A Study On The Risk Spillover Effect Of Banks In China 's Systematic Importance

The Risk Spillover Effect of individual financial institutions int o a crisis during the global financial crisis in2008brought a great negative effect to the whole financial system.The effects of the negative externalities are systemic risks to the financial system.The systemic risks to the financial system got attention of international organizations,regulatory agencies and academia because of its wide spread, destructive. While banks as the core of the financial system, the risk spillover effects of the bankruptcy in the risk should be more worthy of attention.In2007, Basel Committee defined this kind of bank as "systemically important banks"for the first time. Basel Ⅲ and therefore put forward the supervision of financial systemic risk and "systemically important bank".Therefore, the research on the risk spillover effects of China’s banks under this background, especially the risk spillover effects of systemically important banks, has certain practical significance.It can provide some policy suggestions for the regulations of China’s financial supervision institutions and for China’s commercial banks to prevent systemic risk.In this paper, we set a series of evaluation index system of China’s systemically important banks,according to the actual situation of China’s banking industry.Then we evaluate and analyse the systemically importance of the14listed commercial banks of China.EventuallyJBank of China, Industrial and Commercial Bank,Construction Bank, Bank of Communications, China CITIC Bank and China Merchants Bank are identified as systemically important banks.The paper takes the current academic common models——CoVaR model and combined with the technology of quantile regression methods to put up an empirical research on the risk spillover effects of6systemically important banks in China.The results turn out that:6systemically important banks in our country in a time of crisis of the entire banking system have great risk spillover effects.This is consistent with the special status of6systemically important banks. The risk spillover degree is also relevant with the scale and the business models of banks during the risk period.Therefore, the supervision institutions should dynamically adjust the list of systemically important banks should be on time during the supervision of these banks.Besides,regulate the systemically important banks differentially according to systemically important banks risk spillover of specific period.Then, improve China’s banking regulatory framework, and implement the macro prudential supervision of Banking Systemic risk.