ε),银行间风险传染可能难以避免,而当流动性短缺ε在区间[ε,ε]内,银行间的合作博弈效果最优,风险传染可以在很大程度上避免。银行间市场的"货币池"免疫结构模式..." />

全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

银行间资产清算顺序优化与风险传染免疫机制

, PP. 51-58

Keywords: 银行间市场,清算顺序,风险免疫,货币池

Full-Text   Cite this paper   Add to My Lib

Abstract:

?银行间交叉持有同业存款时,风险共担和传染是可能的。银行间市场结构的不同会对风险共担和传染产生影响,本文采用三阶段流动性偏好模型的一般分析框架,讨论了应对危机时银行微观层面的资产清算顺序的异同对于银行系统脆弱性的不同影响,并从合作博弈的视角探讨了"货币池"风险免疫的可能性。研究发现:在不存在银行资产信息不对称的条件下,当问题银行流动性波动足够大(ε>ε),银行间风险传染可能难以避免,而当流动性短缺ε在区间[ε,ε]内,银行间的合作博弈效果最优,风险传染可以在很大程度上避免。银行间市场的"货币池"免疫结构模式可以实现风险分担和防范银行间风险传染,从微观层面提供了一种银行间市场危机传染的内生免疫机制。

References

[1]  Allen, F., Gale, D.. Financial contagion[J]. Journal of Political Economy, 2000,108(1):1-33.
[2]  Boss,M., Summer,M., Thurner, S.. Contagion flow through banking networks[J]. Computatunal Science, 2004,3038:1070-1077.
[3]  Iori, G., Renò, R., De Masi, G.. Trading Strategies in the Italian Interbank Market. City University ofLondon Working Paper,No.06/03,2006.
[4]  Douglas, D., Raghuram, R.. Liquidity risk,liquidity creation,and financial fragility:A theory of banking[J]. Journal of Political Eeonomy, 2001,109(2):287-327.
[5]  Gai, P., et al..Financial innovation,macroeconomic stability and systemic crises[J]. The Economic Journal,2008,118(527):401-426.
[6]  Nier, E. et al. Network models and financial stability[J]. Journal of Economic Dynamics and Control,2007,31(6): 2033-2060.
[7]  May, R. M., et al..Systemic risk: the dynamics of model banking systems[J]. Journal of the Royal Society, 2010,7(46): 823-838.
[8]  Haldane, A. G.. Rethinking the financial network[Z]. Speech delivered to the Financial Student Association, 2009.
[9]  Allen, F., Carletti, E..Mark-to-Market accountingand liquidity pricing[J]. Journal of Accounting andEconomics,2008, 45: 358-378.
[10]  Allen, F., Carletti, E..The Global Financial Crisis: Causes and Consequences. working paper, WhartonFinancial Institutions Center, University of Pennsylvania,2009.
[11]  Farhi, E., Tirole, J.. Collective Moral Hazard,Maturity Mismatch, and Systemic Bailouts[Z]. workingpaper, Harvard University and Toulouse School of Economics,2009.
[12]  Reinhart, C., Rogoff, K.. The Aftermath of Financial Crises[J]. American Economic Review,2009,99:466-72.
[13]  马君潞,范小云,曹元涛.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[J].经济研究,2007(1):68-78.
[14]  万阳松.银行间市场风险传染机制与免疫策略研究.上海交通大学,2007.
[15]  董乐. 银行间回购利率的基准效应研究——我国短期利率"领先—滞后"效应的实证检验[J].中国管理科学,2008,16(3):16-22. 浏览
[16]  Diamond,D., Dybvig,P.. Bank run,deposit insurance,and liquidity[J]. Journal of Political Economy, 1983,91(3):401-419.
[17]  冯科, 王德全. 同业拆借利率的ARMA-GARCH模型及VaR度量研究[J].中央财经大学学报,2009, (11):36-46.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133