中国银行业系统性风险演进及影响因素研究

Study on the Evolution of China’s Banking Systemic Risk and Its Influencing Factors

银行业系统性风险的本质在于资产头寸的相关性。运用上市银行股票回报率的相关系数来反映银行间资产头寸的相关性,并以之测度银行业系统性风险,结果发现,2007年系统性风险处于较低水平,2008年和2010年系统性风险最高,超过了0.8,其它年份大多在0.7-0.8之间高水平波动。影响系统性风险的因素可分为微观、中观和宏观等因素。实证研究结果表明,银行间资产占总资产的比重以及宏观因素和中观因素对系统性风险具有显著的影响。因此,银行间业务的相互渗透及信贷规模的过度膨胀都有可能对整个经济产生不利的影响,监管机构应推进宏观审慎监管,尽早控制金融行业的系统性风险。

The nature of banking systemic risk lies in the correlation of asset positions.Then,we use the correlation coefficient of listed bank stock returns to measure systemic risk and explore the evolution trend of 2007-2017 listed bank systemic risk,and it is found that in 2007 the systemic risk is low,in 2008 and 2010 the systemic risk are higher than 0.8,in other years the systemic risk is swinging between 0.7 and 0.8.Finally,the determinants of the systemic risk are discussed from the view of macro,medium and micro.The empirical results show that the proportion of interbank assets have a significant impact on systemic risk,and the macro and intermediate factors have a significant impact on systemic risk as well.