Risk contagion in the banking network: New evidence from China

Based on data from 111 Chinese banks over the 2013–2016 period, this paper estimates the interbank bilateral lending matrix using the maximum entropy method. The estimated matrix is used to simulate the effects of credit and liquidity shocks on China’s banking network. Simulation results show that, under the extreme pressure scenario, the contagion arising from a liquidity shock is significantly stronger than the effect of a credit shock, indicating the importance of liquidity in the banking system. The contagion effect arising from a credit shock does not vary much over the sample period. However, the contagion effect arising from a liquidity shock decreases significantly, which could be attributed to contraction in interbank business due to stricter interbank business supervision. The simulation results also identify the most important and most vulnerable nodes of the banking system. An increase in the level of capital level can enhance the ability of banks to withstand credit and liquidity shocks. Our analysis also suggests that risk contagion faced by China’s banks varies across banking network structures.     

Contagion risk in the Czech financial system: A network analysis and simulation approach

This paper examines the potential for contagion within the Czech banking system via the channel of interbank exposures of domestic banks, enriched by a liquidity channel and an asset price channel, over the period March 2007 to June 2012. A computational model is used to assess the resilience of the Czech banking system to interbank contagion, taking into account the size and structure of interbank exposures as well as balance sheet and regulatory characteristics of individual banks in the network. The simulation results suggest that the potential for contagion due to credit losses on interbank exposures was rather limited. Even after the introduction of a liquidity condition into the simulations, the average contagion was below 3.8% of the remaining banking sector assets, with the exception of the period from December 2007 to September 2008. Activation of the asset price channel further increases the losses due to interbank contagion, showing that the liquidity of government bonds would be essential for the stability of Czech banks in stress situations. Finally, the simulation results for both idiosyncratic and multiple bank failure shocks suggest that the potential for contagion in the Czech banking system has decreased since the onset of the global financial crisis.     

Does the bank risk concentration freeze the interbank system?

Probably, one test of the stability of the banking system is to evaluate how risky assets are distributed across banks’ portfolios and the implications for the contagion via interbank relations. This paper explores theoretically a bank sector with risks concentration and the functioning of interbank markets. It employs a simple model where banks are exposed to both credit and liquidity risk that suddenly correlate over the business cycle. We show that risk concentration makes interbank market breakdowns more likely and welfare monotonically decreases in risk concentration.     

Market microstructure,banks’ behaviour and interbank spreads: evidence after the crisis

We present a study of the European electronic interbank market of overnight lending (e-MID) before and after the beginning of the financial crisis. The main goal of the paper is to explain the structural changes of lending/borrowing features due to the liquidity turmoil. Unlike previous contributions that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads. We show that all banks experienced significant variations in their liquidity costs due to the sensitivity of interbank rates to the timing and side of trades. We argue that, while larger banks did experience better funding conditions after the crisis, this was not just a consequence of the “too big to fail” perception of the market. Larger banks have been able to play more strategically when managing their liquidity by taking advantage of the changing market microstructure.

     

Systemic risk mitigation in financial networks

We propose a multi-period clearing framework, where the level of systemic risk is mitigated through the provision of liquidity assistance. The interbank liability network evolves stochastically over time, and assets of defaulted banks are sold to qualified banks within the network through a first-price sealed-bid auction. We find that policies targeting systemically important banks are more effective in core-periphery network structures, whereas those maximizing the total liquidity in the system are preferred in random network configurations. We assess sensitivity of systemic risk to variations in interbank liabilities as well as to their correlation structure.     

Credit risk of subsidiaries of foreign banks in CEE countries: Impacts of the parent bank and home country economic environment

In this study, using dynamic panel data, we investigated the influences of the home country economic environment and parent bank condition on the credit risk of foreign banks in Central and Eastern European (CEE) countries. We concentrated on the international transmission of credit risk through the internal capital market of multinational banks. Our theoretical assumptions follow studies that document how the parent bank condition and home country macroeconomic environment affect lending in subsidiaries in CEE countries. However, our results go one step further. We provide evidence that these relationships are reflected in subsidiaries’ credit risk in CEE countries. Our results suggest that the size and profitability of the parent bank have negative influences, while the liquidity and credit risk of the parent bank have positive influences on the subsidiaries’ credit risk. Moreover, the GDP growth in the parent bank’s country has a negative effect on the credit risk of the subsidiary, while the lending rate and liquidity in the parent bank country cause growth in the credit risk. These results indicate a new channel of international risk transfer from parent bank countries to host countries through foreign-owned banks.     

Pricing in the Norwegian Interbank Market – the Effects of Liquidity and Implicit Government Support

We investigate the effects of central bank liquidity and possible implicit government guarantees against default on Norwegian overnight interbank interest rates. We conduct an econometric study of these interest rates over the period 2006–09, which includes the sharp fall in interbank trading during the financial crisis. Our findings suggest relatively lower funding costs for banks of systemic importance, particularly for banks with many and valuable linkages to other banks. Moreover, interest rates are found to depend not only on overall liquidity in the interbank market, but on its distribution among banks as well. There is also evidence of stronger effects on interest rates of systemic importance, creditworthiness and liquidity demand and supply factors during the financial crisis.     

Interbank credit and the money manufacturing process: a systemic perspective on financial stability

Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since summer 2007, interbank credit coordination did not longer work smoothly across financial institutions, eventually requiring exceptional monetary policies by central banks, and guarantee and bailout interventions by governments. Our article develops an interacting heterogeneous agent-based model of interbank credit coordination under minimal institutions. First, we explore the link between interbank credit coordination and the money generation process. Contrary to received wisdom, interbank credit has the capacity to remove the inner limits of monetary system capacitance. Second, we develop simulation analysis on imperfect interbank credit coordination, studying impact of interbank dynamics on financial stability and resilience at individual and aggregate levels. Systemically destabilizing forces prove to be related to the working of the banking system over time, especially interbank coordination conditions and circumstances.

     

Systemic liquidity contagion in the European interbank market

Systemic liquidity risk, defined by the International Monetary Fund as “the risk of simultaneous liquidity difficulties at multiple financial institutions,” is a key topic in financial stability studies and macroprudential policy-making. In this context, the complex web of interconnections of the interbank market plays the crucial role of allowing funding liquidity shortages to propagate between financial institutions. Here, we introduce a simple yet effective model of the interbank market in which liquidity shortages propagate through an epidemic-like contagion mechanism on the network of interbank loans. The model is defined by using aggregate balance sheet information of European banks, and it exploits country and bank-specific risk features to account for the heterogeneity of financial institutions. Moreover, in order to obtain the European-wide topology of the interbank network, we define a block reconstruction method based on the exchange flows between the various countries. We show that the proposed contagion model is able to estimate systemic liquidity risk across different years and countries. Results suggest that our effective contagion approach can be successfully used as a viable alternative to more realistic but complicated models, which not only require more specific balance sheet variables with high time resolution but also need assumptions on how banks respond to liquidity shocks.

     

There is no smoke without a fire: The effect of government interventions in less advanced economies

The lack of liquidity in the interbank market during the crisis of 2007–2011 led governments to impose different policies to rescue their countries’ banking sectors. While in advanced countries interventions in the banking sector were mostly related to a lack of liquidity and significant asymmetric information regarding counterparty risk, in many less advanced countries they had a precautionary motive. In our article, we investigate the effectiveness of policy interventions on healthy banking markets, with possible negative spill-over effects from other countries. To this extent, we use an event study methodology to test the effect of liquidity and financial sector policy announcements on interbank spread changes in six Central and Eastern European (CEE) countries over the period between 2007 and 2011. We find that standard liquidity interventions did not provide effective stabilization. In fact, our evidence suggests that the spread widened after their announcement, probably as a result of the negative signal and consequently increased risk aversion of banks. In such situations, regulators should consider policy instruments that aim to decrease uncertainty in the market.     

Robustness of banking networks to idiosyncratic and systemic shocks: a network-based approach

We propose a network-based structural model of credit risk to demonstrate how idiosyncratic and systemic shocks propagate across the banking system and evaluate the costs. The banking system is built as a network of heterogeneous banks which are connected with one another. In such a system, single credit events propagate through the interbank market from debtors to creditors and across the system. The shock is imposed as an unexpected event. We demonstrate that while idiosyncratic shocks cannot substantially disturb the banking system, a systemic shock of even a moderate magnitude can be highly detrimental. Such shock includes a huge contagious potential. We demonstrate that the costs of the shock are largely determined by the extent of contagion and range from negligible to catastrophic. The results imply that a severe crisis has to be initiated by a systemic shock of at least moderate magnitude. Capital ratio and the bank size are two additional factors of the banking system stability. Finally, credit risk analysis is sensitive to the network topology and exhibits a profound nonlinear characteristic.     

Interbank loans,collateral and modern monetary policy

This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions, which facilitates the flow of funds to the most profitable investment projects. Risk premiums result from banks׳ forecasting rules and depend on past performance of the benchmark risk factors and interest rates. Our model confirms basic stylized facts of the interbank interest rates and volumes. We also find that network structures within the secured market segment are characterized by the presence of dealer banks, while we do not observe similar patterns in the unsecured market. We perturb the model with exogenous shocks and policy scenarios which correspond to unconventional monetary policies.     

The bank lending channel of monetary transmission in Brazil: A VECM approach

This paper tests for the existence of a lending channel in the transmission of monetary policy in Brazil using aggregate monthly data for the period 1995:12 through 2008:6. The test is carried out in a VECM setting that allows for multiple cointegrating relationships among the variable of interest. We find evidence of two cointegrating vectors, which we identify as loan demand and supply functions by testing for a number of exclusion and exogeneity restrictions on the cointegrating relationships. Loan supply is found to be negatively related to the interbank deposit certificate rate, suggesting the existence of a lending channel for monetary transmission. The VECM's short-term dynamics show that loan demand is equilibrium-correcting. But short-term disequilibria in the supply of loans are corrected through changes in the interbank deposit certificate rate, suggesting that monetary policy plays a role in restoring equilibrium in the credit market by affecting the borrowing rate faced by banks to raise non-deposit funds.     

商业银行房地产信贷业务面临的问题及对策

我国商业银行房地产信贷业务面临房地产信贷规模增长过快、房地产融资过分依赖银行信贷、信贷管理内控执行不力、银行同业竞争无序和信息不对称等诸多问题。笔者认为应从加强商业银行房地产信贷监管力度、增强政策措施的协同效应、健全房地产信贷相关法律法规等方面加以解决。     

企业债务期限结构配置及其治理对策——湘火矩汽车股份案例

本文认为,债务期限结构错配是我国许多高速扩张企业出现流动性财务危机的主要原因之一,但在现有商业银行信贷期限结构错配和企业债券市场不发达的金融背景约束下,我国企业很难通过增加长期债务的方式来改变债务期限与资产期限错配的问题,唯有通过降低财务杠杆的方法来降低流动性风险。在现有金融市场条件下,企业现实的选择是债务期限结构错配和低财务杠杆,不能采用高财务杠杆方式来实现企业的高速增长,否则很容易陷入财务困境。     

Deciphering the Libor and Euribor Spreads during the subprime crisis

This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during the subprime crisis bet. The empirical analysis shows that, in addition to credit risk, a relevant variable for explaining the interbank rate dynamics is the outstanding volume in the Asset Backed Commercial Paper market. In short, the large spread observed in the market is explained by the inter-relationship between collateralized short-term debt markets and the unsecured interbank market. It is also shown that Central Bank ⿿non-conventional⿿ intervention variables are relevant in affecting the spread both in the long-run but mostly in the short-run.     

A model of the topology of the bank – firm credit network and its role as channel of contagion

This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector that encapsulates basic stylized facts found in comprehensive data sets for bank-firm loans for a number of countries. When performing computational experiments with this model, we find that it shows a pronounced non-linear behavior under shocks: the default of a single unit will mostly have practically no knock-on effects, but might lead to an almost full-scale collapse of the entire system in a certain number of cases. The dependency of the overall outcome on firm characteristics like size or number of loans seems fuzzy. Distinguishing between contagion due to interbank credit and due to joint exposures to counterparty risk via loans to firms, the later channel appears more important for contagious spread of defaults.     

Financial intermediation in an overlapping generations model with transaction costs

We analyze an overlapping generations economy where agents interact to share liquidity risk. We show that a pure exchange economy has excessive trade in equilibrium because agents interact to rebalance their portfolios. Intergenerational financial intermediaries reduce the number of interactions because agents only transact when they face liquidity needs. In the absence of asset risk, intermediaries match redemptions with deposits and dividends, and never sell assets. If the economy is subject to transaction costs, the intermediated economy can sustain higher stationary investment and welfare. We also find that dead weight transaction costs can increase welfare because it protects banks from interbank arbitrage and dampens the inherent cyclicality of market economies.     

商业银行经营决策对我国货币供给的影响及建议

商业银行经营行为对我国货币供给的影响作用于基础货币投放和存款货币创造两个阶段。国有控股商业银行因其垄断性地位使得信贷投放过于集中、流动性管理水平低,其他股份制商业银行不受风险约束的盲目扩张倾向,都可能造成我国货币供给和调控政策实施效果偏离预期。针对以上问题,本文建议,国有控股商业银行应加强股份制改革,建立现代企业制度;其他股份制商业银行根据自身的条件确定发展方向,有序竞争。     

商业银行信贷产业结构效应与优化对策

现阶段中国商业银行信贷结构的变化,既是商业银行自身经营发展带来的结果,也是宏观经济形势发展变化与经济结构调整的结果。本文通过梳理现阶段中国商业银行信贷结构的演变及其产业结构效应,针对1985—2016年三大产业产值比重、商业银行短期和中长期贷款与贷款行业投向等数据,对现阶段商业银行信贷结构与产业结构演变之间关系进行协整分析。结果发现,现阶段中国商业银行信贷结构的变化与产业结构变动之间存在着显著的长期均衡关系,同时当前商业银行信贷结构的“顺周期性”也得以验证。在现阶段中国商业银行信贷结构变化的过程中,不同的贷款期限结构对于产业结构的变动发展存在显著差异,这为现阶段中国产业结构调整与优化的实践操作提供了更多理论支撑和经验依据。为此,本文最后给出了当前优化商业银行信贷结构的对策。