“一带一路”共建国家银行业系统性风险的测度研究

Research on the Measurement of Systematic Risk in the Banking Industry of the Belt and Road Initiative Participant Countries

有效识别“一带一路”共建国家的系统性风险及其关键驱动因素对平稳实现各国经济金融的深度融合具有重大的现实意义。基于150多万条银行微观股票数据和财务数据,通过构建压力时期回归模型的客观方法获得系统性风险三因素权重,在同一框架下利用规模、杠杆、关联性3个因子测算了银行、国家、“一带一路”共建国家系统3个层次的银行业系统性风险指数。研究结果表明,从系统性风险表现来看,“一带一路”共建国家整体的银行业系统性风险受全球宏观金融环境波动影响显著。此外,“一带一路”共建国家也会因为自身问题而出现银行业系统性风险上升的情形。印度、越南、印度尼西亚等国家是系统重要性国家,其银行业系统性风险水平较高;匈牙利、克罗地亚、罗马尼亚等国家的银行业系统性风险水平较低。银行业系统性风险较高的国家主要在于其有较高系统性风险贡献水平的银行,且各行业经济发展状况以及经济增长对国家层面系统性风险有显著的影响。从风险驱动因素看,关联性因子是驱动银行业系统性风险水平变化的主要因素,其次为规模因子和杠杆因子。

It is of great practical significance to effectively identify the systemic risks and key driving factors of the“the Belt and Road”co-construction countries for the smooth realization of the deep integration of economies and finance of all countries.Based on the micro stock data and financial data of more than 1.5 million banks,this paper obtains the weights of three factors of systematic risk through the objective method of constructing a regression model in the stress period,and uses three factors of scale,leverage,and relevance to measure the banking systematic risk index at three levels of banks,the country,and the“the Belt and Road”national system under the same framework.The research results show that,from the perspective of system risk performance,the overall banking system risk of the“the Belt and Road”countries is significantly affected by the fluctuation of the global macro financial environment.In addition,the“the Belt and Road”countries will also experience an increase in systemic banking risks due to their own problems.Countries such as India,Vietnam,and Indonesia are systemically important with higher levels of systemic risk in their banking industry,while countries such as Hungary,Croatia,and Romania have lower levels of systemic risk in their banking industry.The countries with higher systemic risk in the banking industry mainly consist of banks with higher levels of systemic risk contribution,and the economic development and growth of various industries have a significant impact on systemic risk at the national level.From the perspective of risk driving factors,correlation factors are the main driving factors of systemic risk level changes in the banking industry,followed by scale factors and leverage factors.