互联网金融对中国商业银行系统性风险的影响——基于SVAR模型的实证研究

首先运用主成分分析法测算我国商业银行的系统性风险,接着运用突变分析和 SVAR 模型等计量方法实证互联网金融对我国商业银行系统性风险的影响。结果表明：互联网金融发展影响商业银行系统性风险的路径为：“互联网金融—商业银行的资产负债结构—商业银行的成本收入比—商业银行的系统性风险”,且它对银行系统性风险的影响存在“期限结构效应”,即互联网金融在短期内会增加我国银行系统性风险,但从中长期来看,对我国银行系统性风险的影响并不大,两者可作为互利共生的事物共同发展。互联网金融的存在对我国金融改革有很好的倒逼作用,能在一定程度上促进金融监管的创新。     

基于共同冲击和异质风险叠加传导的风险传染研究——来自中国上市银行网络的传染模拟

本文将银行系统遭遇外部共同冲击作为研究起点,建立了一个共同冲击和异质风险交互传导与放大的简化模型,冲击的传导包括“原始冲击”、“增量冲击”和“违约冲击”三个风险传染阶段。基于2018年我国15家上市银行的股票收益率和年报数据、2006年至2018年的银行评级数据,本文构建了贝叶斯分层图模型和银行间拆借矩阵,并利用蒙特卡洛模拟测度不同触发银行所引发的系统性风险损失、单个银行的系统性风险杠杆能力(文中定义为“传染乘数”指标)以及政府监管介入的效果。模拟结果显示:共同冲击损失远大于异质风险损失;规模和网络关联性是决定传染乘数的重要因素,且当规模因素不突出时,网络关联性对传染乘数的决定作用相对更强,极容易出现小规模、高关联性银行具有较高的传染乘数;当银行风险资产损失率在10%至25%之间时,造成系统性风险损失的杠杆能力普遍增强;政府监管介入能较好地降低系统性风险。本研究的相关结论为系统性风险的监管设计提供经验证据和参考。     

基于房地产市场的我国系统性金融风险测度与预警研究

本文阐释了基于房地产市场的系统性金融风险形成机制,据此建立了分阶段、跨部门的房地产市场的系统性金融风险网络模型,并运用2006-2017年16家上市银行数据,分析和测度了我国房价大幅下跌所引发的系统性金融风险水平和结构,构建了基于房地产市场的系统性金融风险预警指标并进行测算。研究发现:在房价下跌30%的压力情景下,我国金融体系的潜在总损失总体呈级数式上升,年均增长22.70%;基于房地产市场的系统性金融风险值(SR)呈现先上升后波动下降的总体趋势;系统性金融风险(SR)的脆弱性指标(FLI)整体呈现波浪式振荡变化,且与房地产贷款/权益整体呈反向变动,系统性金融风险(SR)的传染性指标(CTI)在2012-2017年呈持续下降趋势,且与金融市场压力指数、金融机构间资产占总资产比重呈现出高度的一致性变化趋势。最后,基于房地产市场的系统性金融风险预警指标(SRWI)值呈收敛式振荡走势,表明基于房地产市场的系统性金融风险总体可控且呈收敛式下降。     

Systemic risk in an interconnected banking system with endogenous asset markets

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential risk management approach building on a system wide value at risk (SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated by a Shapley value-type measure. We show that, in a SVaR regime, a fair systemic risk charge which is proportional to a bank's individual contribution to systemic risk diverges from the optimal macroprudential capitalization of the banks from a planner's perspective. The results have implications for the design of macroprudential capital surcharges.     

基于房地产市场的我国系统性金融风险测度与预警研究

本文阐释了基于房地产市场的系统性金融风险形成机制,据此建立了分阶段、跨部门的房地产市场的系统性金融风险网络模型,并运用2006-2017年16家上市银行数据,分析和测度了我国房价大幅下跌所引发的系统性金融风险水平和结构,构建了基于房地产市场的系统性金融风险预警指标并进行测算。研究发现:在房价下跌30%的压力情景下,我国金融体系的潜在总损失总体呈级数式上升,年均增长22.70%;基于房地产市场的系统性金融风险值(SR)呈现先上升后波动下降的总体趋势;系统性金融风险(SR)的脆弱性指标(FLI)整体呈现波浪式振荡变化,且与房地产贷款/权益整体呈反向变动,系统性金融风险(SR)的传染性指标(CTI)在2012-2017年呈持续下降趋势,且与金融市场压力指数、金融机构间资产占总资产比重呈现出高度的一致性变化趋势。最后,基于房地产市场的系统性金融风险预警指标(SRWI)值呈收敛式振荡走势,表明基于房地产市场的系统性金融风险总体可控且呈收敛式下降。     

It takes more than two to tango: Multiple bank lending,asset commonality and risk

Multiple-bank lending is the most prevalent form of bank-firm credit relationships in nearly all countries. It results in high asset commonality and interconnectedness, allows idiosyncratic risks to become systemic, and makes the banking system more fragile and vulnerable to shocks. Using detailed, granular-level, supervisory data on large corporate loans, we show that multiple bank lending is driven, inter alia, by regulatory limits on large credit exposures. These limits, aimed at mitigating an individual bank's concentration risk, force firms to explore alternative sources of funding, making the common borrowers' phenomenon more prominent. We find that multiple bank lending is determined endogenously, and its likelihood increases with the level of portfolio similarity between lenders. The size of the original lender and its systemic importance magnifies this effect. We argue that banks do not internalize the systemic effect of their lending decisions and that multiple bank lending constitutes an insurance mechanism related to an implicit "too-many-to-fail" guarantee. Its externalities are suboptimal and should be reinforced with better monitoring by the related authorities.     

基于动态Copula-CoVaR模型的影子银行风险溢出效应研究

依据2007-2017年中国金融市场运行数据,构建动态Copula-CoVaR模型,考量影子银行风险溢出效应。结果表明：影子银行与传统金融市场存在双向净风险溢出效应,随着时间的推移,溢出效应在逐渐增大;极端风险溢出效应存在不对称特征,影子银行对传统金融市场的冲击较大,且这种冲击具有滞后效应。鉴此,监管部门应夯实金融体系运行基础,创新影子银行监管工具,完善其协调监管模式。     

What Is Systemic Risk?

The traditional view of risk in a financial system is that it is the summation of individual risks within the system. However, the financial crisis that started in 2007 has driven home that this view of risk is inadequate. It is the interactions of financial institutions and markets that determine the systemic risks that drive financial crises. We identify four types of systemic risk. These are (i) panics—banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; and (iv) foreign exchange mismatches in the banking system.     

The formation of financial networks

Modern banking systems are highly interconnected. Despite various benefits, linkages between banks carry the risk of contagion. In this article, I investigate whether banks can commit ex ante to mutually insure each other, when there is contagion risk in the financial system. I model banks' decisions to share this risk through bilateral agreements. A financial network that allows losses to be shared among various counterparties arises endogenously. I characterize the probability of systemic risk, defined as the event that contagion occurs conditional on one bank failing, in equilibrium interbank networks. I show that there exist equilibria in which contagion does not occur.     

宏观审慎政策协调能否抑制国际性银行危机传染？——基于跨境金融关联视角的实证研究

本文基于跨境金融关联视角对宏观审慎政策能否抑制国际性银行危机传染这一重要的理论与实践问题进行了实证研究。选取亚洲金融危机和全球金融危机时期遭受冲击的10个代表性国家作为样本,构建Logit模型和多元回归模型探讨本国及具有金融关联的国家协调实施宏观审慎政策对本国系统性银行危机传染的影响。研究表明,具有金融关联的国家出现金融危机会显著增加本国系统性银行危机的发生概率,具有金融关联的国家实施宏观审慎政策对本国信贷的影响比对房价的影响更明显,本国及具有金融关联的国家协调实施宏观审慎政策会显著降低本国系统性银行危机的发生概率。在调整银行危机指标及考虑贸易关联和流动性风险的影响后,研究结果依然保持稳健。本文的研究结论揭示了加强宏观审慎政策协调有助于维护全球金融稳定,对于中国政策当局强化宏观审慎管理具有极其重要的政策含义。     

Bank systemic risk and corporate investment: Evidence from the US

In this paper, we develop a simple two-period model in which a bank’s investment (e.g., loans) is influenced by short-term financing and a probability of a financial crisis. When banks ex ante expect to be bailed out during financial crises, they do not necessarily internalize the cost of financial crises and invest more. We argue that the level of systemic risk in the banking sector is largely driven by (1) the way in which banks finance their investment (e.g., loans) using more short-term debt and/or (2) the increase in asset commonality amongst banks. We use three measures that arguably capture two dimensions of “bank systemic risk”, namely, (1) bank funding maturity and (2) bank asset commonality, to empirically test whether bank systemic risk has a positive effect on corporate investment. We document that in a sample of publicly listed firms in the United States over the period 1991–2013, bank systemic risk is positively associated with the firm-level investment ratio after controlling for a large set of country- and firm-level variables. In addition, we show that a firm's leverage strengthens the positive effect of bank systemic risk on corporate investment, suggesting that more financially constrained firms experience a larger effect of bank systemic risk on corporate investment than less financially constrained firms.     

Financial instruments,financial reporting,and financial stability

I review new empirical evidence from the recent financial crisis on the relation between financial reporting and financial stability. I draw the following conclusions: First, there is still no evidence that fair value accounting caused widespread fire sales of asset or contagion. Second, the empirical evidence suggests that accounting and regulation might have contributed to the crisis by allowing several banks to delay actions. Third, even if share prices reacted positively to the relaxation of fair value accounting rules during the crisis, the origin of the problem might be lax rules that allowed banks to run into financial and regulatory problems. Fourth, fair values can be relevant for assets that a bank intends to hold until maturity if that bank strongly relies on short-term financing. Fifth, the recognition of fair values is no substitute for information that allows investors to judge a bank's risk exposure and the validity of reported fair values.     

银行理财产品与金融稳定--基于银行间风险传染的仿真分析

理财产品业绩受市场波动影响加大,有可能与原有银行间风险传染机制共振、放大银行系统风险。基于此视角,本文将银行理财产品嵌入银行间风险传染模型,研究银行理财产品对银行间风险传染的影响。结果发现:(1)在模型假定的条件下,考虑理财产品后,风险传染引发的平均损失增加28.76%。(2)如果考虑破产银行对理财产品的信息传染,平均损失进一步增加17.5%。(3)在投资者敏感性、资产非流动性较高时,银行对理财产品进行救助可以有效抑制风险传染;但冲击较大时,救助则会造成更大范围的风险传染。     

COVID-19 and A-share banks' stock price volatility: From the perspective of the epidemic evolution in China and the US

With a financial market dominated by indirect financing, China's banking system played a critical role in the government's response to COVID-19, which piqued our interest in the short-term impact of COVID-19 on the risk of China's banks. Examining the stock price of A-share listed banks and the number of confirmed cases in China and the US during the short time window surrounding the COVID-19 pandemic's outbreak, this study reveals that COVID-19 increased the A-share banking price volatility in both China and the US, reflecting a strong spillover effect of the US economic and financial system. Furthermore, COVID-19 in China has a smaller impact on the stock price volatility of China's state-owned banks (SOBs) than that of medium- and small-sized (M&S) banks, reflecting the higher risk resistance capability of large SOBs. Further analysis confirms that the impact primarily reflected systematic risk rather than idiosyncratic risk, as small and micro enterprises and M&S banks received more targeted financial support from the government. In contrast, large banks took on more responsibilities in the emergency financial stimulus, narrowing the idiosyncratic risk gap between the two types of banks and allowing the banking industry to better play its core role in the recovery of real economy in China. These findings will assist us in better understanding the effectiveness of financial assistance policies during the epidemic and will provide insights for future policymaking during similar crises.     

中国影子银行发展成因实证分析——基于2002~2012年月度数据

综合运用格兰杰因果检验和分位数回归技术对我国影子银行的各种影响因素进行实证分析。结论表明,我国影子银行是在金融二元结构和利率管制格局下,金融活动主体为规避监管、分散风险以及投机套利而进行金融创新的产物。利率管制是促成我国影子银行发展的根本原因,经济结构变迁、经济周期运行及宏观调控政策在总量与结构层面作用于金融资源供求关系,通过扩大或收缩监管套利空间,也对影子银行规模变动产生了重要影响。     

A network model of systemic risk: stress testing the banking system1

Although there are many definitions of systemic risk, most agree that it manifests itself by an initial shock that results in the failure of one or more banks and then spreads out to the entire system by a contagion mechanism which can result in the failure of more banks in the system. Assuming that bank failures in the initial shock are randomly dependent on the failure probabilities of the individual banks and that the ensuing contagion process is deterministic, depending on interbank exposures, in this paper we propose a network model to analyse systemic risk in the banking system that, in contrast to other proposed models, seeks to obtain the probability distribution of losses for the financial system resulting from the shock/contagion process. Thus, calculating the probabilities of joint failures by simulation and assuming that the matrix of bilateral interbank exposures is known, we represent systemic risk in the financial system by means of a graph and use discrete modelling techniques to characterize the dynamics of contagion and corresponding losses within the network. The probability distribution of losses, risk profile for the Mexican banking system, is obtained through an efficient, complete enumeration procedure of all possible bank default events in the system. This, in turn, allows the use of the wide variety of well-established risk measures to describe the fragility of the financial system. Additionally, the model allows us to perform stress tests along both the bank default probabilities and the interbank exposures and is used to assess the risk of the Mexican banking system. Copyright © 2009 John Wiley & Sons, Ltd.     

The Interplay between Regulations and Financial Stability

The crisis demonstrated that microprudential regulation focusing on the risks taken by individual banks is not sufficient to prevent crises. This is because it ignores systemic risk. Six types of systemic risk are identified, namely: (i) panics – banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; (iv) financial architecture; (v) foreign exchange mismatches in the banking system; (vi) behavioral effects from Knightian uncertainty. We focus on the first three as they are arguably the main causes of the 2007–9 crisis and consider regulatory and other policies to counteract them.     

SELECTIVE HEDGING OF BANK ASSETS WITH TREASURY BILL FUTURES CONTRACTS

The recent volatility of interest rates, the associated profit pressures imposed on banks, and the surge in the development of new contracts have stimulated a desire to understand and apply financial futures hedging to banking operations. This paper models interest rate futures contracts in a theory of bank behavior to illustrate the hedging of bank loans as well as government securities. The model predicts the hedge will be greater (1) the greater the expected rise in interest rates and (2) the greater the effect of disintermediation on bank deposits. A simulation of the financial futures trading strategy is reported for banks of various asset sizes using data from the Eleventh Federal Reserve District. Depending on bank risk aversion and interest rate expectations, hedging the bank's total interest rate exposure with T-bill futures reduces the variability of unhedged profits by 80 percent.     

Reputational contagion and optimal regulatory forbearance

Existing studies suggest that systemic crises may arise because banks either hold correlated assets, or are connected by interbank lending. This paper shows that common regulation is also a conduit for interbank contagion. One bank's failure may undermine confidence in the banking regulator's competence, and, hence, in other banks chartered by the same regulator. As a result, depositors withdraw funds from otherwise unconnected banks. The optimal regulatory response to this behavior can be privately to exhibit forbearance to a failing bank. We show that regulatory transparency improves confidence ex ante but impedes regulators' ability to stem panics ex post.     

Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa

The banking crises of the ‘90s emphasize the need to model the connections between financial environment volatility and the potential losses faced by financial institutions resulting from correlated market and credit risks. Due to the number of variables that must be modeled and the complexity of the relationships an analytical solution is not feasible. We present here a numerical solution based on a simulation model that explicitly links changes in the relevant variables that characterize the financial environment and the distribution of possible future bank capital ratios. This forward looking quantitative risk assessment methodology allows banks and regulators to identify potential risks before they materialize and make appropriate adjustments to bank portfolio credit qualities, sector and region concentrations, and capital ratios on a bank by bank basis. It also has the potential to be extended so as to assess the risks of correlated failures among a group of financial institutions (i.e., systemic risk analyses). This model was applied by the authors to the study of the risk profile of the largest South African Banks in the context of the Financial System Stability Assessment program undertaken by the IMF in 1999. In the current study, we apply the model to various hypothetical banks operating in the South African financial environment and assess the correlated market and credit risks associated with business lending, mortgage lending, asset and liability maturity matches, foreign lending and borrowing, and direct equity, real estate, and gold investments. It is shown to produce simulated financial environments (interest rates, exchange rates, equity indices, real estate price indices, commodity prices, and economic indicators) that match closely the assumed parameters, and generate reasonable credit transition probabilities and security prices. As expected, the credit quality and diversification characteristics of the loan portfolio, asset and liability maturity mismatches, and financial environment volatility, are shown to interact to determine bank risk levels. We find that the credit quality of a bank's loan portfolio is the most important risk factor. We also show the risk reduction benefits of diversifying the loan portfolio across various sectors and regions of the economy and the importance of accounting for volatility shocks that occur periodically in emerging economies. Banks with high credit risk and concentrated portfolios are shown to have a high risk of failure during periods of financial stress. Alternatively, banks with lower credit risk and broadly diversified loan portfolios across business and mortgage lending are unlikely to fail even during very volatile periods. Asset and liability maturity mismatches generally increase bank risk levels. However, because credit losses are positively correlated with interest rate increases, banks with high credit risk may reduce overall risk levels by holding liabilities with longer maturities than their assets. Risk assessment methodologies which measure market and credit risk separately do not capture these various interactions and thus misestimate overall risk levels.