| With the development of China's market economy system,the stock market is playing an increasingly important role in China's multi-layer financial system.Each aspect of the system unceasingly consummates regardless of system construction,market scale,investor quality and other factors.The nature of stock market makes it easy to be impacted by various internal and external factors.Therefore,the stock price of listed companies and the overall market index changes frequently.For listed companies,changes in their own market capitalization with changes in share prices also convey signals of their performances and future outlook,which will attract the attention of other market participants.For the overall stock market,there have been severe fluctuations or even stock market crash on several occasions in recent years,such as the stock market crash in 2008,drastic fluctuations in the stock market in2015,the stock pledge crisis in 2018 and so on,which have attracted great attention of the regulatory authorities and the whole market.Whether the high risk characteristics of the stock market can infect or affect the stability of other markets,and eventually accumulate or trigger the financial crisis of the entire system,has been a topic of concern.Banking sector is the core component of China's financial industry,and the foundation of the entire macro-financial system as well as center of credit transmission.In the contemporary financial system,there's a vital difference between monetary market and the capital market,but they are interrelated and could also influence each other.As the main part of the monetary market,commercial banks,while giving full play to the role of capital allocation of the whole society,provide all-round financial services for enterprises and individuals,also have various direct or indirect connections with the stock market.Secondly,as more and more companies enter the capital market and become listed companies,banks have to provide deposit and loan financial services for many listed companies,and the changes in the operation status of listed companies will have an impact on the capital flow and safety of the banking industry;in addition,many commercial banks themselves are also listed companies,and the stock price level and fluctuation of these commercial banks will directly affect the changes in the asset value and capital financing of the banks.In the academic and financial circles at home and abroad,there is a high degree of consensus on the relationship and interaction between the stock market and the bank credit market as an important part of the entire financial market,and there is no major difference on the impact of the high volatility risk of the stock market on the stability of the banking industry.The theme of this paper is to explore the specific mechanism and path of the abnormal fluctuation of stock market affecting the stability of banks more deeply and systematically.Based on the actual situation of our country's stock market and bank credit market,this paper first studies the internal impact mechanism of stock price shock on bank stability based on the DSGE model.Combined with the current situation of our country's stock market,this paper examines the specific channels through which the internal circulation of the stock market or external shocks affect the stability of banks from three perspectives: the market value of listed companies and corporate loans,stock pledge financing of listed company shareholders,and the crash of the stock market bubble.Through the above research,it provides insights for preventing the stock market risk from affecting the operation of the bank's credit system and maintaining the stability of the banking industry.The specific research ideas of this article are as follows:Firstly,this paper studies the internal mechanism of stock price fluctuation on bank stability.This paper constructs a dynamic stochastic general equilibrium model of five kinds of economic subjects,including representative families,entrepreneurs,retailers,bankers and monetary authorities.By introducing financial frictions,this paper discusses the internal relations among stock price,bank stability and economic fluctuation,and explores the impact mechanism of stock price impact and bad asset ratio impact on bank stability and the influence of different impacts on the relevant factors of bank stability.Secondly,based on the perspective of the change of credit cost caused by the change of market capitalization,this paper discusses the interaction between market capitalization and bank credit.According to the ideas of Bernanke and other scholars on the financial accelerator mechanism,this paper proposes that the change of market capitalization of listed companies will affect the stability of banks through the credit relationship with banks and the decline of credit quality of banks.When the market value of listed companies drops sharply,due to financial frictions,the credit cost of listed companies will increase with the decrease of market value,which will further cause listed companies to reduce the amount of loans,thus affecting the output of the next period,and then affecting the valuation of the companies by the expectation of output.The above influence process indicates that the initial shock of stock price may ultimately affect the output capacity of listed companies through the circular feedback on credit and future output,thereby affecting the repayment capacity of bank loans,and increasing the uncertainty and management difficulty of bank credit risks;under the circumstance that banks are faced with large scope or huge loan losses,their own stability will be affected.Based on the annual data of non-financial listed companies from 2010 to 2018,this paper empirically tests the feedback effects of market capitalization,loan cost,loan size and market capitalization.In different hypothesis tests,the financing interest rate,loan scale and market value of a listed company are respectively used as the explanatory variables,and the market value,financing interest rate and the loan scale of the previous period of such listed company are used as the main explanatory variables.Based on empirical research,it is found that:(1)the financing interest rate of a listed company is negatively affected by the change in its market value;(2)the loan scale of a listed company is negatively affected by the market value of the listed company;and(3)the market value of a listed company is negatively affected by the loan scale of the previous period.It demonstrates the continuous interaction between the market capitalization of listed companies and their own credit cost,loan scale and the market capitalization of the next period.Thirdly,based on the perspective of the change of the value of pledged shares,Kiyotaki and Moore(1997)study the business cycle from the perspective of the value constraint of pledged and mortgaged shares,and take the stock pledge financing of the shareholders of listed companies as the entry point to study the process that the stock market volatility ultimately affects the stability of banks through three channels: the change of demand for stock pledge financing,the lending of listed companies themselves and the risk infection of supply chains.Stock-pledged financing refers to the business that shareholders of listed companies pledge a certain proportion of shares to obtain loans from banks and other financial institutions.When the share price continues to fall to the warning line,the pledgor needs to maintain the pledge ratio by repaying part of the loan or adding collateral,etc.If the share price continues to deteriorate and the shareholders are unable to replenish the collateral,the financial institution will close out the shares,and the large amount of stock sell-off will further depress the share price,and eventually lead to the financial crisis of the shareholders,and the safety of the principal of the equity-pledged loans will be affected.The transfer of the right to dispose of the stock to the outside financial institution will have a negative impact on the control of the listed company.At the same time,the majority shareholder has the motive to take a series of measures to maintain the stock price.Past studies have showed that the pledge of shares by major shareholders of listed companies has an impact on the radical investment of listed companies,whitewashing of financial performance,improvement of financing constraints of listed companies and other aspects,which will make the listed companies,when facing the fluctuation of the stock market,influenced by the changes of their own credit environment and the potential change of control right,and ultimately affect the solvency of listed companies.Moreover,when a listed company or its controlling shareholder faces a financial crisis,the risk is further transmitted through the supply chain to other companies,resulting in a wider contagion of risk,affecting bank stability on a larger scale.This paper selects the annual data of non-financial listed companies since 2014,uses the stock pledge ratio,loan scale and financing cost of listed companies as explanatory variables respectively,and uses the market value of listed companies,stock pledge dummy variables and stock pledge ratio as explanatory variables to empirically test the cyclical impact of the changes in the market value of listed companies on the stock pledge and the credit of listed companies.It is found that:(1)the stock pledge ratio of shareholders of listed companies is affected by the same direction of the market value of listed companies;(2)the loan scale of listed companies is affected by the stock pledge financing activities of shareholders,and it is relatively more difficult for listed companies with stock pledge to obtain bank loans;and(3)the loan scale of listed companies is affected by the stock pledge degree of shareholders,and it is more difficult for companies with higher stock pledge ratio to obtain bank loans.The above conclusions show the ultimate impact of stock pledge on the shareholders themselves and the solvency of listed companies,and the existence of stock pledge channels that affect the stability of banks.Fourth,based on the perspective of the impact of the collapse of the stock market bubble on the stability of banks,this paper studies the impact of the stock market crash on the credit funds of banks entering the stock market.Although the law does not allow bank funds directly to go into the stock market,but in fact there are still some bank funds indirectly going into the stock market through various channels.When the stock market bubbles pop and the stock market falls rapidly,the negative feedback of sell-off and stock market falls will eventually pose a serious threat to the safety of bank credit funds,and have a negative impact on the stability of the overall banking industry.As for the definition of bank stability,scholars usually use Z score as a measure index,the higher the Z score score,the more stable the bank.This paper selects the annual data of major listed banks from 2010 to 2018,calculates the Z score of each bank as the explanatory variable of its annual stability,and conducts a group test on state-owned banks,joint-stock banks and urban commercial banks according to the composition of the current commercial banking system of our country.Empirical research shows that the higher the market value of listed banks,the higher the Z score of their stability index.To sum up,this paper studies the internal mechanism and impact of stock market volatility on bank stability,and three specific channels of the impact of stock market volatility on bank stability.Through the study of the above issues,this paper provides valuable insights as to how to avoid the volatility of the stock market caused by financial systemic risk.The potential innovative points of this paper are as follows:(I)This paper studied the specific mechanism for the impact of stock market fluctuations on the stability of banks.Most of the previous researches on the relationship between stock market volatility and bank stability are based on the macro perspective of asset price volatility and bank credit.Based on the characteristics of the stock market of our country,this paper studies the specific mechanism of stock price fluctuation affecting the stability of banks through the changes of enterprise wealth and value.This logic route provides new insights to the existing research.(II)This paper,in combination with the actual situation of the stock market and the credit market of our country,sorts out the different channels through which the stock market fluctuations affect the stability of banks,and covers several major fluctuations and shocks in the capital market of our country in recent years,such as the causes and potential impacts of such events as violent fluctuations in the stock market in 2015 and the stock pledge crisis in 2018;and systematically sorts out the channels through which bank funds enter the stock market and the current situation of stock pledge.The above research provides the basis and reference for accurately evaluating the stock market risk and taking effective risk control measures,and has certain practical value.(III)This paper takes the credit relationship between listed companies and banks at the micro level as one of the lens so that this paper has a micro basis.Previous research on the impact of stock market volatility on bank stability focuses on the market panic and liquidity tightening caused by the sharp decline of stock market,but pays less attention to the micro-behavior changes of enterprises and banks in obtaining credit funds under the condition of stock market volatility.Based on the analysis of enterprise credit demand and bank credit decision at the micro level,this paper studies the change of enterprise credit demand and bank credit decision under the condition of stock market fluctuation,and analyzes the different financing environment that enterprises with different ownership nature may face.At the same time,the paper systematically discusses the potential impact of stock pledge financing on bank stability,and studies the spread and evolution of stock pledge risk and the potential ways of stock pledge financing to affect bank stability.Based on the above analysis,this paper puts forward the following policy recommendations: First,the stability of the stock market should be regarded as an important basis for macro-control.In this case,the fluctuation of stock market is not only a kind of secondary risk,but also a source of systemic risk,which is one of the triggers of market instability.In this case,we suggest that the stability of the stock market should be seen as a direct consideration when implementing macro-control policies.Secondly,keep improving the market rules and transparency of bank credit funds.According to research,bank credit funds serve as an important channel through which stock market risks are transmitted to the banking system.It is suggested that,after clarifying the norms for the entry of credit funds,the transparency of the whole process shall be strengthened so as to enable the regulatory authorities or market institutions to judge the entry of credit funds more clearly and facilitate the adoption of relevant regulatory measures.Thirdly,it is suggested that we should promote the reform of China's capital market step by step.At present,the proportion of stock market financing takes up only 3-4% of the total social financing.Forthly,it is suggested to build a long-term mechanism to ease the financing difficulties of private enterprises.This paper also finds that even the best performers of listed private enterprises have a significant gap in financing ability in comparison with state-owned enterprises.In order to prevent abnormal fluctuations and resonance in the financial market,it is suggested that measures that are problem-oriented should be taken,including establishing a long-term mechanism,smoothing the monetary policy transmission mechanism,moderately relaxing financial regulation at the micro level,accelerating the reform of the capital market,and enabling enterprises,especially private enterprises,to truly realize financing through both indirect and direct financing market.Finally,because there is a strong connection between the finance and banking industries,it is necessary to build a communication and cooperation mechanism between CSRC and CBRIC in order to keep the financial market stable. |
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