贷款行业集中度对商业银行系统性风险影响的实证研究——基于MES方法

Empirical Analysis on the Effect of Lending Sector Concentration on Commercial Bank's Systemic Risk:Based on MES Method

金融危机爆发后,银行业系统性风险得到了广泛的关注。基于2007-2012年中国10家上市银行的相关数据,文章利用MES方法测算系统性风险贡献度,分析贷款行业集中度对商业银行系统性风险的影响。研究结果表明,贷款行业集中度对商业银行系统性风险存在正向影响。因此,商业银行在投放贷款过程中,应该防范贷款行业投向的过度集中,从而减少系统性风险爆发的可能性。该研究结论为我国商业银行合理配置信贷资源提供了有利的依据。

After the financial crisis ,the banking systemic risk has been widespread concerned .This article will be based on the relevant data of 10 listed banks in China between 2007 and 2012 ,using MES method to measure commercial bank’s contribution to systemic risk ,analyzing the effect of lending sector concen‐tration on commercial bank’s systemic risk .Research results show that lending sector concentration has positive influence on commercial bank’s systemic risk .Therefore ,in the lending process ,commercial banks should prevent a high contribution rate of lending sectors ,reducing the possibility of the outbrea‐king of systemic risk .This conclusion provides a good basis for commercial banks’ reasonable allocation of credit resources in China .