中国银行间市场双边传染的风险估测及其系统性特征分析

3:,,,:3,,:300071,:[e-mail],[e-mail],[e-mail],,2090,,,,,,,,,,,,?,,,,,,,,,,,,,;2003,,;,,,,86:(Kaufman,2000);(,2004):,(,2004),,,,,,,,,,,,;,,,,,,,,,,,,;,,,,;,,,,;,,,,,,,,,,,,,,,,2003,,,;,:9620071,(1)1;,,,UpperandWorms(2002)Wells.Simon(2002)SheldonandMaurer(1998)ImanandLiedrop(2004),,;,JeannetteMuller(2003)DiamondDybvig(1983)CHIPSASO,,,,,;,,DiamondandDybvig(1983)BhattacharyaandGale(1987)SujitChakravorti(1996)PerterGalosandKimmoSoramaki(2005),,,,,,,,,,,,,,();AllenGale(2000):07:,(2006);;,,,,,iX=x11x1jx1Nxi1xijxiNxN1xNjxNNil1ljlNa1aiaNiX3=x11x31jx31Nx3i1xijx3iNx3N1x3NjxNNil1ljlNa1aiaN(a)NN(b)NNNN(a);xijij,Naii,:ai=jxij,lj=ixijXN2-2N,alf(a)f(l),Xf(a,l)f(a)f(l),xij=ailj,X,,,i=j,xij=0,X(b),X3:Minxijx3ijlogx3ijxijs.t.x0Ax=[a,l](1)x3x(N2-N)1,X3X,Aai=jxij,lj=ixijBlienGraef(1991)RAS(BlienandGraef,1991),()3411112,,2003,,111,,,1720071,,130130();,:j,,xijci,ji,,[0,1];ciij,xijci;,,,:ij,ijk(xki+xkj)ck,k,,,,,,,,,,,,,,;,,,Furfine(1999),,,,,1.127(3):,,1(a),,,=0139;,,=0154=0164,=0189,,1(b),,=0178,,1,,,1(a)1,;,1(a)=016427:1,1(a)1(b),0198(a),1,,,,,,,22,0163,=0164,,;,,,0163,,,,,,,,0199,,0199,,,,6,4,,,;,,3(a)3(b),,,,;,,3720071,,,,,3,,,:,(2),:,,;,,,,,,,,,,,,,,,:(3),,3,,;;,,,,:,,,,,47::=P(+);=+-20.40.450.50.550.60.650.70.8CIBCIBCMBCCIBCMBCCIBCMBCSDBCIBCMBCSDBICBCCIBCMBCSDBICBCCIBCMBCSDBICBCBOSCIBCMBCSDBICBCBOSSDBICBCBOSBOSGDB26CBGDB122CBGDB122CBBOS86CBEIBSPDBCITICSABCEIBSPDBCITICSABCEIBSPDBCITICSCMBHXBCEB0.80.860.920.980.99CIBCIBCIBCMBCCIBCMBCCIBCMBCCMBCSDBSDBSDBSDBICBCICBCBOSBOSGDB112CBEIBSPDBCITICSABC:CIB;CMBC;SDB;ICBC;BOS;GDB;CB;EIB;SPDB;CITICS;ABC;CMB;HXB;CEB313.004920.384430.4592450.1201030.3439180.252069-0.652620.147840.0996260.1575160.0330360.4584260.334570.2545430.4848840.6105760.0880060.1514182.,5720071,(4);,,,,,,=0187;0195,,;0195,,:;,31154%,36186%,,,,,,,,,,44,,;,=01274(a),,,,=016=0178[4(b)],0157019,,;67:,,,,(),,:11,,,,21,,,31,,,,,41,,,;,,,77%,;95%,3;1,,,,,,,,:,2003,2003,,,,;,2003,,,,;,,,:,,;,,,,;,,7720071,,,():,,,,;,,,;,,,,;,,,,,,,,,,,,,,;,,,;,,,,2004:,,2006:,1AllenandGale,2000,FinancialContagion,JournalofPoliticalEconomy,108,1,133.Bhattacharya,SudiptoandDouglasGale,1987,PreferenceShocked,liquidityandCentralBankPolicy,inNewApproachestoMonetaryEconomics,ed.byWilliamA.BarnettandKennethJ.Singleton,6988,Cambridge,England:CambridgeUniversityPress.Blien,U.andF.Graef,1991,EntropieoptimiErungsverfahrenInDerEmpirischenWirtschaftsforschung(EntropyOptimizationinEmpiricalEconomicResearch),JahrbuchfurNationalokonomieundStatistik,208,4,399413.Diamond,DouglasandPhilipH.Dybvig(1983),BankRuns,DepositInsurance,andLiquidity,JournalofPoliticalEconomy,Vol.91,No.3,401419.Furfine,CH,1999,InterbankExposures:QuantifyingtheRiskofContagion,BISWorkingPaper,70.ImanvanlelyveldandFrankaLiedrop,2004,InterbankContagionintheDutchBankingSector,SSRNworkingpaper,July,2004.JeanetteMuller,2003,TwoApproachedtoAssessContagionintheInterbankMarketSwissNationalBankDiscussionPaper,December23.Kaufman.George,2000,BankingandCurrencyCrisesandSystemicRisk:ATaxonomyandReview,FinancialMarkets,InstitutionsandInstrument,May,690131.PeterGalosandKimmoSoram¾ki,2005,SystemicRiskinAlternativePaymentSystemDesigns,WorkingPaper,EuropeanCentralBank.(142)87:ScienceandPositivismAReviewonNeuroeconomicsYeHang,WangDingdingandJiaYongmin(ZhejiangUniversity)Abstract:TheNeuroeconomics,whichemergenedinlate1990ps,isafrontierareaandanewbranchofeconomics.Itutilizesthemode,themethod,andthetoolsofmodernneurologytoanalyzetheeconomicbehaviorofhumanbeing,andlaysoutthehumanbrainps(mainlynervecellanditsneurosurgeryandNN)function,role,andmechanismindealingwithindividualdecision2making.Itpromotesthepositiveresearchtoahighlevelwhichhasnervebeenreached.Afterprovideaseriesofsignificantrevisionwithtraditionaleconomics,itthenexploitsnewfieldsforthedevelopmentandthedeepeningofeconomics.KeyWords:ExperimentalEconomics;BehavioralEconomics;EvolutionaryPsychology;Neuroscience;NeuroeconomicsJELClassification:A100,A120,B410(:)(:)(78)Sheldon,GandMaurer,M,1998,InterbankLendingandSystemicRisk:AnEmpiricalAnalysisforSwitzerland,SwissJournalofEconomicsandStatistics,134,685704.SujitChakravorti,1996,AnalysisofSystemicRiskinthePaymentSystem,Workingpaper,FederalReserveBankofDallas.Upper,ChristianandAndreasWorms,2002,EstimatingBilateralExposuresintheGermanInterbankMarket:IsThereaDangerofContagion?DeutscheBunderbanksDiscussionPaper,09P02.Wells,Simon,2002,UKInterbankExposures:SystemicRiskImplications,BankofEnglandFinancialStabilityReview,December,175182.EstimatingBilateralExposuresintheChinaInterbankMarket:IsThereaSystemicContagion?MaJunlu,FanXiaoyunandCaoYuantao(DepartmentofFinance,NankaiUniversity)Abstract:Afrontierstudy,whichhashighlyattractedtheattentionoffinancialresearchers(aswellasregulatorsandpolicymakers),ishowtoestimate,predictandregulatesystemicrisksofbankingsystem.ThispaperusesbalancesheetinformationtoestimatethematrixofbilateralcreditrelationshipsfortheChinabankingsystemandtestwhetherthebreakdownofasinglebankorbankinggroupcanleadtocontagionatdifferentlossratios.Ourfindingsh