世界经济 ›› 2019, Vol. 42 ›› Issue (1): 95-120.

• • 上一篇    下一篇

不良资产引发系统性风险的计算实验分析与政策模拟

隋聪1, 刘青2, 宗计川3   

  1. 1. 大连海事大学航运经济与管理学院 辽宁省大连市凌海路1号 116026;
    2. 北京航空航天大学经济管理学院;
    3. 东北财经大学金融学院 东北财经大学实验经济学实验室 辽宁省大连市沙河口区尖山街217号 116025
  • 出版日期:2019-01-10 发布日期:2019-01-26
  • 通讯作者: 宗计川,电子信箱:zong@dufe.edu.cn。 E-mail:zong@dufe.edu.cn
  • 作者简介:隋聪,电子信箱:suicong2004@163.com
  • 基金资助:
    国家自然科学基金委(71571034、71773013、71731003)对本研究的资助。

Management of Systemic Risk Triggered by Non-Performing Assets: Agent-Based Modelling and Policy Scenario Testing

Sui Cong1, Liu Qing2, Zong Jichuan3   

  • Online:2019-01-10 Published:2019-01-26

摘要: 不良资产是形成市场风险、流动性风险、交易对手风险等众多风险的根源。本文建立了一个包含不良资产的银行间计算实验模型,利用该模型从微观个体的不良资产变化入手研究其对银行系统的宏观影响。模拟实验发现,在资本监管约束下,不良资产的累积导致了银行体系内流动性过剩,单纯宽松的货币政策对缓解债务危机的作用有限,这在一定程度上可以解释次贷危机后全球性的宽松货币政策环境下经济增长仍然乏力的原因。此外,不良资产核销与逆周期资本缓冲政策组合的干预效果最明显,该政策组合能够加快银行系统恢复,并能够避免单纯核销带来的短期冲击。

关键词: 不良资产, 计算实验, 系统性风险, 逆周期资本缓冲, 银行间市场

Abstract: Bad debts, such as non-performing assets, are generally associated with a wide variety of risks, including market risk, liquidity risk, counterparty risk, etc.In order to investigate the macroeconomic impact of individuals' non-performing assets on the banking system, a new interbank agent-based model is established in this paper, together with a simulation test of relative policy interventions.Our results show that the accumulation of non-performing assets leads to an excess of liquidity in the banking system under the limitations of capital supervision.Moreover, easing of monetary policies plays a limited role in mitigating the debt crisis, which partly accounts for the typically-observed sluggish economic growth in the context of a lax global monetary policy in the aftermath of the 2008 subprime mortgage crisis.Finally, our results from policy simulation tests reveal that the intervention effect of the combined policy of bad debt write-off and countercyclical capital buffer can conspicuously accelerate banking system recovery and avoid the short-term shocks of pure write-offs.

Key words: non-performing asset, agent-based modelling, systemic risk, countercyclical capital buffer, interbank market

中图分类号: