterized the main strategies of interbank market, and their interaction effect on liquidity; constructed the network system with banks as nodes; inspected the interbank market structure’s effect on system liquidity risk; aimed at empirical study related to China's interbank market. The concrete content includes: (1) to analysis the mechanism of market price fluctuation of interbank interest rates, the characteristics of network structure based on the empirical data from Chinese interbank market; (2) to establish a risk evolution model based on customer's deposit and withdrawal behaviors, banks’ liquidity demand, and interbank liquidity feedback mechanism; (3) to simulate the complex network of the interbank market, inspect the effect from interbank market structure on the liquidity risk of the system; (4) to use China's banking liquidity crisis as an example for empirical study based on the foregoing research, and to analysis the generation mechanism of China's interbank market system, providing theoretical support and empirical basis for liquidity risk regulation of our financial market. ..

历次金融危机都伴随着金融系统流动性危机，2013年6月中国银行间市场流动性危机使人们更关注系统性流动性风险研究，并认识到金融机构之间关联结构和互动机制的重要性。本项目拟基于复杂系统与异质性多主体的视角，系统性地刻画与银行间市场相关的主体策略及其交互作用对系统流动性的影响，构建以银行为核心的网络系统，考察银行间市场结构对系统流动性风险的影响，并针对中国银行间市场进行相关实证研究。具体内容包括：①基于实证数据分析中国银行间市场同业拆借利率价格波动机制、银行间的网络结构、参与主体特征;② 建立基于储户存取款行为、银行流动性需求和银行间流动性同业拆借反馈机制的风险演化模型;③模拟生成银行间市场复杂网络，考察银行间市场结构等因素对系统流动性风险的影响;④以中国银行业流动性危机为例进行实证研究，基于前述研究成果解析中国银行间市场系统流动性的生成机制，为我国金融市场流动性风险监管提供理论支持和实证基础。

基于复杂系统与异质性多主体的视角，模拟银行间市场相关的主体策略及其交互作用对系统网络结构影响，构建以银行为核心的网络系统，研究了在系统内定位风险传染源的理论机制。具体包括：①通过建立银行间市场网络，研究市场网络结构对系统性风险的影响，风险传染的机制。②研究相关主体策略，构建行为学实验，设置角色对等和角色不对等的对照组实验。结果表明，在角色对等的情况下，选择策略会更加理性。因而，促进银行系统中主体的相对地位平等，使得各主体在交互中更加理性地决策，促使对资源的更高效配置。③研究银行间流动性同业拆借反馈机制，将银行间网络普适化，简化为线性时变网络结构传播源头定位问题。我们的方法能够实现在系统中存在观测噪声或系统边权噪声的情况下，溯源的精确度依然很高。有助于在银行业流动性危机时，准确定位源头，确定风险传播路径。