| In 2017,China's National Central Economic Work Conference pointed out that “The key to tackling major risks is to prevent and control financial risks.” In recent years,China's financial system has expanded rapidly,and the credit and debt levels of the private sector have soared.A series of problems such as high leverage,asset bubble expansion and distortion of the economic and financial structure have also accelerated the accumulation of financial risks.In the context of severe banking liquidity risk contagion and a possible outbreak of systemic risk,attention is also paid to this area.Specifically,the “money shortage” incident that occurred twice in 2013 not only revealed the high-sensitivity and highly contagious risk trends in China's inter-bank market but also exposed the consistency of the bank's response to shocks and the intervention of central banks.The frequent liquidity impact and risk accumulation of the banking system has brought some new challenges to China's systemic risk management.Existing research on systemic risk focuses on the local nature of financial institutions and ignores the systemic nature of crisis evolution(Sui et al.,2019).However,the chain reactions triggered by the bankruptcy of Lehman Bank in the United States shows that the liquidity shocks that banks are exposed to can form network connections through the interbank market and lead to the spread of financial risks.As far as systemic risk is concerned,the core of the research is to reveal the network effect and systemic effect of liquidity shock on financial risk diffusion.The latest research shows that theoretical,empirical and simulation studies have been carried out on the issue of liquidity risk contagion and the stability of the banking system.Besides,the understanding of this issue has been transferred from the “face” to “point.” This requires future research to be more detailed in the micro-characterization of the behavior of individual banks(including central banks)(Li and Zong,2018).The shift of academic research focus and perspective has put forward new requirements for the construction of the systemic risk dynamic supervision system and macro-prudential policy analysis.Through the agent-based modeling method,this paper studies the impact of different liquidity impact structures(including impact objects,impact intensity and impact categories)on inter-bank risk contagion from the perspective of heterogeneous micro-subjects.At the same time,it examines the effectiveness test of macro-prudential policies in different liquidity environments,aiming to reveal the network effect and systemic effect of liquidity shock on financial risk diffusion.The main work of the thesis includes: Firstly,an Agent-Based Model(ABM)based on heterogeneous subject modeling is established to study the impact of liquidity impact on systemic risk in the banking system.Secondly,it studies how different liquidity shocks lead to risk spread in the banking system,revealing the different impacts of liquidity shock structures(including objects,intensity,and categories)on the systemic risk-contagion mechanism of banks.Thirdly,aiming at blocking inter-bank risk contagion and preventing systemic risks,this paper conducts a policy simulation experiment on additional capital buffer capital,large-value risk exposure restriction mechanism and counter-cyclical capital buffer in different liquidity environments.The conclusions drawn from this study are as follows:(1)Under the constraints of capital supervision,the indirect effect of risk contagion based on fire sale channel is stronger than the direct contagion effect based on debt channel.(2)The risk contagion caused by liquidity shock has strong nonlinear characteristics;the impact of liquidity shock on systemic risk may correspond to a risk threshold.From the perspective of policy intervention,this risk threshold corresponds to an optimal policy intervention interval for risk contagion.(3)Under the same liquidity impact as well as on the condition of the unified capital buffer constraint,the systemic risk contribution of systemically important banks is higher than that of non-systemically important banks.However,additional capital buffer supervision for systemically important banks seems not to take effect,which may be related to that the current identification criteria for systemically important banks are only dependent on the size of the bank and not on the network topology.(4)Embedding the upper limit mechanism of large-value risk exposure can reduce the risk of association between banks by decentralizing the network structure,thereby reducing the level of systemic risk.(5)The parameter range,the form of the liquidity shock and the network generated method do not affect the robustness of the conclusions of this paper.This paper contributes to the existing literature by three aspects:(1)Based on investigating the dynamic evolution mechanism of banking systemic risk under the impact of liquidity,it analyzes different ways from the aspects,scope,object,and intensity of liquidity shock.The impact of liquidity shock on the systemic risk contagion mechanism,meticulously and deeply portray the risk contagion mechanism and provide strong support for policy intervention tools and timing.(2)Using the agent-based modeling method to construct the banking system of heterogeneous micro-banks,effectively overcome the limitations of traditional methods in crisis characterization,which not only can deduct the nonlinearity of credit crisis and procyclical effect well but also can reveal the evolution mechanism of financial network vulnerability.At the same time,the “bottom-up” modeling perspective can correctly describe the impact of heterogeneous micro-subject decision-making and interaction behavior on systemic risk,not only to observe the static results emerging from the macro system but also to investigate the formation of micro-subjects.Dynamic evolution,the micro,and macro are incorporated into a logically consistent framework for analysis.(3)Based on the banking system of heterogeneous micro-banking model modeling,this paper explores the interaction between different monetary policies and macro-prudential policies and provides a new perspective for China's policy mix design for dealing with systemic risks.Due to the limited research level,there are still some shortcomings in this paper:(1)This paper assumes that the default loss rate of the bank subject is the external information given by the exogenous condition.In reality,the default damage often presents nonlinear characteristics,not only with risk transmission.The level is highly correlated,and there is still some endogeneity.Therefore,a single constant default loss rate assumption may underestimate the systemic risk level of the banking industry.In the subsequent research,we can pay attention to the time-varying characteristics of the default loss rate,and consider the correlation between the endogeneity of the default loss rate and the degree of risk,to improve the modeling accuracy of the simulation system.(2)The complete network structure assumption of the banking system may not offer a good description of the transaction structure and transaction characteristics of China's interbank market.As China's interbank market presents market characteristics dominated by systemically important banks,incomplete market structures such as currency center networks may be more in line with China's market conditions.In the future,we can introduce more banking entities and consider the evolution of banking systemic risks under non-complete network structures such as currency centers. |
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