The Research Of China’s Listed Commercial Banks’ Syatemic Spillover Effect

With the economic globalization, the inter dependence of global economic and financial is getting tighter and tighter, the stable operation of the financial system in China is related closely to the changes of international economic environment. The financial regulatory reforms which issued by the IMF, the European Union and the United States views the accumulation of systemic risk’s spillover effect and the lack of macro-prudential regulation as one of the important factors that lead to the international financial crisis. This paper, with reference to the dynamic method CoVaR, solves the quantizing problem of systemic risk of14listed commercial Banks in China,as follows:Firstly, the paper analyzes the models, methods and theories of the commercial banks’ systemic risk at home and abroad. On the basis of the research idea and Co VaR method of Adrian and Brunnermeier (2011), using the innovation points of the method and combining with current situation of the development of China’s financial institutions. In view of our country commercial banks’ systemic risk’s spillover effect problem, designing a specific empirical research train of thought, the paper put forward the sample Banks which are divided into three categories according to their own nature, such as large-scale commercial banks, Joint-stock commercial Banks and City commercial Banks.Secondly, the paper adopts the Conditional Value at Risk (CoVaR) which is popular among the methods of quantifying the commercial banks’ systemic risk’s spillover effect, to design the appropriate model. The paper selects the time horizon is from04,2008to09,2013, and adopts the market-based assets change rate, week of stock yield and so on, applies the Ststa11.0measurement software to do under the1%,5%,10%respectively based on quantile, and obtains the VaRti and ΔCoVaRti of listed commercial banks, and sorts VaRti and their’s ΔCoVaRti by the measured value respectively. In this paper, the results of the study indicate that there is no significant linear relationship between and, the Risk of the ICBC is minimum, but systemic risk spillover effect is the largest; The large state-owned commercial Banks’systemic risk is the largest, shareholding commercial bank’s is bigger, and city commercial Banks’is minimum. The empirical results of is corresponds to our country market. When the state-owned commercial Banks are in trouble, the government will formulate relevant policy to control the facial or potential risks.Finally, based on the financial regulators about banking systemic risk’s control and supervision, the paper puts forward four policy suggestions,(1) Strengthen the macro-prudential regulation;(2)establish the deposit insurance system as soon as possible;(3)Improve the banking capital adequacy standards;(4)strengthen the supervision of small and medium-sized financial institutions.