监管处罚能降低银行系统性风险吗——兼论《中国银行业监督管理委员会行政处罚办法》修订的影响

Can Regulatory Penalties Reduce a Bank's Systemic Risk?Exploring the Impact of the China Banking Regulatory Commission's Revisions to the Administrative Penalty Measures

监管处罚作为微观审慎监管的重要工具和内容,对维护中国金融业安全稳定发挥了重要作用。利用CoVaR和MES方法测算银行系统性风险,以2011—2021年中国上市银行为研究对象,分析监管处罚对银行系统性风险的影响。研究发现,监管处罚能够有效降低银行系统性风险溢出。机制分析表明,监管处罚主要通过降低银行杠杆和收益波动率来抑制系统性风险。异质性分析显示,监管处罚的风险抑制作用在系统性风险较高的银行和非国有银行群组中尤为明显。拓展性分析发现,2015年《中国银行业监督管理委员会行政处罚办法》的修订能够强化监管处罚的震慑力,更好地抑制银行系统性风险溢出。基于上述研究结论,建议监管部门维持监管处罚的常态化实施,发挥监管的纠偏和引导效应,更好地防范与化解金融系统性风险。

Regulatory penalties are an integral component of micro-prudential regulation and play a significant role in ensuring the safety and stability of China’s financial sector.This study employed conditional value-at-risk(CoVaR)and marginal expected shortfall(MES)methodologies to assess systemic risk within banks,focusing on data from Chinese listed banks from 2011 to 2021 to examine the effect of regulatory penalties on systemic risk.The findings suggest that regulatory penalties are effective in reducing systemic risk spillover.A mechanism analysis showed that these penalties decrease systemic risk by lowering banks’leverage and earnings volatility.A heterogeneity analysis further revealed that the risk-mitigating impact of regulatory penalties is more pronounced in banks with higher levels of systemic risk and non-state-owned banks.The study’s findings highlight that the 2015 revisions to the administrative penalty measures implemented by the China Banking Regulatory Commission have enhanced the deterrent effect of regulatory penalties,thereby further mitigating systemic risk spillover.Regulatory authorities should maintain the consistent application of regulatory penalties to utilize their corrective and steering effects more efficiently in preventing and resolving financial systemic risks.