双渠道下的银行系统性风险研究

Research on Bank Systemic Risk under Dual Channels

摘要: 金融市场是一个复杂的网络，银行之间不仅通过同业拆借的直接渠道进行风险传染，还通过持有共同资产的间接传染渠道进行风险传染。本文使用2018~2021年193家中国的银行数据，构建了银行间同业拆借网络和银行持有共同资产网络，使用DebtRank算法来度量银行体系的系统性风险。本文结果表明：1) 双渠道下的系统性风险显著都大于各个单一渠道的风险，且行业冲击下的系统性风险更高；2) 我国银行体系的系统性风险总体上逐年下降，但在2020年略有上升；3) 大型银行引发的系统性风险高于小型银行，国有银行抵御风险的能力更强；4) 制造业引发的系统性风险最大；商业租赁行业的流动性状况受新冠肺炎的影响最大，引发的系统性风险在2020年最高；房地产业引发的系统性风险在2021年下降得最为明显，中国对房地产的调控政策在2021年起到了明显的作用。

Abstract: The financial market is a complex network where banks spread risk not only through direct channels of interbank lending, but also through indirect contagion channels of common asset holdings. This paper constructs interbank lending networks and banks’ common asset holding networks using data from 193 Chinese banks from 2018 to 2021, and employs the DebtRank algorithm to measure the systemic risk of the banking system. The results indicate that: 1) Systemic risk under dual channels is significantly higher than that under each single channel; 2) The systemic risk of China’s banking system is decreasing year by year, and the systemic risk under asset shocks is higher; 3) Large banks pose higher systemic risk than small banks, and state-owned banks have greater resilience to risk; 4) The systemic risk induced by the manufacturing sector is the highest; The liquidity condition of the commercial leasing industry was most affected by COVID-19, and its induced systemic risk peaked in 2020; The systemic risk triggered by the real estate industry declined most significantly in 2021, indicating that China’s real estate control policies played a significant role in 2021.