基于避险行为的银行间网络系统性风险传染研究 |
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引用本文: | 韩景倜,曹宇. 基于避险行为的银行间网络系统性风险传染研究[J]. 复杂系统与复杂性科学, 2017, 14(1). DOI: 10.13306/j.1672-3813.2017.01.011 |
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作者姓名: | 韩景倜 曹宇 |
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作者单位: | 1. 上海财经大学 信息管理与工程学院,上海 200433;上海财经大学 实验中心,上海 200433;上海市金融信息技术研究重点实验室,上海 200433;2. 上海财经大学 信息管理与工程学院,上海,200433 |
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基金项目: | 国家自然科学基金,教育部博士点专项创新基金 |
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摘 要: | 建立了一个基于避险行为的银行间网络模型,研究了异质性网络结构和异质性银行资产条件下流动性囤积避险行为、折价出售避险行为以及避险行为叠加对系统性风险传染的影响。结果表明,流动性囤积在初始阶段减缓了系统性风险传染,折价出售没有延缓系统性风险传染,而避险行为的叠加从整体上加剧了系统性风险传染。考虑避险行为时,异质性网络稳定性强于同质性网络,不考虑避险行为时,同质性的随机网络更加稳定。最后,银行资产异质性对系统性风险传染没有显著影响。
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关 键 词: | 系统性风险 避险行为 流动性囤积 折价出售 |
Systemic Risk Contagion of Interbank Network Based on Risk-Averse Behaviors |
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Abstract: | We build an interbank network model based on risk-averse behaviors.On a heterogeneous network structure, we explore the relationship between risk-averse behaviors of banks and systemic risk contagion, specifically, liquidity hoarding, fire sales behaviors and the composition of risk-averse behaviors.The simulation results show that liquidity hoarding behaviors mitigate systemic risk contagion at early stage, fire sales behaviors have little effect on mitigating systemic risk contagion and the composition of risk-averse behaviors exacerbate the systemic risk contagion.Heterogeneous network is more robust than the homogenous network if risk-averse behaviors exist, otherwise the homogeneous network is more stable.Furthermore, bank asset heterogeneity has no significant effect on systemic risk contagion. |
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Keywords: | systemic risk risk-averse behaviors liquidity hoarding fire sales |
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