商业银行系统性风险溢出及系统重要性研究——来自中国16家上市银行CoVaR的证据

On Systemic Risk Spillover and Systemic Importance of Commercial Banks:Based on the CoVaR Model from China's 16 Listed Banks

在Adrian和Brunnermeier(2011)的文献基础上适当改进条件在险值(CoVaR)模型,采用中国16家上市银行2005—2016年的周数据,实证研究各商业银行的系统性风险溢出及系统重要性程度,其结果表明:(1)我国16家上市银行中,国有大型银行的条件在险值(CoVaR)、系统性风险溢出(ΔCoVaR)要远高于股份制银行;国有大型银行和部分近年来业务发展较为迅速的股份制银行,其系统重要性程度要高于其他股份制银行。(2)规模和关联性是我国银行系统性风险溢出和系统重要性的重要解释变量;在对系统性风险溢出的影响上,规模是关联性的4.8倍;在对系统重要性的影响上,规模是关联性的7.2倍。

Based on Adrian & Brunnermeier( 2011) 's model,this paper uses week data of 16 listed banks in China from 2005 to 2016 to use CoVaR model to calculate commercial banks' systemic risk and their importance ranking. It shows that among 16 listed banks,the individual CoVaR and ΔCoVaR of state-owned banks( SOBs) are higher than those of joint-stock banks( JSBs). The systemic importance level of SOBs and some JSBs that have been rapidly developed in these years are greater than the rest. Moreover,scale and connection are significant factors that drive up ΔCoVaR and the importance level. Both'Too Big To Fail'and'Too Systematic To Fail'apply to Chinese commercial banks. As for the impact of systemic risk spillovers,the scale is 4.8 times of connection. As for the degree of importance ranking,the scale is 7.2 times of connection.