基于影子银行视角的我国系统性金融风险测度及预警研究

被引：7

作者：

中国人民银行西安分行课题组

白鹤祥

机构：

[1] 中国人民银行西安分行

来源：

金融发展研究 | 2018年 / 11期

关键词：

影子银行; 资产负债表; 网络模型; 风险预警指标;

D O I：

10.19647/j.cnki.37-1462/f.2018.11.002

中图分类号：

F832 [中国金融、银行];

学科分类号：

1201 ; 020204 ;

摘要：

本文编制了我国影子银行部门的资产负债表,准确识别我国影子银行规模,分析影子银行基于资产负债表渠道的系统性金融风险传染机制。基于蒙特卡洛模拟构建了以影子银行为中心节点的金融机构间网络模型,得出三种不同集中度金融机构间网络的系统性金融风险损失的VaR和ES值,对我国影子银行违约引发的系统性金融风险进行测度。基于此,划分了"绿色可控区"、"橙色预警区"和"红色风险区"三类级别的系统性风险区间,构建了以影子银行资产规模/GDP为核心,同时考虑经济增速和货币环境的风险预警指标,并以美国次贷危机前后影子银行资产规模占GDP比重作为参照系,得出我国金融业系统性风险预警指标区间值,并据此提出加强对影子银行管理与隔离、做好影子银行风险识别与监测、将影子银行纳入广义宏观审慎管理体系、建立影子银行风险预警和处置机制的政策建议。

引用

页码：13 / 22

页数：10

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