On The Systemic Financial Risk Of Banks ——A Risk-taking And Contagion Perspective

This paper discusses the mechanism of banking systemic financial risk from the perspectives of risk taking and risk contagion.Risk taking is based on the analysis within the banking sector,while risk contagion is based on the analysis of risk externalities in the banking sector.Specifically,this paper completes the following three aspects:First,Sector one is a study about Risk-Taking channel of the monetary policy on systemic level.On the basis of building the theoretical model,collcecting 16 listed commercial bank in 2007-2018 of China as samples,based on the method of Co VaR and CCA,we take a empirical research the influence of monetary policy on Systemic Risk-Taking of banks and coordination with macro-prudential monitoring.The results show that:(1)loose monetary policy,loose macro-prudential policy and high leverage can significantly increase the systemic risk of Banks;(2)the combination of tight macroprudential policy and tight monetary policy stance is more effective in reducing systemic risk.Interest rate policies pay insufficient attention to macro-prudential leverage,and the "bank de-leveraging" by tightening interest rate policies is ineffective.(3)monetary policy and macro-prudential policy may be ineffective in crisis times and for GSIBs to limit systemic risk.Second,Sector two is based on the bank Risk-Taking model,we studies the influence of asset transparency and regulatory arbitrage on the systematic risk of Banks on the basis of asset transparency and systematic risk measurement.The results show that(1)high asset transparency has a restraining effect on the systemic risk of Banks,and the increase in the size of inter-bank certificates of deposit will increase the systemic risk of Banks.(2)the larger the scale of inter-bank certificates of deposit,the weaker the constraint effect of asset transparency on the systemic risk of Banks.The transparency of assets and the size of inter-bank certificates of deposit respectively enhance and weaken the effectiveness of macro-prudential policies for systemic risk.(3)there is risk contagion of heterogeneity between debt Banks and creditor Banks.Creditor Banks,mainly large commercial Banks,are more significantly affected by interbank arbitrage,while small and medium-sized Banks of debtors are more significantly constrained by asset transparency.Third,Sector three is focus on systemic risk and interconnectedness between bank sector and real estate sector of China,combining the method of Contingent Claims Analysis(CCA)and the Asian Option model.We show that:(1)The risk indicator of the banking sector can represent the systemic risk of China better than the real estate sector.(2)There is a two-way systemic risk contagion between banking sector and real estate sector.The former is dominant while the latter has limited feedback effect.(3)There are obvious differences in the intensity of risk transmission and the significant level in different periods.In the rolling samples containing the extreme financial crisis,the risk transmission intensity is greater,the significant level is higher,the network connection degree is more closer and the "acceleration effect" appears.Also,Risk transfer in the banking sector may have a ratchet effect.