Research On The Risk Contagion Effects Of Interbank Lending Market In China

The outbreak of the United States subprime mortgage crisis and the European debt crisis has brought heavy losses to the global financial market,these two crises highlighted the severity of the risk of infection.With the continuous innovation of financial instruments,the banking business structure is becoming more and more complicated.The inter-bank market risk is no longer confined to the individual risk,but gradually presents the systematic characteristic.With the continuous development of China's inter-bank lending market,the risks can be spread through close business contacts among the members of the market.The risk of some banks falling into crisis under external shocks will spread rapidly within the market,leading to a chain reaction,and may even lead to the collapse of the inter-bank market.Although the researches on the risk contagion effect of inter-bank market both at home and abroad have made a lot of reference in theory and practice,the measurement method of risk contagion effect,the effects of macro economic shocks on the risk infection and the risk transmission network modeling in the inter-bank market remain to be further studied.Therefore,it is of great significance to study the risk contagion effect of the inter-bank market.Based on the idea of "measuring the risk contagion effect of the inter-bank market and its influencing factors,and slowing-down risk transmission",this article follows the research framework of "theoretical framework-realistic basis-empirical analysis-strategic choice",comprehensively applies the relevant knowledge of macroeconomics,econometric,finance and statistics to discuss the systemic characteristics of inter-bank market risk,the theoretical explanation and channel of inter-bank market risk contagion,and analyzes the mechanism and reality of inter-bank risk Infection.Based on the theory,we use the matrix method to measure the risk contagion effect of the inter-bank market in China,and then use the macro stress test method and the complex network simulation method to study the risk contagion effect of the inter-bank market in China,in order to provide a series of slow-release inter-bank market risk transmission strategy.Firstly,this paper systematically combs the theories of inter-bank market and risk transmission.This paper studies the risk contagion effect of inter-bank market and its influencing factors,which is the most important question to be answered.On this basis,this paper comprehensively expatiates the theory of risk contagion in the inter-bank market,including financial fragility theory,financial network theory,cooperative risk theory and herding effect.Then,it analyzes the systemic,explosive and extensive characteristics of the risk transmission of the inter-bank market,and explores the risk transmission channel and risk transmission mechanism of the inter-bank market.Secondly,this paper measures the risk contagion effect of inter-bank market in our country.According to the inter-bank market transaction relationship,to the risk matrix of bilateral exposure risk matrix based on inter-bank market transaction behavior,and to the principle that the core capital of the bank is lower than the default loss of bankruptcy,this paper adopts the maximum entropy matrix to simulate the contagion process of inter-bank market risk under just credit risk,and under both credit risk and liquidity risk,and calculates the degree of inter-bank market risk infection.It is found that the risk-contagion effect of the inter-bank market under the impact of bilateral joint venture is stronger and the number of infected banks increases;the larger the scale of the same industry,the stronger the effect of risk transmission;the five major state-owned banks are the main source of infection;Banks are susceptible to infection;the level of core capital is associated with the risk of contagion effects.Thirdly,this paper introduces the method of macroscopic pressure test to modify the parameter setting of maximum entropy matrix method.The purpose is to predict the evolution path of risk infection under extreme pressure and to determine the influence of macroeconomic factors on the risk of inter-bank market.The empirical results show that the decrease of GDP and money supply will increase the credit risk of banks.The increase of loan interest rate,consumer price index and national housing climate index will also enlarge the credit risk.When the macroeconomic environment changes drastically,the bank credit risk will be significantly improved,leading to some banks operating crisis.The greater the intensity of macroeconomic shocks,the faster the risk of contagion in the inter-bank market,especially in the slowdown in GDP growth.Under the environment of intense macroeconomic shocks,all sample banks are risk contagious.Then,using the complex network model to analyze the risk transmission of the inter-bank market from the micro-level,the paper examines degree of infection and how the risk of inter-bank market spreads through the network when a bank in the banking system is hit by external shocks.The results show that the connectivity of inter-bank network structure has two opposite effects on systemic risk:when the connectivity is small,the network structure provides a more convenient way for risk transmission,thus increasing the effect of systematic loss;When the connectivity exceeds a certain threshold,network connectivity provides a good channel for the sharing of systemic risk and plays a role in reducing systemic risk.The size of the inter-bank exposure only affects the systemic loss after the threshold is exceeded,and the impact on the systemic loss will be improved significantly.The higher capital adequacy ratio can alleviate the crisis and reduce the systematic loss.However,with the strengthening of initial shock,the capital adequacy ratio for the systematic loss of control effect is gradually weakened.In the end,this paper puts forward some policy suggestions on improving the risk isolation system of inter-bank market,strengthening the macro-prudential supervision of supervisory institutions and optimizing the risk prevention ability of banks,in order to promote the development of inter-bank market in China,and to provide references for banking risk management.