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本文在矩阵模型的基础上构建了我国银行网络的风险传递模型,定量刻画了各银行的风险头寸,并结合我国制造业处境日益恶化这一宏观经济背景,首次模拟制造业负面波动对银行网络系统的冲击,分析在这一负面冲击下,风险在银行间的传染路径和扩散机制。结果显示:制造业贷款损失率的提高会大大增加银行倒闭风险,与单银行倒闭作为诱导因素引致的传染效应相比,具有传染速度快,对整个银行体系冲击大等特点。
Based on the matrix model, this paper constructs the risk transfer model of China’s bank network and quantitatively depicts the risk positions of banks. Combined with the macroeconomic background of deteriorating manufacturing industry in our country, this paper firstly simulates the negative impact of manufacturing industry on the banking network system The impact of this negative impact on the risk of inter-bank contagion path and diffusion mechanism. The results show that the increase of manufacturing loan loss rate will greatly increase the risk of bank failures. Compared with the contagion effect caused by the failure of a single bank as an inducing factor, the rate of bank loan losses is high and the impact on the entire banking system is large.