【摘要】：20世紀(jì)70年代以來(lái),在發(fā)展中國(guó)家和發(fā)達(dá)國(guó)家一共爆發(fā)了168次銀行危機(jī),這其中包括117次系統(tǒng)性危機(jī)和51次非系統(tǒng)性危機(jī),其造成的損失都超過(guò)了年GDP的十分之一。而最近發(fā)生的次貸危機(jī)以及隨后的歐債危機(jī),其影響力更是席卷全球。在銀行的系統(tǒng)性風(fēng)險(xiǎn)的產(chǎn)生中,最為重要的因素是銀行體系間的風(fēng)險(xiǎn)傳染效應(yīng)。正確的識(shí)別和度量該效應(yīng),對(duì)于銀行危機(jī)的防范有十分重要的作用�；诖�,本文對(duì)銀行的風(fēng)險(xiǎn)傳染效應(yīng)進(jìn)行了詳細(xì)的研究,,使用了模型分析、仿真模擬、實(shí)證檢驗(yàn)等研究方法。具體而言,首先,研究了單個(gè)銀行危機(jī)產(chǎn)生機(jī)制的理論模型,得出了儲(chǔ)戶取款要求的變化對(duì)銀行擠兌產(chǎn)生的影響；接著,運(yùn)用仿真模擬和實(shí)證檢驗(yàn)的方法,對(duì)銀行體系內(nèi)的風(fēng)險(xiǎn)傳染效應(yīng)進(jìn)行分析,重點(diǎn)研究了系統(tǒng)重要性銀行的識(shí)別和傳染效應(yīng)的度量；最后,分析了國(guó)際金融市場(chǎng)對(duì)中國(guó)銀行業(yè)的風(fēng)險(xiǎn)傳染途徑和傳染效應(yīng)。本文得出的主要結(jié)論有： (1)單個(gè)銀行危機(jī)產(chǎn)生機(jī)制的理論研究表明,一旦某銀行出現(xiàn)支付危機(jī),這個(gè)信息會(huì)很快被儲(chǔ)戶捕捉到,由于信息的不對(duì)稱性,儲(chǔ)戶中那些謹(jǐn)慎類型的人就會(huì)提前取款,這種取款行為由于羊群效應(yīng)的影響,使得儲(chǔ)戶之間發(fā)生傳染,會(huì)有越來(lái)越多的人加入到提前取款的行列,使得銀行的經(jīng)營(yíng)狀況更加惡化,最終使得單個(gè)銀行危機(jī)不可避免,導(dǎo)致銀行失敗,而銀行中壞賬的存在,又會(huì)使得這一過(guò)程的產(chǎn)生被加快,銀行的危機(jī)會(huì)更早出現(xiàn)。 (2)銀行體系間風(fēng)險(xiǎn)傳染效應(yīng)的仿真模擬結(jié)果表明,銀行體系中錯(cuò)綜復(fù)雜的債權(quán)債務(wù)關(guān)系,使得一家銀行的失敗風(fēng)險(xiǎn)會(huì)引發(fā)傳染效應(yīng),最終可能會(huì)引發(fā)一場(chǎng)銀行體系的系統(tǒng)性風(fēng)險(xiǎn)。具體而言,如果發(fā)生危機(jī)的銀行,其債權(quán)損失率不超過(guò)30%,那么,不論銀行是否系統(tǒng)重要性銀行,都不會(huì)對(duì)整個(gè)銀行體系的穩(wěn)定造成影響；如果達(dá)到或者大于50%,傳染效應(yīng)會(huì)明顯加強(qiáng),此時(shí),若發(fā)生危機(jī)的是系統(tǒng)重要性銀行,會(huì)在很短時(shí)間內(nèi)引發(fā)一場(chǎng)系統(tǒng)性風(fēng)險(xiǎn),若發(fā)生危機(jī)的不是系統(tǒng)重要性銀行,可能會(huì)引發(fā)局部風(fēng)險(xiǎn),或者使得系統(tǒng)性風(fēng)險(xiǎn)的過(guò)程放慢�？傊�,系統(tǒng)重要性銀行對(duì)風(fēng)險(xiǎn)傳染效應(yīng)有決定性的影響。 (3)對(duì)中國(guó)銀行體系內(nèi)14家上市銀行的日收益數(shù)據(jù)的Copula相關(guān)性的實(shí)證研究發(fā)現(xiàn),中國(guó)的系統(tǒng)重要性銀行一共有7家：中國(guó)銀行、中國(guó)工商銀行、中國(guó)建設(shè)銀行、中國(guó)農(nóng)業(yè)銀行、交通銀行、民生銀行和中信銀行,這些銀行的傳染性非常強(qiáng),一旦發(fā)生風(fēng)險(xiǎn)將會(huì)對(duì)其他銀行乃至整個(gè)金融業(yè)產(chǎn)生極大的破壞力。
[Abstract]:Since the 1970s, there have been 168 banking crises in both developing and developed countries, including 117 systemic crises and 51 non-systemic crises, all of which caused more than 1/10 of the annual GDP. The recent subprime mortgage crisis and the subsequent European debt crisis, its impact is sweeping the world. The most important factor is the risk contagion effect among banks. Correct recognition and measurement of this effect plays an important role in the prevention of bank crisis. Based on this, this paper makes a detailed study on the risk contagion effect of banks, using the methods of model analysis, simulation, empirical testing and so on. In particular, first of all, the theoretical model of the crisis generation mechanism of a single bank is studied, and the influence of the change of depositors' withdrawal requirements on the bank runs is obtained. Then, the method of simulation and empirical test is used. This paper analyzes the risk contagion effect in the banking system, focuses on the identification and measurement of the contagion effect of systemically important banks, and finally, analyzes the risk contagion path and contagion effect of the international financial market to the Chinese banking industry. The main conclusions of this paper are as follows: (1) the theoretical research on the mechanism of single bank crisis shows that once a bank has a payment crisis, this information will be quickly captured by depositors because of the asymmetry of the information. The prudent type of savers will withdraw money in advance, and the withdrawal behavior will be affected by the herding effect, and more people will join in the advance withdrawal. It makes the operation of the bank worse, and finally makes the crisis of individual bank inevitable, leading to the failure of the bank, and the existence of bad debts in the bank will speed up the process. Bank crises will occur earlier. (2) the simulation results of risk contagion effect between banking systems show that the complex relationship between creditor's rights and liabilities in the banking system makes the failure risk of a bank lead to contagion effect. It could eventually trigger a systemic risk to the banking system. Specifically, if the bank in crisis has a loss rate of less than 30%, then, whether the bank is systemically important or not, it will not affect the stability of the whole banking system; If the contagion effect is reached or greater than 50%, the contagion effect will obviously strengthen. In this case, if the crisis occurs in a systemically important bank, it will cause a systemic risk in a very short period of time, and if the crisis is not a systemically important bank, It may cause local risk, or slow down the process of systemic risk. In short, systemically important banks have a decisive impact on risk contagion effect. (3) empirical study on the Copula correlation of daily earnings data of 14 listed banks in the banking system of China shows that, There are seven systemically important banks in China: bank of China, Industrial and Commercial Bank of China, China Construction Bank, Agricultural Bank of China, Bank of Communications, Minsheng Bank and CITIC Bank. These banks are very contagious. A risk would be devastating to other banks and to the financial sector as a whole.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.3

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