商业银行中间业务的系统性风险溢出效应

Systematic Risk Spillovers of Intermediate Business in Commercial Banks

本研究使用△CoVaR~≤方法对2007年1季度至2018年3季度我国20家上市银行的系统性风险溢出效应进行了测度,应用面板数据模型对商业银行中间业务发展的系统性风险溢出效应问题进行了考察。研究表明,我国金融体系系统性风险具有显著的时变性特征,我国商业银行系统性风险溢出效应也具有显著的时变性特征。商业银行系统性风险溢出效应与规模并无显著的直接联系,而中间业务的发展具有显著为正的系统性风险溢出效应,这在股份制银行和城市商业银行中尤为明显。对新时期我国系统性风险防范而言,不仅要高度重视商业银行不同中间业务发展所导致差异化网络结构效应,而且要警惕房地产市场调整对股份制银行的潜在冲击,还应密切关注网络关联结构演变对系统重要性银行识别和宏观审慎评估政策实施的重要影响。

In this study,we measure the spillover effect of systemic risk of 20 listed banks in China from the first quarter of 2007 to the third quarter of 2018 by CoVaR≤method, andinvestigate the systemic risk spillovers of the development of intermediate business of commercial banks by using the panel data model. The research shows that the systemic risk of China's financial system has significant time-varying characteristics, so does the systemic risk spillovers of China's commercial banks. There is no significant direct relationship between the systemic risk spillovers and the scale of commercial banks, while the development of intermediate business has a significant positive systemic risk spillover, especially in joint-stock banks and urban commercial banks. For the prevention of systemic risk in China in the new era, we should not only attach great importanee to the differentiated network structure effect caused by the development of different intermediate business of commercial banks, but also be alert to the potential impact of real estate market adjustment on joint-stock banks. We should also pay close attention to the important impact of the evolution of network connection structure on the identification of systemically important banks and the implementation of macro-prudential assessment policies.