我国银行体系的系统性关联度分析:基于不对称CoVaR

Systemic linkages in the Chinese banking system:The asymmetric CoVaR approach

根据系统性关联度的定义,使用不对称CoVaR方法,对我国单个银行与银行体系之间的系统性关联度和任意两个银行间的系统性关联度进行了测算.研究结果表明,我国银行体系的系统性关联度存在不对称性,使用不对称CoVaR方法重新估算我国银行体系的系统性关联度能为我国系统重要性银行的甄别和银行间系统性风险溢出的评估提供依据.进一步地,探讨出上述两种系统性关联度的主要影响因素为银行自身的特征变量,如贷款总额,股本,留存收益等.基于此,为我国银行业监管者提升银行风险监管水平和银行管理者制定准确的风险控制体系提供有益帮助.

Based on the definition of systemic linkages, we employ the asymmetric CoVaR approach to estimate the systemic linkages between each Chinese bank and the Chinese banking system and the systemic linkages between two individual Chinese banks. We show that the systemic linkages in the Chinese banking system have asymmetric properties, thus we use the asymmetric CoVaR approach to reestimate the systemic linkages in the Chinese banking system. Our approach can be used to identify the systemically important banks in China and to assess the systemic risk spillovers in the Chinese banking system. Furthermore, we find that the determinants of the two kinds of systemic linkages are some bank characteristics, such as total loans, common equity, retained earnings and so on. These measures of systemic linkages serve as useful additional toolboxes to both bank supervisors and bank managers.