The Research On Risk Contagion Of Inter-bank Market From The Perspective Of Macro-prudence

The lesson of the full-blown financial crisis has taught various countries in the world that when the risk comes,it is only concerned that the healthy development of a single financial institution cannot prevent the collapse of the entire financial system.The banking industry is an extremely important industry in the financial system.The high correlation between banks and the failure of systemically important banks are the key factors leading to the spread of financial risks rapidly.Therefore,redueing the inter-bank relationship and attaching importance to the supervision of systemically important institutions is particularly important for maintaining national financial stability.Based on the theory of infectious diseases,this paper describes the behavior of commercial banks when they counter the risk shock by setting up a simple balance sheet,and defines and classifies commercial banks which are infectious banks,susceptible banks,immune banks,and bankrupt banks according to their condition in the process of risk infection.Next,using the network analysis method,the bank risk correlation analysis in the inter-bank market is carried out,and the inter-bank network and the balance sheet of the commercial bank are simulated to construct a risk contagion simulation model.In this paper,we study the impact of changes in capital adequacy ratio and different contact rates(different network structures)on risk contagion from two aspects:the time dimension(the time of risk infection)and the spatial dimension(the scale of risk infection)by giving the initial impacts to the largest commercial banks with the largest scale of assets,the top two banks four large banks and twelve medium-sized banks.The research results show that in terms of time dimension,no matter under which network structure and under which initial impact,with the increase of the capital adequacy ratio of commercial banks,the ability about risk resist of bank has getting improve in order that the time of infection will be shorter and it will become less in dense network;in terms of spatial dimensions,from the perspective of capital adequacy ratio,the higher the capital adequacy ratio means the less the number of bankruptcy banks and asset losses during the risk contagion process,but between the capital adequacy ratio and two are non-linear relationship.When the capital adequacy ratio is higher than 14%,increasing the ratio of capital adequacy ratio,the number of bankrupt banks and asset losses are not greatly changed.The effect of capital adequacy ratio on risk contagion is not obvious.From the perspective of contact rate,the greater the contact rate(the higher the network concentration),the smaller the number of bankrupt banks caused by risk contagion,but the greater the loss of assets within the system.The paper considers the assistance to commercial banks and finds that aid can reduce the risk contagion effectively;in addition,this paper finds that there is a preference between commercial banks for lending.