基于复杂网络理论的银行间市场流动性风险传染机制及其免疫策略研究

Based on the fact that a systemic crisis may be caused by liquidity shock which is contagious among banks and the network of banks is becoming more and more complex, many relative research have been carried out.But, there are at least two points needed to be further completed. One is that the contagion and immunization of interbank liquidity risk should be investigated systematicly based on complex network theory. Another one is that essential features of banking should be considered emphatically in the model of complex networks of bank. Firstly, the project builds a macroscopical model of directed and weighted scale-free networks which is close to the banking reality and a microcosmic model reflecting heterogeneous banks' behavior. Secondly, based on the two models above-mentioned, the contagion law of interbank liquidity risk among the complex networks of bank is studied by the means of numerical simunation. Then, the decisive factors and its effect can be determined by analysis of regression, and the immunization strategy will be designed and simulated. Finally, Chinese dynamic contagion mechanism and immunization strategy of the liquidity risk in interbank market will be achieved by making use of manual data of Chinese bank.The application of this research results is expected to accurately discover the contagion mechanism of interbank liquidity risk among the complex networks of bank, and then to scientifically design immunization strategy so that a systemic crisis can be avoided effectively, hence with special theoretical and practical values.Furthermore, this research is hopefully to provide essential theorectical supports for the establishment of Chinese relative policy.

基于银行流动性风险传染可能引发系统性破坏的潜在危机和银行网络高度复杂的现实，针对"银行流动性风险在复杂网络中传染及其免疫的现有研究偏少且不深入"以及"构建的复杂网络模型对银行实质性特征考虑不足"等问题，本项目拟首先构建能体现银行业实质特征的有向含权无标度网络宏观模型和异质性银行主体行为微观模型；然后基于所建立的宏、微观模型，通过计算实验系统研究银行流动性风险在复杂网络中的传染规律，利用计量分析深度挖掘流动性风险传染的决定性因素及其传染效应，并在此基础上设计、模拟流动性风险传染的免疫策略；最后根据手工收集的银行业数据，剖析中国银行间市场流动性风险传染的动态机制，提出流动性风险传染的防控措施。该项目的实施对准确揭示流动性风险在银行间市场的传染机制、科学设计流动性风险传染的免疫策略从而避免可能引发的系统性危机具有重要的理论价值和现实意义，为我国科学制定相关政策提供依据和参考。

本课题已完成原设定的研究内容，并在此基础上做了一系列的拓展性研究，主要可归为十个模块。模块一构建了创新性的且与实际更贴近的银行间市场有向含权无标度网络宏观模型和异质性银行主体行为微观模型。模块二分别研究银行资产负债结构类指标、银行间市场网络结构特征类指标以及银行系统整体变化类指标对系统风险在有向含权无标度网络中传染的影响规律，并通过构建二元Logit模型和多元线性回归模型深入研究系统风险传染的决定性因素及其传染效应。模块三根据前面的研究结果设计四个免疫策略：基于复合流动性要求的免疫策略、基于中央银行救助的目标免疫策略、基于银行间救助的免疫策略以及基于提升银行网络透明度的免疫策略，模拟其在有向含权无标度网络中的免疫效果，并将其与在其他复杂网络中的免疫效果进行比较。模块四对风险暴露、预防性动机与流动性囤积行为的相互影响机理进行了研究。模块五研究了银行业竞争度变动对中国商业银行流动性创造的影响。模块六对中国银行间市场流动性风险及其传染的动态机制进行了深入研究，结果表明：面对流动性冲击，我国银行系统是脆弱的,且从2014年开始，流动性风险传染效应加大；在风险传染中，除了国有控股银行作为流动性危机触发因素会引起较大传染效应外，民生银行等全国股份制银行及北京银行等城商行若出现流动性危机，也会导致较多银行出现流动性短缺；银行资产关联度越高，流动性风险传染越严重；银行相对规模对流动性风险传染具有异质性的负向影响。模块七对货币政策、银行信贷行为与流动性风险相互间的影响机理和传导机制进行了探索。模块八、九及十是围绕“银行间市场系统风险”的理论框架进行了一系列拓展性研究，主要包括银行投资收益空间变权与银行投资风险的测度、市场流动性风险及其收益、新兴市场国家银行间市场系统风险传染效应等。以上研究取得了一系列的创新性成果，它们丰富和拓展了相关领域的理论和实证研究，为监管部门制定相关政策提供了理论依据和实践指导。