宏观金融波动与中国银行业系统性风险:金融周期视角

Macro financial fluctuation and China’s banking systemic risk:A financial cycle perspective

金融稳定阶段低波动提高银行风险累积,金融不稳定阶段高波动提高银行风险,是金融周期视角下的系统性风险形成机制.本文首先基于金融周期理论研究银行部门和宏观金融长期低波动对银行系统性风险的前瞻性;然后基于金融加速器理论探讨不同金融周期阶段下,银行部门与宏观金融之间的相互风险溢出机制.研究结果发现:1)银行风险累积指标对银行系统性风险具有显著的前瞻性.2)短期来看,除债券市场外,宏观金融波动与银行系统性风险具有同升同降的特征.长期来看,控制住高波动影响后,宏观金融长期低波动对银行系统性风险具有显著的影响作用.而且,债券市场和外汇市场长期低波动会提高银行系统性风险,房地产市场长期低波动会降低银行系统性风险.3)金融周期两阶段均存在金融加速器机制,但是该机制在金融不稳定阶段更加显著.本文为前瞻性地防范化解银行业系统性风险提供有价值的参考依据以及监测工具.

Low volatility in the stage of financial stability increases the accumulation of bank risk,and high volatility in the stage of financial instability increases bank risk,which is the formation procedure of financial systemic risk from the perspective of financial cycle.This paper firstly studies the forward-looking effect of low volatility of banking sector and macro finance on Chinese banks’future systemic risk based on financial cycle theory.Then,this paper studies the risk spillovers between banking sector and macro financial system at different stages of the financial cycle based on the Financial Accelerator theory.Empirical results are as follows.1)One bank’s risk accumulation has significantly long-term prediction on its systemic risk.2)In the short-term perspective,except for the bond market,macro-financial volatility and bank’s systemic risk will increase and decrease simultaneously.In the long-term perspective,low macrofinancial volatility has significantly impact on bank’s systemic risk after we control for the effect of high volatility.In addition,the long-term low volatilities in bond market and foreign exchange rate market increase bank’s systemic risk,while the long-term low volatility in the real estate market reduces bank’s systemic risk.3)Financial Accelerator theory exists in both stages of the financial cycle,but this mechanism is more significant in the stage of financial instability.This paper provides valuable reference and monitoring tools for the proactive prevention of Chinese banking systemic risk.