摘要
2019年习近平总书记提出，“防范化解金融风险特别是防止发生系统性金
融风险，是金融工作的根本性”。随着我国金融业对外开放的不断推进，汇率
常态化双向波动，必然使国内市场更易受国际因素的影响，如何牢牢守住系统
性风险底线不动摇是我们需要特别注意的地方。商业银行作为我国金融市场的
重要参与主体，在很大程度影响了我国金融体系的发展，随着我国金融市场交
易机制的不断完善，各类商业银行的联系日趋紧密，银行市场与外部宏观经济
环境的相互作用不断加深，外部冲击的影响容易由一个银行主体传递至另一个
银行主体，最终引起整个银行系统的风险传染，降低银行系统的风险传染水平
也成为我国防范化解重大金融风险攻坚战的重要方面。
为分析汇率波动对银行系统的风险传染影响，本文以 38家商业银行为研究
对象，首先从理论上分析了汇率冲击给银行造成的外币价值影响与信贷质量影
响，并通过实证计量研究，以外汇敞口分析法和回归分析法分析了两类影响的
作用，发现 2020年我国商业银行普遍持有外币净资产敞口，人民币每贬值 1%
个单位，我国商业银行将降低 0.059%个单位的不良贷款率。其次，对汇率冲击
下银行系统内部的风险传染机制与路径进行了分析，发现目前银行系统内部的
风险传染机制主要有两类，一类是交易对手违约机制，一类是去杠杆机制，分
别与银行的同业拆借传染渠道和共同资产传染渠道有关，并且两类传播渠道下
的风险传染各不相同，同时依照复杂网络理论，以最小密度法和网络原理分别
对两类传播渠道进行了复刻，构建了银行同业拆借网络与共同贷款网络。最后，
本文还根据汇率波动下银行系统性风险的传染特性构建了风险分析框架，依托
Debtrank算法对不同汇率波动水平下的银行风险传染进行了模拟实验。主要有
两个方面，一个是对外币价值受影响下银行网络的风险传染，另一个是信贷质
量受影响下银行网络的风险传染。
最终发现随着汇率波动幅度的不断加大，银行风险随之增加，但银行同业
拆借网络下所产生的风险水平要高于银行共同资产网络下的风险水平；与汇率
贬值相比我国银行业对汇率贬值更为敏感；共同贷款网络所产生的银行风险均
要弱于同业网络；小规模银行在汇率波动幅度加大的情况下脆弱性较为明显；
工商银行、建设银行等传统大型银行在银行系统的风险传染方面具有重要作用；
系统内风险传染与银行间风险敞口的大小、网络的关联程度、银行的规模有关；
银行的风险传染变化受到银行行业资产抛售行为的调节；银行不良贷款回收率
的提高对防范银行系统性风险的产生具有一定的作用。同时在共同资产网络与
同业拆借网络共同作用的情况下，风险具有放大效应，要高于单一渠道的所产
III

生的银行风险。
关键字：复杂网络；银行风险传染；汇率冲击
IV

Abstract
In 2019, General Secretary Xi Jinping proposed that "preventing and
resolving financial risks, especially to prevent the occurrence of
systemic financial risks, is the fundamental nature of financial
work." With the continuous opening up of China's financial industry
to the outside world and the normalized two-way fluctuation of
exchange rates, which inevitably makes the domestic market more
vulnerable to international factors, how to firmly guard the bottom
line of systemic risk without wavering is where we need to pay
special attention. Commercial banks, as an important participant in
China's financial market, have largely influenced the development of
China's financial system. With the continuous improvement of China's
financial market transaction mechanism, the links between various
types of commercial banks have become increasingly close, the
interaction between the banking market and the external macroeconomic
environment has deepened, and the impact of external shocks can
easily be transmitted from one banking entity to another, ultimately
causing the entire banking system To reduce the level of risk
contagion in the banking system has also become an important aspect
of the battle to prevent and resolve major financial risks in China.
In order to analyze the impact of exchange rate fluctuations on the
risk contagion of the banking system, this paper takes 38 commercial
banks as research objects, firstly, theoretically analyzes the impact
of foreign currency value and credit quality caused by exchange rate
shocks to banks, and analyzes the role of the two types of impact by
empirical measurement research with foreign exchange exposure
analysis and regression analysis, and finds that commercial banks in
China generally hold net asset exposure to foreign currency in 2020
For every 1% unit of RMB depreciation, China's commercial banks will
reduce their NPL ratio by 0.059% units. Second, the risk contagion
mechanism and path within the banking system under the exchange rate
V
。。。以下略