银行间债务违约诱发资产减价出售——基于债务与资产关联的风险叠加传染研究

本文针对银行间债务与外部资产关联两种传染渠道,研究了风险传染的叠加效应.首先,本文构建了包含两种传染机制的研究框架.该研究框架的优势在于,允许两种传染机制同时存在,相互影响,为多种传染机制风险叠加的相关问题提供了一类研究方法.其次,本文提出了一种新的实验设计思路.在相同的基础设置上,独立进行银行间债务违约,减价出售以及同时存在这两种传染机制的三种模拟.这种实验设计完全剔除了两种传染机制的交叉影响,因此可以准确研究两种传染机制的叠加效应.最后,本文进行了三组实验,分析了两种传染机制的叠加效应,研究了资产价格敏感系数,银行间贷款比例对叠加效应的影响.研究结果发现:1)两种传染机制同时存在产生的叠加效应的破坏力远远大于两种传染机制的独立传染破坏力.风险传染的叠加效应是形成银行系统性风险的主要推手.2)资产价格敏感系数对减价出售以及叠加效应的影响具有突变性.在减价出售过程中,随着抛售资产数量增加,价格加速下降,减价出售的风险传染力度不断增大,会导致叠加效应加速放大.在风险传染初期,若能保证充足的流动性,避免减价出售,则能够大大降低银行系统性风险.3)银行间贷款比例变动对债务违约以及叠加效应的影响力有限.与减价出售传染不同,银行间债务违约传染随着传染轮次的增加,初始冲击的损失会不断被违约银行的权益所吸收,传染损失会逐渐衰退.

Fire sales of assets triggered by interbank debt default:Amplification of risk contagion based on debt and asset similarity

With focuses on two contagion channels, namely the interbank debt and the external asset similarity, this paper studies the amplification effect of the risk contagion. Firstly, the research framework of two mechanisms is established, in which two mechanisms may simultaneously exist and interact so as to offer reference for studying the amplification effects of multiple contagion mechanisms. Secondly, a new experimental design thought is proposed. Based on the same basic setting, we can separately simulate interbank debt default and fire sale or simulate their coexistence, which can completely eliminate cross effects of two contagion mechanisms and accurately embody their amplification effects. Finally, three groups of experiments are conducted. We analyze the amplification effects of two contagion mechanisms and research the influences of asset price sensitivity coefficient and interbank loan ratio on the amplification effects, which shows that 1) the amplification effects of the coexistence of two contagion mechanism can bring about destructive power much larger than either of them can individually, and therefore the amplification effects of risk contagion should be the main driving force of causing systemic risk. 2) the mutant influence of asset price sensitivity coefficient on fire sale and amplification effects exists, which means that the risk contagion strength of fire sale will constantly become so large as to bring about the accelerating enlargement of amplification effects with the increasing sell-off and sharp price decline. In the early stage of risk contagion, the adequate liquidity and the avoidable fire sale can greatly reduce banking systemic risk. 3) the fluctuating interbank loan ratio plays an limited role in debt default and amplification effects. Unlike the risk contagion of fire sale, the risk contagion of interbank debt default will gradually become diminishing while the loss of the initial shock is absorbed by the earning of default bank with the increasing contagion rounds.