中国系统重要性银行评估:来自2006-2010年中国上市银行的证据

The Evaluation of China's Systemically Important Banks——Evidence from China's Listed Banks in 2006-2010

系统重要性银行是指具有负外部性特征,并且由于规模、复杂度与系统相关度在金融市场中承担了关键功能,其无序破产可能给金融体系造成包括核心金融功能的中断、金融服务成本急剧增加等在内的系统性风险,进而可能危及金融稳定、损害实体经济的银行。通过对系统重要性银行进行评估,得出其主要影响指标包括银行规模、关联性、复杂性和可替代性,其中,交易性金融资产与负债是最重要的关联性指标,衍生金融资产与负债是最重要的复杂性指标。系统重要性银行评估结果显示,假定阀值为5%,则全部国有商业银行和股份制商业银行中的招商银行、光大银行和中信银行属于系统重要性银行,而其他股份制商业银行和全部城市商业银行则不属于系统重要性银行。

Systemically Important Banks（SIBs） are the banks with negative external characteristics.They take key functions in financial markets because of their scale,complexity and system-related features,and the disorder bankruptcy of them may bring systemic risks to financial system,such as interrupting core financial function of financial system and increasing the cost of financial services drastically,etc.,which may endanger financial stability and undermine the real economy.Through the assessment of SIBs,we conclude that the main influencing indicators include bank size,relevance,complexity and substitutability,of which trading financial assets and liabilities are the most important indicators of relevance,while derivative financial assets and liabilities are the most important indicators of complexity.The result of SIBs evaluation shows that assuming the threshold is 5%,of all the state-owned commercial banks and joint-stock commercial banks,Merchants Bank,Everbright Bank and China CITIC Bank are SIBs,and other joint-stock commercial banks and city commercial banks are all not part of SIBs.