基于多层DebtRank模型的银企系统重要性仿真研究

管理评论 ›› 2022, Vol. 34 ›› Issue (9): 60-70.

基于多层DebtRank模型的银企系统重要性仿真研究

马钱挺¹, 杨文珂², 何建敏²

1. 南京农业大学金融学院, 南京 210095;
2. 东南大学经济管理学院, 南京 211189

收稿日期:2020-06-02 出版日期:2022-09-28 发布日期:2022-10-28
通讯作者: 杨文珂(通讯作者),东南大学经济管理学院博士研究生
作者简介:马钱挺,南京农业大学金融学院讲师,博士;何建敏,东南大学经济管理学院教授,博士生导师。
基金资助:
国家自然科学基金面上项目（71971055）。

Simulation Study on the Systemic Importance of Bank-Firm System Based on Multilayer DebtRank Model

Ma Qianting¹, Yang Wenke², He Jianmin²

1. School of Finance, Nanjing Agricultural University, Nanjing 210095;
2. School of Economics and Management, Southeast University, Nanjing 211189

Received:2020-06-02 Online:2022-09-28 Published:2022-10-28

摘要/Abstract

摘要： 金融是现代经济的核心，经济的持续健康发展离不开金融系统的稳定。本文从银企间不同贷款期限的借贷关系和不同投资周期的共同资产持有关系出发，构建多层DebtRank模型，基于计算实验方法考察银企系统重要性识别效果与银企内部特征。模型仿真结果表明：在模型构建的整个银企系统中，仅有极少部分的银企表现出系统重要性特征。该部分“重要性”银企表现出显著同质性特征，即“重要性”银企的所有者权益及收益处于较高水平，明显异质于所有者权益为负且亏损严重的“脆弱性”银企；相较银企间共同资产持有关系，银企间借贷关系对于多层DebtRank的系统重要性识别更能发挥有效作用；银企多层DebtRank模型较为稳健，可较为真实地从理论层面反映系统“重要性”银企内部特征，有利于监管机构提取并有效识别系统重要性银企进而保证金融系统稳定。

关键词: 多层DebtRank模型, 借贷关系, 共同资产持有关系, 系统重要性

Abstract: Finance is the core of modern economy. The sustained and healthy development of economy is inseparable from the stability of financial system. In this paper, we take lending relationships of different loan terms and common asset relationships of different investment cycles into consideration to construct a multilayer DebtRank model of bank-firm system. Then, based on the calculation experiment method, we investigate the systemic importance identification effect and the internal characteristics of banks and firms. The simulation results display that only a few banks and firms show systemically important characteristics in the whole bank-firm system. Specifically, these banks and firms of importance show significant homogeneity. Besides, their owner’s equity and income are mostly at high level, which is manifestly different from the “fragile” banks and firms which possess negative net assets and serious losses. Moreover, compared with the common asset relationship between banks and firms, the loan relationship plays a more indispensable role in the systemic importance identification of multilayer DebtRank model. Further, the model we construct is stable, which can reflect the characteristics of the “importance” of the system from the theoretical level, and has advantages for regulators to extract and effectively identify the banks and firms of importance to guarantee the stability of the financial system.

Key words: multilayer DebtRank model, loan relationship, common asset relationship, systemic importance

马钱挺, 杨文珂, 何建敏. 基于多层DebtRank模型的银企系统重要性仿真研究[J]. 管理评论, 2022, 34(9): 60-70.

Ma Qianting, Yang Wenke, He Jianmin. Simulation Study on the Systemic Importance of Bank-Firm System Based on Multilayer DebtRank Model[J]. Management Review, 2022, 34(9): 60-70.

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