我国银行同业拆借市场“传染”风险的实证研究

本文使用矩阵法模型模拟我国银行同业风险头寸分布状况,估计了银行体系内的“传染”风险。结果表明:(1)银行同业资产和负债都与银行的类型和规模相关,国有银行的同业头寸占全部同业头寸的70%以上,但其同业资产占比有逐年下降趋势;(2)银行体系内风险传染的概率非常低,同时风险传染的概率及其导致的损失在逐年下降;(3)如果考虑银行预期和银行安全网对传染风险的降低作用,危机传染的风险甚至会降至零;(4)对“传染”风险的估计也存在低估的可能,同时银行同业拆借市场的“传染”风险正在从银行同业之间向银行与其他金融机构尤其是证券公司之间扩散。

An Empirical Examination of Contagion Risk in the Interbank Market of China

In this paper the writers estimate the structure of bilateral exposures in the interbank market and the danger of contagion in banking system. Our empirical analysis shows that: (1)interbank exposures are influenced by types and sizes of the banks. More than 70% of interbank exposures of Chinese banks are from state owned banks but their proportion of assets possession show a downward trend. (2) The risk of contagion due to domestic interbank defaults has been decreasing over the past decade and is currently very low. (3) When incorporating banks' expectation and safety net into estimation, there is even no the risk of contagion at all. (4) There also are sources of underestimation of contagion risk and contagion risk is now spreading to other financial institutions, especially security companies.