Research On The Risk Contagion Effect Of China’s Interbank Market Under The Shock Of Macroeconomic Factors

The subprime crisis indicates, as the interbank exposure exists, that makes risk could easily be spread in the whole banking system, hence causing a series of banks to go bankruptcy, which is so called domino effect. The related banking failures which are triggered by the subprime crisis sharpened the global financial turbulence, causing seriously adverse impact on the smooth running of the whole financial system and even the global economy, and it also has a profound warning signs of risks to our banking. This paper selected China’s interbank market as the object of study, and we used the data of our listed banks’annual report from the year2008to2010. In this paper, we analyzed under the shock of a series of chief macroeconomic factors, the risk contagion effect of our interbank market, and we also gave some policy advice on the basis of the results.The first chapter of this paper expounds the background of the interbank risk contagion study. In this chapter, we point out both the theoretical and practical significance of our study and summarize the whole paper. The second chapter gives an overview of the literatures on the study of interbank risk contagion and educes the research of our paper. The third chapter foreshadows the whole research, clearly definite the definition and the types of interbank risk contagion. In this chapter, based on different modes of interbank clearing and data, we summarized several different interbank risk contagion empirical research methods. Meanwhile, based on the interbank risk contagion process of the balance sheet mode, we give the definition of interbank risk contagion process of our own research. The fourth chapter establishes the model between macroeconomic factors and bank owner’s equity. In this chapter, we choose gross domestic product (GDP), stock price index (SP), real estate price index (HP) and annual interest rate spread of loans and deposits (R) as the macroeconomic shock factors in scenario simulation, and through regression analysis we inspect the effect of these macroeconomic shock factors on banks’solvency. By enforcing the scenario simulation in the fifth chapter, we positively analysis the risk contagion effect of our interbank market under the shock of different macroeconomic factors. The sixth chapter draws the conclusion and gives some relevant policy proposals.And our research finds out that:Firstly, from the perspective of interbank risk contagion, the shock from macroeconomic factors could hardly cause any risk contagion effect in our interbank market. Secondly, compared with the four large state-owned commercial banks, small joint-equity commercial banks are prone to go bankruptcy under the shock of macroeconomic factors, but their failures have no risk contagion effect. Thirdly, the scale of our interbank risk contagion is relevant to the level of liabilities of each bank in the interbank market under different monetary credit policies, and the risk spillover effect is quite obvious. Last but not least, to the banking regulatory authorities, they should attach great importance to the potential source of the risk contagion banks and the objects of their risk contagion, and at the same time by establishing the level of bank solvency to the different macroeconomic factors’risk sensitivity coefficient, they could closely monitor the interbank risk contagion effect.