The Research On Banking Systemic Risk Based On Macro-Prudential Supervision And Regulation

The United States crisis in 2008 has highlighted the importance of concerning the systemic risk, and maintaining macro-financial stability. Whereby, the banking systemic risk is the possibility that the banking industry of a country is into violent instability caused by certain risk factors such as the economic cycle, the changes in macro-economic policies, and the external financial shocks. Furthermore, the systemic risk has a strong occult, accumulation and transmission, which will have a huge negative externality effects on the international financial system and the global real economy. No doubly, the systemic risk can not be offset or weaken each other by the general risk management instruments, that is to say, the systemic risk can prevent the accumulation or outbreak, but can not eliminated fundamentally.The systemic risk will show many different characteristics. It is usually hidden, difficult to detect and assess, but when it accumulated to a certain degree, the systemic risk will exposure rapidly and become a systemic crisis quickly, so it have strong infectious and destructive.As global banking sector had interconnected tightly, the banking system of a country has tremendous spillover costs on the global banking system, because global banking institutions have shown significant systemic risk associated with too connected to fail (TCTF risk), owed to an evolutionary type of systemic risk.This paper introduces the model of network transmission based on balance sheet designed by Chan-Lau, and applies it in the research on 17 major commercial banks of China. The results showed that, although China's major commercial banks have not a high degree of financial connection as foreign banks, but show a more obvious TCTF risks, especially in the Bank of China. The results can also found TCTF vulnerability institutions, such as the China Everbright Bank and the Shanghai Pudong Development Bank, among the two banks, the vulnerability is very big. The network transmission research demonstrates that the impact of financial will undermine the stability of the banking industry more than the impact of credit. This phenomenon gives banking regulators one of important enlightenment that it is worth paying more attention to liquidity risks.Based on the perspective of macro-stability of the banking industry, the paper proposed the comprehensive evaluation index of the banking systemic risk, including, the economic subsystem, the bank subsystem, the balance of payments subsystem, and the stock market subsystem. Empirical study by China's banking industry, verify that the selected index is appropriate and the results have intense explanatory power.Based on the view of macro-prudential supervision and regulation to research the banking systemic risk has been a blind spot of theoretical study. The U.S. financial crisis in 2008 had made researchers into deep wake, that too much focus on the indicators of micro-stable of banking industry will only make our vision becomes narrow. The researcher do not see clear the nature of the banking systemic risk and can not accurately measure the impact of its scale and impact, moreover, can not give regulatory authorities what prompt measures should take. In the end, this paper concludes the difference between macro-prudential and micro-prudential supervision and regulation, with a summary of macro-prudential supervision and regulation experience to withstand the financial crisis and maintain stability in domestic banking in China. At last, the paper builds the framework of banking systemic risk based on macro-prudential supervision and regulation, and look into the future regulation at banking industry.