基于复杂网络理论的银行间市场流动性风险传染机制及其免疫策略研究

项目名称： 基于复杂网络理论的银行间市场流动性风险传染机制及其免疫策略研究

项目编号： No.71463003

项目类型： 地区科学基金项目

立项/批准年度： 2015

项目学科： 管理科学

项目作者： 谭春枝

作者单位： 广西大学

项目金额： 35万元

中文摘要： 基于银行流动性风险传染可能引发系统性破坏的潜在危机和银行网络高度复杂的现实，针对银行流动性风险在复杂网络中传染及其免疫的现有研究偏少且不深入以及构建的复杂网络模型对银行实质性特征考虑不足等问题，本项目拟首先构建能体现银行业实质特征的有向含权无标度网络宏观模型和异质性银行主体行为微观模型；然后基于所建立的宏、微观模型，通过计算实验系统研究银行流动性风险在复杂网络中的传染规律，利用计量分析深度挖掘流动性风险传染的决定性因素及其传染效应，并在此基础上设计、模拟流动性风险传染的免疫策略；最后根据手工收集的银行业数据，剖析中国银行间市场流动性风险传染的动态机制，提出流动性风险传染的防控措施。该项目的实施对准确揭示流动性风险在银行间市场的传染机制、科学设计流动性风险传染的免疫策略从而避免可能引发的系统性危机具有重要的理论价值和现实意义，为我国科学制定相关政策提供依据和参考。

中文关键词： 流动性风险；银行间市场；复杂网络理论；传染机制；免疫策略

英文摘要： Based on the fact that a systemic crisis may be caused by liquidity shock which is contagious among banks and the network of banks is becoming more and more complex, many relative research have been carried out.But, there are at least two points needed to be further completed. One is that the contagion and immunization of interbank liquidity risk should be investigated systematicly based on complex network theory. Another one is that essential features of banking should be considered emphatically in the model of complex networks of bank. Firstly, the project builds a macroscopical model of directed and weighted scale-free networks which is close to the banking reality and a microcosmic model reflecting heterogeneous banks' behavior. Secondly, based on the two models above-mentioned, the contagion law of interbank liquidity risk among the complex networks of bank is studied by the means of numerical simunation. Then, the decisive factors and its effect can be determined by analysis of regression, and the immunization strategy will be designed and simulated. Finally, Chinese dynamic contagion mechanism and immunization strategy of the liquidity risk in interbank market will be achieved by making use of manual data of Chinese bank.The application of this research results is expected to accurately discover the contagion mechanism of interbank liquidity risk among the complex networks of bank, and then to scientifically design immunization strategy so that a systemic crisis can be avoided effectively, hence with special theoretical and practical values.Furthermore, this research is hopefully to provide essential theorectical supports for the establishment of Chinese relative policy.

英文关键词： liquidity risk;interbank market;complex network theory;contagion mechanism;immunization strategy