The Measuring Of The Systemic Risk In The Banking Sector Of China Based On The Financial Stress Index

In 2007, after the USA subprime mortgage crisis, systemic risk control became the main topic discussion of domestic and foreign scholars. The Basel committee also issued the Basel capital accord ?in 2010, which put financial supervision to macro-prudential level from micro-prudential level and strengthen the supervision of systemic risk. Due to the banking industry have the important position in the financial system, and high-risk of transmission properties, scholars at home and abroad change the control systemic risk to the banking industry, however, the first condition of control systemic risk and against the financial crisis is accurately measure of systemic riskAccording to the financial stress index method, this document use the pressure of China's banking industry under fourth quarter of 2006 to 2016 in China's banking industry in the first quarter as the research object, selecting some index can directly or indirectly reflect the banking of pressure situation, mainly including pressure from within Banks operating condition index and from external macroeconomic situation. The bank internal pressure index can be subdivided into the pressure inside the internal bank outside bank.According to the three principles of bank management goal, internal bank press can be divided into liquidly pressure, the for-profit pressure and pressure from safety, and then weighted these indexes with principal component analysis and build banking stress index to measure systemic risk in China's banking industry. Applied actual situation from constructing banking stress index, used the pressure of China's banking industry under fourth quarter of 2006 to 2016 in China's banking industry in the first quarter and calculated the time interval with a quarter, then combined the results with the actual economic situation, the results was that big banking stress index value, large banking systemic risk, poor situation of bank management, and the pressure index value in the banking industry, banking systemic risk was also small, positive banking business. Finally we use the impulse response analysis to the effectiveness of the BSI index robustness inspection, it was found that the impact of the pressure from the banking index to macro economy have a significant adverse impact, and affect the maximum when lag three quarters, namely from the deterioration of the banking systemic risk, lead to the deterioration of the macroeconomic situation, proved that the banking stress index is constructed in this paper is effective.