A Study On The Early Warning System Of Banking Systemic Risk Based On Macro Prudential Supervision

Recalling the history of economic and financial development in the world,it is easy to find that the frequency of major bank runs or failures has been rising since Twentieth Century.Banks as the main body of the financial industry,once the crisis caused a chain reaction,the impact on the country's financial and economic is immeasurable,which will inevitably lead to the attention of the regulatory authorities.In December 2010,Basel III emphasized the importance of “counter cyclical regulation”,from the mere emphasis on “micro Prudential” into “the combination of macro and micro prudential supervision”,in order to prevent the “too big to fail” systemic risk.China proposed to “construct a system framework of countercyclical macro Prudential,strengthen macro Prudential Financial management system construction,the establishment of risk identification and early warning mechanism,more actively to control the rhythm,and focus on strengthening the financial risk” in the “12th Five-Year” and “13th Five-Year” plan.For a long time,China's commercial banks in the financial industry have occupied the most important position.The soundness of the banking sector is related to the stability of the financial sector and the national economy.Under the tide of international financial regulatory reform,the focus of supervision in China's banking industry should be changed from “post processing” to “prevention in advance”.Compared with the post crisis,the risk warning in advance is more economical and effective,especially to strengthen macro prudential supervision to deal with systemic risk.An important part of risk warning belongs to the bank risk management theory of the banking system,so that the risk management of the banking system form a complete process of ex-anterisk prevention,risk control and ex-post risk disposition.This paper systematically expounds the theoretical basis of banking systemic risk warning;try to create a banking systemic risk index by using the bank loan deposit ratio,the real interest rate and the money supply index to quantify the Banking Systemic risk.At the same time,we construct a dummy variable to judge whether the banking system in a systemic crisis in a period of time based on the banking systemic risk index.Secondly,from the point of system theory,this paper analyzes the complex relationship between the internal and external environment of the banking system,and the risk factors of the interaction between the internal and external environment;In the light of the relationship between the risk of the banking system of the endogenous factors and exogenous factors,this paper uses the vector auto regression model,to verify the effect of the mutual impact between the real economy variables and financial markets variables,international shock variables and banking system variables.Again,starting from the perspective of macro prudential supervision,we try to establish a set of complete,scientific and reasonable early-warning index system,which can also reflect the systematic risk of China's banking industry actual situation.It mainly includes four aspects: the real economy variables,the financial market variables,the international shock variables and the banking system variables.Then we use the stationarity test and Grainger causality test to screen the effective early warning indexs.In order to avoid the problem of multiple linear regression,we will use principal component analysis to extract the main factors into the early warning model.At last,we will use the Static Logit model and Dynamic Logit model to construct a systemic banking risk early-warning model,and do the robustness and effectiveness tests.Scientific and sound risk early warning system is an effective mechanism to prevent bank systemic risk.In the end,this paper puts forward some policy suggestions on the establishment and operation of the banking systemic risk early warning system.It can not only enrich the theoretical research of bank risk management,but also provide a useful reference for the prevention of systemic risk in China,which has strong theoretical and practical significance.