我国上市商业银行系统性风险与非利息收入研究--基于LRMES方法的创新探讨

Research on the Relationship between the Systemic Risks and Noninterests Income of Commercial Banks in China

现有国内文献多以破产风险作为银行风险来分析其与非利息收入的关系,而LRMES方法能深入分析单个银行的风险溢出效应,测度单个银行系统性风险的影响度。本文基于我国16家上市商业银行收益率数据,首次运用LRMES方法测度了我国上市商业银行的系统性风险,并用各银行季度LRMES与非利息收入等变量建立面板数据模型。对非利息收入和系统性风险进行实证研究发现,本文计算得出的LRMES比较符合我国银行业实际情况,并与非利息收入呈显著负相关。

Existing papers in China usually analyze the relationship between banks＇ risks, particularly the bankruptcy risks, and their non-interest income. LRMES methods can analyze the degree of each bank＇s contribution to the whole banks＇ systemic risks. In this paper, LRMES method was employed to study the systemic risks of 16 Chinese commercial banks. Em- pirical analysis was made between systemic risks and non-interests income based on the panel data model constructed by seasonal LRMES and non-interests income data. Results showed that LRMES calculated in this paper is in accordance with the reality and is negatively correlated to non-interest income.