中国上银行系统性风险及其影响因素研究study-editorialexpress.pdfVIP

中国上市银行系统性风险及其影响因素研究 陆静 胡晓红 （重庆大学经济与工商管理学院，重庆 400030 ） 摘 要：本文以条件在险价值法（CoVaR）为基础，通过引入状态变量模拟尾部风险的时变 特性，采用市场化资产增长率等指标对中国14 家上市银行的系统性风险进行了实证分析。 研究表明，工商银行的系统性风险最大，平安银行最小；自次贷危机以来，中国上市银行的 系统性风险呈逐步下降趋势。论文还采用商业银行自身的特质指标，结合向前的CoVaR 检 测模型，对商业银行系统性风险进行了预测。研究发现，商业银行自身的 VaR 水平、杠杆 率、股价净值比、规模等指标对其向前的系统性风险具有显著影响。本文的研究从逆周期缓 冲角度为监管部门对银行系统性风险实施宏观审慎监管提供了有效帮助。 关键词：系统性风险；风险溢出；分位数回归；CoVaR 检测法 Study on Systemic Risk and Influence Factors of Listed Chinese Commercial Banks LU Jing HU Xiaohong (School of Economics and Business Administration, Chongqing University, Chongqing 400030) Abstract This paper analyzes the systemic risk of 14 listed Chinese commercial banks based on CoVaR measure by introducing state variables that capture the evolution of tail risk dependence over time and calculating growth rates of marketed-valued total financial assets, and finds that the maximum of systemic risk is Industrial and Commercial Bank of China, and the minimum is PingAn Bank. Moreover, after subprime crisis, the trend of sample banks’ systemic risk is totally reduced over time. Furthermore, this paper also analyzes how the lagged banks characteristics impact systemic risk relied on forward-looking CoVaR, a countercyclical risk measure. And the VaR, leverage ratio, market-to-book equity ratio and size of banks have significant influence on it. This study gives some help to the supervisors for macro prudential regulation of banks systemic risk from the countercyclical buffer prospect. Key Words Systemic Risk; Risk Spillovers; Quantile Regression; CoVaR Measure 1 引言 自2007 年全球金融海啸爆发以来，国际金融体系乃至实体经济相继受到严重冲击。据 世界银行发布的世界发展指数（WDI ）显示，2008 年度，美国GDP 增长率为-0.02%，日本 为-1.17%，英国为-1.1%，中国为9.6% ；2009 年度，美国为-3.5%，日本为-6.29%，英国为 -4.37%，中国为 9.2% 。出现这一严重负增长的根本在于金融全球化和复杂化的背景下，金 融机构的系统性风险具有极其严重的破坏作用。因此，高度关