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基于复杂网络的银行危机传染研究
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摘要
金融业是现代经济的核心,而银行业又是金融业最重要的组成部分,银行系统是否安全直接关系到整个金融系统的安全。银行危机具有传染性,单个银行危机如果处理不当,在一定条件下很可能引发整个银行系统危机,而银行危机在国内传染的过程中在特定的条件下又会引发本国货币危机;银行危机在跨国传染过程中在特定的条件下会同时传染货币危机,甚至酿成全球性的、全面的金融危机。因此,对银行危机传染的研究对于在危机发生后,及时有效地阻止危机的蔓延扩大,帮助危机银行在危机后尽快恢复正常运转,实现经济在遭遇系统性金融危机后快速复苏有着重要的理论价值和深远的实践意义。
     本文共分为六章:第一章,绪论。第二章,银行危机传染复杂性研究,回顾在银行危机传染领域的一般性研究成果,介绍了与银行危机传染相关的金融变量、市场主体及其行为,提出银行危机的传染具有开放性和波动性。第三章,基于复杂网络的银行网络结构模型及分析,介绍了银行网络的构建方式以及银行网络的微观结构特征,描述了几类常见的银行网络模型,并构建了一个与现实中银行网络较为近似的双向选择的无标度权重银行网络,建立了基于复杂网络结构的银行网络功能分析框架。第四章,银行网络上的危机传染动力学研究,分析了银行危机在银行网络中传染的基本方式,检验了银行危机在银行网络上的传染行为具有很强的波动性,对银行危机在银行网络中的传染行为进行了动力学的模拟,探讨了银行网络危机传染的阈值与银行网络应对危机传染时的免疫策略。第五章,基于复杂网络传染的银行危机管理研究,从系统的角度介绍了银行危机管理理论,探讨了基于系统环境的银行网络宏微观环境优化策略,从危机管理理论和维护银行网络稳定性两个方面对银行系统的危机应对策略展开了说明。本文主要结论如下:
     第一,银行主体之间通过信用拆借关系形成一定的债权债务结构关系形成了银行系统内的复杂网络结构。在银行网络在形成的过程中,都对应着一定层次的银行网络结构,并逐渐从微观结构演化到宏观结构,而且银行网络的形成和银行网络的结构特征也是和银行主体行为相关联的。
     第二,银行危机在银行业内的传染行为可以抽象为银行危机在银行网络上的传染行为。在使用复杂网络的理论对银行危机的传染进行研究时,除了要考虑银行网络系统的结构与其功能之问是相互联系和相互影响的之外,还要将分析银行风险传染过程应与银行网络的结构特征与银行主体的行为特征相结合。
     第三,银行危机在银行网络上的传染过程中有着明显的波动性。波动性的强弱与银行危机在网络上的传染轮数有关,也与银行网络规模的大小有关。
     第四,在非匀质银行网络中,银行危机的最终传染范围R依赖于初始发生银行危机的银行的状态:如果该银行节点的度很大,R也就会很大;此外,最终处于免疫状态的银行节点的多少依赖于危机传染率λ和网络的结构p。通过模拟的结果我们发现,R随着p的增大而增大,也就是说随机银行网络比无标度银行网络更容易发生银行危机的感染行为,传播范围更为广阔。
     第五,银行网络的存在和发展必然受到其宏微观环境的影响。因此,对银行网络上发生的危机和危机传染的管理也需要考虑其宏微观环境的优化。对于一个开放中的银行网络来说,在开放过程中规避金融风险,有效地抵御传染效应的政策关键就在于改善经济基本面、建立有利于银行网络稳定的制度安排、有效地控制信息不对称程度等等。从微观角度讲,对于银行网络上的危机应对,要从维护银行网络结构的稳定性入手,减小银行危机在银行网络上的传染率,以达到危机管理的效果。
The financial industry is the core of the modern economy, and the banking system is the most important component of the financial industry. It is directly related to the safety of the entire financial system. Banking crisis is contagious. Under certain conditions, if a single bank crisis is handled improperly, it is likely to trigger the entire banking system crisis; and the banking crisis in the process of infection sometimes will trigger its own currency crisis in the country. On the other hand, banking crisis in the process of Cross-border transmission in specific conditions will also spread the currency crisis, or even lead to a global and comprehensive financial crisis. Therefore, for preventing the spread of the crisis to expand and help the banks in the crisis as soon as possible, the research on banking crisis contagion has important theoretical value and practical significance of the far-reaching in this field.
     This paper is divided into six chapters: Chapter one, Introduction. The second chapter briefly reviews the course of the banking crisis development during the last decade and introduces the financial variables, the principle market participants, and their behavior which are related to the banking crisis contagion. Chapter three, banking network structural model and research based on the network theory, introduces the way to build the banking networks and the micro-structure of these networks; describes the types of common banking network models; and then, builds a banking network functional analysis framework which is based on the complex network structure. Chapter four, dynamics research on the banking crisis contagion on the banking networks. In this part, we do the analysis on the basic way for the banking crisis contagion in the banking networks; inspect the strong volatility of the banking crisis contagion on the banking networks; do the simulation of dynamic behavior of the banking crisis contagion on the banking networks; and then, discuss the threshold of the banking crisis contagion and the immunization strategy for the banking crisis on the networks. Chapter five, banking crisis management research based on the complex network contagion. We introduce the crisis management theory from the system theory's view, and give the crisis management strategies form crisis management theory and how to keep the stability of the banking network.
     We get the following conclusions in this paper:
     Firstly, the creditor's rights and liabilities of the banking system formed the complex banking network structure. In the process of formation of the banking networks, it is corresponded to a certain level of the banking network structure gradually from micro to macro-evolution structure, and the formation and structure of the banking networks are also linked to the main act.
     Secondly, banking crisis contagion in the banking industry can be abstracted as crisis contagion infects in the banking networks. For the study of banking crisis contagion with the complex network theory, we have to think about the relationship and the effect between the structure and the function of the banking system, and then, we have to talk about the behavior of the banks of the main.
     Thirdly, there is a clear volatility for the banking crisis contagion in the banking networks. The degree of volatility links to the contagion rounds, and also links to the size of the banking networks.
     Fourthly, in the non-homogeneous banking networks, the range of banking crisis contagion ultimately depends on the initial bank which gets its banking crisis and its status is also important.
     Finally, the micro-macro economy environment will affect the existence and development of the banking networks. Therefore, one strategy for the management for the banking crisis contagion is to optimize the micro-macro economy environment.
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