中国银行业开放与系统性风险--基于银行业跨境借贷业务

Banking Openness and Systemic Risk--Based on Cross-Border Lending Business

商业银行从事跨境业务会提升自身风险水平。本文基于直接业务关联与间接业务关联构建网络模型,度量2007—2019年跨境借贷业务给银行体系带来的系统性风险水平。本文发现:首先,资产端冲击会带来较高的系统性风险水平,负债端冲击亦不容忽视。其次,从风险生成机理的时间维度来看,间接业务关联性与风险敞口等因素较为重要,杠杆和直接业务关联性等因素影响较弱。从空间维度系统性风险指标来看,系统重要性程度高的银行排名较为稳定,且需要关注2011—2019年系统性风险错配指数逐年上升的趋势。最后,系统性风险与风险敞口之间存在“跨境借贷冲击→系统性风险→跨境借贷冲击”的不利循环机制。

Since the introduction of the first foreign bank in 1980,China's banking industry has significantly enhanced its openness after more than 40 years of development.In the process of further opening up,effectively measuring the systemic risk generated by the banking industry's external business is of great significance for the stability of China's financial industry.This paper uses a network model to measure the systemic risk of cross-border lending business from 2007 to 2019.It is found that,firstly,asset-side shocks bring a higher level of systemic risk,while liability-side shocks cannot be ignored.Secondly,in terms of the time dimension of risk generation mechanisms,factors such as indirect correlation and exposure are very important,while factors such as leverage and direct correlation are less important.From the perspective of spatial systemic risk results,the ranking of systemically important banks is relatively stable.The increasing trend of increasing systemic risk mismatch index year by year in recent years deserves attention.Finally,the study of the interactions between and among systemic risk,cross-border lending and borrowing,and exchange rates reveals that there is a mutually reinforcing relationship between the two types of systemic risk,and between systemic risk and exposure,and that the unfavorable cyclical mechanism of“cross-border borrowing and lending shocks→systemic risk→cross-border borrowing and lending shocks→…”rnequires extra attention from supervisory authorities.The marginal contribution of this paper is as follows.On one hand,from the perspective of cross-border lending business,it measures the systemic risk brought by the opening up of the banking industry.It makes up for the deficiency that most current studies take“introduction”and individual risk as research perspectives.On the other hand,the network model is built by combining direct correlation and indirect correlation,and the measurement method of systemic risk is proposed.It makes up for the deficiency that current research focuses on the causal relationship between cross-border business and bank risk,and focuses less on the measurement of systemic risk.