| With the deepending relevancy among banking institutions in recent years, China’s interbank market is also expanding rapidly, which will easily cause risk contagion effects. China’s interbank offered rate has been creping up rapidlly. Especially in June 2013, there appeared a rapid rising in the Shibor (Shanghai Interbank Offered Rate), and the overnight interest rate even rose up to 13.44%, which refreshed the record. The "money shortage" caused by interbank credit default shook the financial market and exposed the risk of interbank market to the public.This paper uses the financial data of 16 banks during 2013 to simulate the interbank contagion risk.Firstly, we analysis the contagion transmission path-credit default, liquidity impact and bank run, by taking the repo market and funding shock into consideration. Secondly, in order to depict the transmission and process of contagion risk clearly, this paper uses PCSE (Panel Corrected Standard Errors) regression model to analysis the determinants of contagion risk. At last, the conclusions are presented as follows based on the systemic risk: (1) When considering the credit default in repo market and dismanting interbank market, the contagion effects will be stronger, and will cause large apital loss and expanded contagion range significantly. (2) The large state-owned banks are in the center of the banking system, and act as systemically important banks in China. CMBC is one of systemically vulnerable banks, which also afected by state-owned banks acted as the most important contagion source.Based on the empirical conclusions above, the paper suggests that China’s interbank contagion risk is increasing with the development of the interbank market in 2013. The relevant regulatory departments should take measures to control the risk, such as identify systemically important and vulnerable banks, control the interbank market scale, supervise the capital flow and uses, and speed up the implementation of deposit insurance system. |
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