债券投资如何影响商业银行系统性风险?--基于系统性风险分解的视角

How Does Bond Investment Affect the Systemic Risk of Commercial Banks?--From the Perspective of Systemic Risk Decomposition

作为我国商业银行最重要的非信贷资产业务,债券投资如何影响银行系统性风险?理论分析表明,债券投资对系统性风险的综合影响取决于其个体风险分散效应和系统关联性提升效应孰强孰弱。在此基础上,本文应用2008-2018年25家上市银行季度数据,实证检验债券投资对系统性风险的影响。结果发现,债券投资同时具有降低银行个体风险和增加银行个体与系统关联性的效果。进一步分析表明,一方面,对于规模较小的商业银行而言,债券投资的个体风险分散效应较弱、系统关联性提升效应较强;另一方面,商业银行持有较多以公允价值计量的债券时,债券投资的系统关联性提升效应较强。本文研究对于监管部门协调微观审慎和宏观审慎监管、防范债券投资业务引致系统性风险具有重要的启示意义。

In recent years, securities investment business focusing on bond investment has gradually become the core asset business of commercial banks, second only to loan business. The purpose of this paper is to study the impact of bond investment on bank systemic risk.This paper establishes a simple theoretical model to analyze the impact of bond investment on the shock dimension and contagion dimension of systemic risk. On this basis, this paper uses quarterly data of 25 listed banks from 2008 to 2018 to empirically test the impact of bond investment on systemic risk. This paper uses ΔCoVaR to measure the systemic risk contribution of a bank, and decomposes it into ΔVaR, which reflects the individual tail risk of the bank, and ρ, which reflects the tail correlation between the individual bank and the system. This paper further examines the heterogeneous impact of bond investment on systemic risk.The results show that bond investment not only reduces the individual risk of banks, but also increases the correlation between individuals and the system. Furthermore, on the one hand, for smaller commercial banks, the individual risk diversification effect of bond investment is weaker, and the systemic correlation enhancement effect is stronger;on the other hand, when commercial banks hold more bonds measured at fair value, the systemic correlation enhancement effect of bond investment is stronger.This paper has the following marginal contributions. Firstly, the research object is positioned in the cross-cutting field of bond investment and systemic risk, which helps to promote the research on the economic consequences of bank bond investment and factors affecting systemic risk. Secondly, the decomposition of systemic risk helps identify specific channels in which bond investments affect bank systemic risk. Thirdly, it provides new empirical evidence for the regulatory authorities to coordinate micro-prudential supervision and macro-prudential supervision.