Study On Contagion Risk And Capital Release Mechanism In Interbank Market Based On Homogenization

During 2008,the subprime mortgage crisis in the United States swept the whole world,showing the important characteristics of fast transmission,wide spread and long time impact.Before the crisis,financial supervision mainly implemented micro-prudential management,which focused on the safety of a single financial institution.The homogenization of market expectations,risk preferences and decision-making behavior among financial institutions will lead to the consistency of asset-liability allocation.Homogenization promotes the development of financial institutions and the growth of industry in the early stage of industry development.However,when the degree of industry homogenization continues to improve,there will be concentration risk and synthetic fallacy.Therefore,once subjected to joint or individual shocks,financial institutions with the same assets will suffer losses.At the same time,because of the creditor's rights and debts relationship among financial institutions,the crisis will further spread and expand.With the introduction of Basel ?,the China Banking Regulatory Commission also issued the Capital Management Measures for Commercial Banks,requiring banks to increase common equity capital,such as reserve capital,counter-cyclical capital and additional capital of systemically important banks.Although the increase of capital can mitigate risks and absorb losses,whether capital can mitigate the risk of inter-bank contagion caused by homogenization has not been well resolved.Under this background,this paper attempts to analyze the formation mechanism of risk contagion in China's inter-bank market from the perspective of asset-liability allocation homogeneity,construct a simulation model of risk contagion among banks to analyze the effect of risk contagion among banks in China,find out the main factors affecting risk contagion among banks on this basis,and put forward a capital slow-release mechanism with guiding significance for practice.Firstly,this paper combs the internal relationship between asset-liability allocation homogeneity of commercial banks and risk contagion among banks.It points out that asset-liability allocation homogeneity of commercial banks enhances the direct and indirect correlation between banks,and then intensifies the risk contagion in the inter-bank market.As the precondition and basis for analyzing and studying the risk contagion effect between banks,this paper first constructs the measurement model of homogeneity degree of asset-liability allocation between banks,and studies the development trend of homogeneity degree of asset-liability allocation between Chinese commercial banks in 2007-2017,and compares it with American commercial banks,and expounds the asset-liability allocation structure of commercial banks in the two countries.Based on the assets and liabilities data of banks,the risk contagion effects of 25 sample banks in China and the United States were compared and analyzed by using the matrix method with improved criteria and setting different impact scenarios.The study found that the sample banks in China showed a strong risk contagion effect,while the sample banks in the United States showed a robust performance.The analysis shows that the correlation of asset allocation,the level of capital adequacy of banks and the performance of systemically important banks at key nodes are the main factors causing the differences.Further,in order to test the relationship between asset-liability allocation homogeneity and inter-bank correlation,this paper uses DCC-GARCH model to calculate the dynamic correlation coefficient of major commercial banks in 2008-2017.As an index to measure inter-bank correlation,it tests the correlation between commercial banks' correlation and homogeneity through panel data model.Empirical results show that the degree of homogeneity of commercial banks deepens or alleviates,and the size of their correlation also shows the same direction of change.On the basis of summarizing and analyzing the international practice of mitigating inter-bank risk contagion,this paper analyses the necessity of establishing a slow-release mechanism at the capital level,and constructs a capital slow-release mechanism based on homogeneity index,which can prevent inter-bank risk contagion.The purpose is to provide new ideas and quantitative methods for supervision of bank homogeneity by regulatory authorities.Based on the above analysis,the countermeasures and suggestions for preventing risk contagion among banks are put forward: firstly,to accelerate the reform of comprehensive management and reduce homogenization risk;secondly,to build an early warning mechanism that can effectively and timely identify risk contagion among banks;thirdly,to improve the financial safety net from three aspects: capital adequacy system,deposit insurance system and lender of last resort system;fourthly,to strengthen systemically important banks.The fifth is to enhance liquidity to resist risk contagion between banks.