Study On Risk Spillover Effects Between Banks And Companies From The Perspective Of Network Embedded With Guarantee Mechanism

The credit network is the most common interconnection between banks and companies.At present,the research on risk spillover effect between banks and companies is mainly based on the credit network.However,the premise for banks to provide credit to companies is that companies must provide sufficient guarantee,and with the spreading of guarantee relationship,the risk spillover contained in guarantee financing is gradually exposed.Therefore,the guarantee relationship between banks and companies has an important impact on risk spillover.In recent years,the research on guarantee mechanism has gradually increased,while the risk spillover effect where both the credit network and guarantee mechanism are introduced is still less studied.Therefore,this paper takes this into consideration to study the risk of spillover effects between banks and companies.It helps to identify the influence mechanism of the guarantee mechanism to the credit network,and it is also helpful for the construction of a more complete framework which is closer to the real market.In this paper,the research on risk spillover effects between banks and companies from the perspective of network embedded with guarantee mechanism is divided into three aspects: Firstly,a dynamic enterprise guarantee network model is built considering the main business behavior of companies and the guarantee relationship between companies,and the rationality and robustness of the established guarantee network model are verified by simulations.Secondly,based on granger causality,this paper analyzes the risk contagion and its spillover mechanism between companies based on the guarantee network.Finally,a network model is constructed by introducting the credit network between banks and companies and the guarantee mechanism,and the influence of the behavior characteristics of banks and companies on the risk spillover effect is further discussed on the basis of considering both the credit relationship and guarantee relationship at the same time.Based on the construction of the related network model and the analysis of risk spillover effect,this paper mainly draws the following conclusions.From the perspective of company system,the existence of guarantee mechanism can aggravate the risk spillover effects among companies and then leads to a higher number of accumulated bankruptcies of companies.The selection method of guarantee agents will affect the topological structure of guarantee network and further affect the risk contagion among companies.The selection method of guarantee agents based on net worth will aggravate the risk spillover among companies to some extent.The increase of the guarantee amplification factor will make it easier for companies with capital demand to obtain guaranteed loans,and at the same time strengthen the risk spillover among companies.For the banking system,the bad debts of the banking system will gradually increase with the increase of the guarantee amplification factor.Too high interest rate of bank loans to companies will increase the level of bad debts in the banking system.Therefore,under the case that the values of leverage ratio and net worth remain unchanged,the level of bad debts in the entire banking system can be reduced if the bank appropriately lowers the interest rate of loans.Both the transfer probability of choosing banks and the proportion of potential guarantee agents have a monotonous relationship to bad debts in the banking system.The increased parameters will reduce the bank bad debts within a certain threshold,and make bad loans increased gradually for higher values of the parameters.Therefore,too higher values of transfer probability of choosing banks and the proportion of potential guarantee agents may decrease the stability of the financial system.