资产价格泡沫与银行间系统性风险

Asset Price Bubbles and Systemic Risk Among Commercial Banks

金融危机往往伴随着资产价格繁荣和萧条的往复循环,探究资产价格泡沫在系统性风险累积中扮演的角色,具有重要的理论与现实意义。本文从跨部门视角出发,分别考察股市泡沫和房市泡沫对银行间系统性风险的影响。研究发现,我国在2006年12月—2007年12月和2015年3月—2015年6月存在正向股市泡沫,在2012年、2013年底、2015年和2016年以及2022年的多个阶段存在正向或负向房市泡沫。股市泡沫和房市泡沫的存续均会显著提升银行间系统性风险;银行资产规模的扩大和主营业务比率的提高有助于缓解银行间系统性风险。此外,个体银行的风险贡献和风险敞口受不同类型因素影响:银行的风险溢出度更多地受银行个体特征(如盈利能力)影响,而银行的风险接收度则更多地受宏观经济金融环境(如GDP增速、利率、通胀率以及投资占GDP比重)影响。本文研究揭示了资产价格泡沫与系统性风险间的因果关系,为系统性风险的影响因素识别提供了新视角。

Financial crises are usually accompanied by boom-and-bust cycles of asset prices,which make it essential to investigate the role of asset price bubbles in the buildup of systemic risk.This paper studies the impacts of stock market bubbles and housing bubbles on systemic risk among commercial banks in China from a cross-sector perspective.We detect two positive bubbles in Chi-na's stock market during the periods of December 2006-December 2007 and March 2015-June 2015.We also detect five bubbles(positive or negative)in China's housing market in 2012,late 2013,2015,2016 and 2022.We find that the existence of stock mar-ket bubbles and housing bubbles significantly increases inter-bank systemic risk.An increase in bank size and main business ratio helps mitigate inter-bank systemic risk.We also find that risk contribution and risk exposure of individual banks are affected by dif-ferent types of factors:risk contribution is more affected by bank characteristics such as profitability,whereas risk exposure is more affected by macroeconomic and financial environment,such as GDP growth,interest rate,CPI inflation,and the ratio of investment to GDP.This paper uncovers a causal relationship between asset price bubbles and systemic risk,hence providing a new perspective on the factors affecting systemic risk.