The Research On Systemic Risk Based On Marco-prudential Supervision And Regulation

The global financial crisis arisen from subprime crisis makes people aware of the deficiency of traditional micro-prudential regulation. In other words, the steady behavior of a single institution may also accumulate huge risks while the accumulation may bring disasters to the financial system and the macro economy. With the deterioration of the external macroeconomic situation, the financial institution will take more cautious measures and credit crunch behavior may be produced in order to improve capital adequacy ratio. Meanwhile, this behavior will deteriorate the economy to a greater degree. Under this spiral interaction, systemic risk arises consequently. Currently, the inherent correlation between the various components of the financial system is becoming increasingly high. What’s worth mentioning is that once risks appear in banking, which is the core of the financial industry, other financial industries will be involved, like insurance and security industry and therefore the risk of small-scale crisis spreads into large range. However, the ability to effectively identify and measure systemic risk is a necessary prerequisite for regulatory authorities to take measures. Therefore, it is of great significance to study regulation and establish evaluation system of systemic risks under the macro-prudential perspective and to be centered on banking.This essay, based on macro-prudential perspective and after make clear of the concept of being macro-prudential and the definition of systemic risks, analyze deep the causes, the conduction mechanism and the measurement methods of the systemic risks of banking, and finally come up with the index system of bank systemic risk assessment and carries out the empirical analysis of banking systemic risk situation before and after the subprime crisis from the perspectives of macroeconomic risk, market risk, operational risk and liquidity risk, on the basis of choosing 19 evaluation index and taking the principal component analysis. Empirical results show that in 2000 and 2012, the overall banking stability index rising, with short-term decline phenomena. This is resulted from the combined effect of both internal and external factors while our national banking is developing steadily on the whole. Besides, the essay concludes the experience of some developed countries on the bank systemic risk and the suggestions on the prevention of bank systemic risk, which mainly include the strengthen on the coordination of macro-prudential supervision and micro-prudential supervision, improve the early warning mechanism banking systemic risk, improve policy coordination mechanism and macro-prudential supervision of macroeconomic policies as well as improve the regulation standard, and enhance the coordination and communication of international financial regulation.