关于中国商业银行系统性风险测度和判断研究——基于MIMIC模型在风险管理中的应用

Study on Measurement and Judgment of Systemic Risk of Chinese Commercial Banks——Based on the Application of MIMIC Model in the Risk Management

立足于商业银行系统性风险的理论基础和研究成果,从宏观经济、金融市场、国际环境和银行体系自身四个层面,构建中国商业银行系统性风险影响因素指标体系。应用多指标多原因结构方程模型和MS—AR模型对2003年1月—2018年9月我国商业银行系统性风险进行测度和判断。研究显示,我国商业银行系统性风险影响因素较多且源于不同层面,在2014—2018年9月间我国商业银行进入系统性风险高峰期,直接验证了以习近平同志为核心的党中央决策的科学性和预见性,面对较大潜在系统性金融风险既打好防范化解重大风险的攻坚战,又要打好化险为夷、转危为机的战略主动战,维护经济社会的持续健康发展。

Based on the theoretical basis and research results of the systemic risk of commercial banks,this paper firstly constructs the indicator system of the factors influencing the systemic risk of Chinese commercial Banks from the following four aspects: the macroeconomy,the financial market,the international environment and the banking system itself. Secondly,by applying multiple-indicator & multiple-reason structural equation model and MS-AR model,this paper measures and judges China's commercial banks’systemic risk between January 2003 and September 2018. Research shows that there are more influence factors which are from different levels in China’s commercial banks’systemic risk and China’s commercial banks step into the peak of systemic risk,which directly demonstrates the scientificness and the far-sightedness of the decision of party central committee with comrade Xi Jin-ping as the core. Facing larger potential systemic financial risks,we should fight well against major risks and turn adversity to opportunity,so as to maintain the sustainable and healthy development of the economy and society.