我国银行体系系统性风险测度与评估

Measurement and evaluation of systemic risk for China’s banking system

利用2018年我国45家主要商业银行年度报告数据,从风险的源头出发,综合风险传染机制,对我国银行体系潜在系统性风险进行测度与评估.目前我国银行体系基本稳定,风险较小.情景分析与压力测试表明银行外部投资资产重叠是系统性风险传染的主要机制,银行内部借贷网络起到加成作用,而资产流动性则是系统性风险传染的关键因素.个人(贷款)、制造业、批发—零售业、租赁—商务服务业、水利—环境—公共设施管理业、房地产业和交通运输—仓储—邮政业等7个行业是系统性关键行业.地方政府债券、同业及其它金融机构债券及委托理财投资等3类资产是系统性关键资产.房地产业与多个关键行业及资产密切相关,因此保持房地产市场的稳定是当前防范系统性风险的关键工作.地方政府杠杆率和GDP增长率对系统性风险影响较大,稳杠杆、稳增长亦是风险防范的重要手段.加强银行体系管理运营能力,提高责任主体的信用水平,建设更具深度与广度的资本市场是防范和化解我国金融系统性风险标本兼治的必要工作.

This paper measures and evaluates the systemic risk of China’s banking system considering risk contagion mechanism and according to the sources of potential risk,based on the data disclosed by the 2018-annual reports of 45 major commercial banks in China.Empirical results indicate that,at present,China’s banking system is relatively stable and the systemic risk event is less likely to occur.Scenario analysis and stress testing show that the overlapping of bank’s external investment assets is the main cause of the systemic risk contagion,while the bank’s internal borrowing/lending network plays an additional role.Asset liquidity is a key factor for systemic risk contagion.‘Personal loans’,‘manufacturing’,‘wholesale and retail trades’,‘leasing and commercial services’,‘administration of water,environment,and public facilities’,‘real estate’and‘transportation,storage,and postal services’are systemically key industries;‘local government bonds’,‘bonds of interbank and other financial institutions’and‘entrust and financing products’are the systemically key assets.The real estate industry deserves particular attention,since it is closely related to several systemically key industries and assets.Thus,the stability of the real estate market is very critical to guard against systemic risk.Compared with other macro variables,‘local government leverage’and‘GDP growth rate’have a greater influence on systemic risk.Therefore,stabilizing economic growth and leverage are also important ways to reduce systemic risk.Furthermore,it is necessary to strengthen the management and operation ability of the banking system,improve the credit level of the debtors,and build a more mature capital market.