后危机时代银行业竞争与系统性风险——基于全球主要上市银行的实证分析

Banking Competition and Systemic Risk in the Post-Crisis Era——Based on Major Global Listed Commercial Banks

金融全球化已成为经济发展的必然趋势。在2008年全球金融危机后,系统性风险这一概念逐渐引起关注。本文从全球商业银行的角度,以MES分解模型为实证模型,选取全球主要上市商业银行的面板数据进行系统性风险度量,分析系统性风险的情况,研究银行业竞争与系统性风险之间的关系。研究表明:在后金融危机时代,愈加激烈的竞争会产生更高的系统性风险,这是因为更强的竞争水平对银行间共性行为产生了影响。在发达经济体,商业银行更容易受到更高强度竞争的影响而产生更高水平的系统性风险。MES分解模型作为一种近年最新研究方法尚未被广泛使用,本文从全球这一更为宏观的视角进行实证研究,并提出相关监管建议。

Financial globalization has become an inevitable trend of economic development.Since the outbreak of the financial crisis in 2008,systemic risk has also received increasing attention.Against this background and from the perspective of global commercial banks,this paper uses the MES decomposition model as an empirical model,and selects the panel data of global listed commercial banks from 2009 to 2018 to conduct the systemic risk measurement,systemic risk situation analysis and research on the relationship between competition and systemic risk.The research shows that,in the post-financial crisis era,the increasingly intense competition will generate higher systemic risk.This is because the stronger level of competition has an impact on common behaviors among banks.In developed economies,commercial banks are more susceptible to higher levels of systemic risk due to the impact of higher intensity of competition.The MES decomposition model has not been widely used as a newly developed measurement method in recent years.This paper conducts empirical research on systemic risk and competition from a global perspective,and puts forward relevant regulatory recommendations.