新冠疫情对我国银行系统性金融风险影响的实证研究

An Empirical Study of the Impact of COVID-19 on China's Banking Systemic Risk

新冠疫情的暴发给国民经济带来极大冲击,使得金融机构系统性金融风险防范问题愈发地受到社会各界关注。本文使用我国2019年第1季度~2021年第1季度期间上市银行的专项数据,借助随机森林方法,考察在疫情不同时期对银行系统性金融风险产生显著影响的指标变化情况。研究表明:最大10家客户贷款占资本净额比例、净息差、净利差、贷款损失准备充足率、一级资本净额和库存现金共6个指标在疫情冲击期的影响尤为突出。

Outbreak of the COVID-19 had a great impact on the national economy and the prevention of systemic financial risks of financial institutions were concerned by all sectors of the society.Using the special data of listed banks from the first quarter of 2019 to the first quarter of 2021,this paper investigates the changes of indicators that have a significant impact on the systemic financial risk of banks in different periods of the pandemic with the help of random forest method.The research shows that the proportion of loans to net capital,net interest margin,net interest margin,loan loss reserve adequacy ratio,net tier 1 capital and cash on hand of the top ten customers have a particularly prominent impact in the impact period of the pandemic.